Badanie zgodności rankingów wyznaczonych według różnych wskaźników efektywności zarządzania portfelem na przykładzie funduszy inwestycyjnych
Empirical analysis of the consistency of mutual fund ranking for different portfolio performance measures

Summary/Abstract: Performance measurement is one of the most studied subjects in financial literature. Since the introduction of the Sharpe ratio in 1966, a large variety of new measures has appeared. There are a lot of different performance measures and they play an important role, because they are used to compare, sort and classify the investment portfolio. The paper presents three classes of performance measures and the results of examination whether there is significant difference among various performance measures. The aim of the empirical analysis is to rank the mutual funds according to selected efficiency ratios. In the next step, consistency of ranks was tested using t Kendall measure. Principal component analysis was used to construct the meta-ratio and to classify mutual funds

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