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| Author: | Casarin, R. (et al.) |
| Title: | Relative benchmark rating and persistence analysis: evidence from Italian equity funds |
| Journal: | European Journal of Finance
2005 : AUG, VOL. 11:4, p. 297-308 |
| Index terms: | Benchmarking Performance appraisal Unit trusts Italy |
| Freeterms: | Persistence analysis |
| Language: | eng |
| Abstract: | The recent introduction into the Italian mutual fund market of Morningstar performance rating of private institutions gives rise to the question of what is the relation between this relative benchmark measure and the other traditional performance measures. A comprehensive analysis of the relative benchmark performance measure (Morningstar rating) applied to Italian equity funds is provided in this article. It is found that this performance measure is highly correlated with the classical performance measures (Shapiro ratio, Sortino ratio and Treynor ratio) and poorly correlated with the customized benchmark measure (Information ratio). |
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