233-244

• Jagrič, Timotej
• Podobnik, Boris
• Strasek, Sebastjan
• Jagrič, Vita

The development of a stock market depends to a great extent on the development of institutional investors. The paper studies the mutual fund industry and applies various tests to evaluate the performance capacity of mutual funds. First, we briefly explain the data, and then we introduce the performance measures used to evaluate funds. Finally, we calculate the performance measures of mutual funds and rank them according to the results. We find the rankings obtained by performing both the Sharpe and Treynor rules to be almost the same, implying that funds are well diversified. The rankings reveal that all analyzed funds outperformed the market on a risk-adjusted basis.

• Economics and Business
• Computer and information sciences

• Financial management
• risk management
• Statistics

financial market, portfolio returns, risk measures, mutual funds

Περιέχει διάγραμμα, πίνακες και βιβλιογραφία, The authors wish to thank the Ljubljana Stock Exchange for its contribution to this work. Any remaining errors in the paper are the authors’. Views expressed here are those of the authors and do not necessarily reflect those of the above affiliated institutions., JEL Classification: G10 (capital and financial markets), C14 (semi- and non-parametric methods)