Raj, M. and Forsyth, M. and Tomini, O. (2003) Fund Performance in a Downside Context. Journal of Investing, 12 (2).
|The full text of this publication is not available from this repository. (Contact us about this Publication)|
A risk-adjusted performance measure that focuses on total return and shortfall deviation, or downside risk, provides several advantages: consistency with investor reasoning, easy interpretation, and simplicity of calculation. Other risk-adjusted measures share the common feature of returns received relative to risk taken, but they all differ in definition and measurement of risk, thus affecting the overall evaluation. This article compares the performance and rankings of U.S. closed-end and open-end funds, U.K. unit trusts, and emerging market trusts using the different performance measures. Examination of fund performance rankings according to the specific measure used shows that downside risk is a valuable concept in the risk-return framework, especially in high-risk markets.
|Additional information:||Published in Authors Maiden name.|
|Subjects:||H Social Sciences > H Social Sciences (General)|
|Divisions:||Faculties > Social Sciences > Kent Business School > Accounting and Finance|
|Depositing User:||J. Ziya|
|Date Deposited:||18 Oct 2010 11:10|
|Last Modified:||18 Oct 2010 11:10|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/25902 (The current URI for this page, for reference purposes)|
- Depositors only (login required):