Abstract

PESCE, Gabriela et al. Multifactorial index for assessing financial performance of mutual funds. estud.gerenc. [online]. 2018, vol.34, n.147, pp.200-215. ISSN 0123-5923.  https://doi.org/10.18046/j.estger.2018.147.2853.

The models based on mutual funds’ returns assess their performance focusing mainly on risk and return. This paper aims to develop and validate a multifactorial index intended to evaluate the performance of mutual fund investment. Firstly, the main models and performance metrics available in the literature are summarized. Next, the index’s methodology is developed, adding variables such as returns, risk, size, diversification, liquidity, financial leverage, macroeconomic thresholds and transaction costs. Empirically speaking, secondary information on the universe of funds in the Argentinian capital market is used to illustrate its operation. The findings validate the usefulness of the proposed index, by yielding synthetic values, reaching a multidimensional sorting criterion.

Keywords : mutual funds; financial performance; multifactorial index.

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