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
2013-01-01
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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
