Mutual Fund Performance comparison

LS_MBA

New member
Hi friends,

I am doing a project which compares the performance of 2 mutual funds.
Generally we use Sharpe and Treynor Ratio.
Do you have any suggestions to use any other formulae or method for comparing the performance.


Thanks,
L.S
 

kartik

Kartik Raichura
Staff member
You may want to check up on Jensen’s alpha too !

Jensen’s alpha (aka Jensen index), developed by Michael C. Jensen, uses the capital asset pricing model (CAPM) to determine the amount of the return that is firm-specific over that which is due to market risk, which causes market volatility as measured by the firm’s beta.Jensen’s Alpha = Total Portfolio Return – Risk-Free Rate – [Portfolio Beta x (Market Return – Risk-Free Rate)]
Jensen’s alpha can be positive, negative, or zero. Note that, by definition, Jensen’s alpha of the market is zero. If the alpha is negative, then the portfolio is underperforming the market.
Check http://www.bnet.com/2410-13074_23-68750.html

http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID886728_code238096.pdf?abstractid=886728&mirid=5

http://www.stanford.edu/~wfsharpe/art/sr/sr.htm
 

priyankappd

Par 100 posts (V.I.P)
i've attached a report that i had for my reference. hope some 1 finds it useful

:SugarwareZ-287:
 

Attachments

  • Mutual fund - karvy.doc
    1.6 MB · Views: 61

priyankappd

Par 100 posts (V.I.P)
:SugarwareZ-091: hey, i'm reuploading the project

let me know if this project is opening or not :cheer2:
 

Attachments

  • Mutual fund - karvy.doc
    1.6 MB · Views: 27
Top