Measurement of the Efficiency of Mutual Funds Operating on the Pan-European Market

Witkowska, Dorota

doi:10.2478/v10031-012-0034-5

Abstract

In the paper the performance of 18 selected European mutual funds is evaluated. Analysis is conducted for 6 samples distinguished from the period 15.09.2006-20.01.2012. Ranking of funds is provided applying the aggregated measures that base on well known Sharpe, Treynor and Jensen ratios and four different markets indexes e.g. Euro STOXX 50, DAX, CAC 40 and FTSE 100. In the composite indicators construction we use 60 classifications of the mutual funds.

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Measurement of the Efficiency of Mutual Funds Operating on the Pan-European Market

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