The Italian mutual fund industry is in a severe crisis. Its net assets have been decreasing since 1999, from 42% of GDP to 8% in 2011; an investment in mutual funds has accumulated in its 28-year life a loss larger than the initial asset value, if compared to an investment in the one-year treasury bonds. However, there is a debate about the metrics to be used for measuring returns. We simulate the dynamics of returns and cash-flows in the period 2003-2010, and analyze the spread among different metrics, arguing on their appropriateness for evaluating performance from different perspectives.

VENANZI D (2013). I fondi comuni italiani: quale metrica per quale performance?. RIVISTA DI POLITICA ECONOMICA(3), 81-113.

I fondi comuni italiani: quale metrica per quale performance?

VENANZI, Daniela
2013

Abstract

The Italian mutual fund industry is in a severe crisis. Its net assets have been decreasing since 1999, from 42% of GDP to 8% in 2011; an investment in mutual funds has accumulated in its 28-year life a loss larger than the initial asset value, if compared to an investment in the one-year treasury bonds. However, there is a debate about the metrics to be used for measuring returns. We simulate the dynamics of returns and cash-flows in the period 2003-2010, and analyze the spread among different metrics, arguing on their appropriateness for evaluating performance from different perspectives.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11590/132881
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