ANALYSIS OF DIFFERENT TYPE USA MUTUAL FUNDS PERFORMANCE EVALUATION IN THE PERIOD OF 2000–2010

Lina Žalgirytė, Andrius Guzavičius

Abstract


The aim of this paper is to compare different risk – adjusted performance measures in different market conditions to see whether these measures lead to the same ranking of mutual funds despite the situation in the market. In this paper, we used the data collected for U.S. mutual funds that invest only in domestic market. Those mutual funds used include equity, index, bond and balanced funds. The empirical investigation focuses on the period of 2000 – 2011. At that time, there were two stock market meltdowns, in 2001 and in 2007 – 2008, which had a significant impact on mutual fund performance. We used four performance evaluation measures: Modigliani & Modigliani RAP, Graham – Harvey 1, Treynor ratio and Jensen alpha. The research methods applied include correlation and comparative analysis. We test the correlation and its significance among these measures. We also compare the performance of chosen mutual funds with results of T-Bills and S&P500 index to see the differences in evaluation. Results show that there is a dependence on year of analysis while evaluating the performance of bond funds compared to results of index, equity and balanced funds. Comparison of mutual fund performance with S&P500 Index and 3 month T-Bills show that there are pairs of measures which evaluate equity, index and balanced funds similarly. There are more differences in bond fund evaluation.

DOI: http://dx.doi.org/10.5755/j01.em.17.4.2992


Keywords


mutual fund; portfolio performance; risk – adjusted measures; correlation analysis

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Print ISSN: 1822-6515
Online ISSN: 2029-9338