Relative Benchmark Rating and Persistence Analysis: Evidence from Italian Equity Funds

European Journal of Finance, Vol. 11, No. 4, pp. 297-308

Posted: 21 Jan 2005

See all articles by Marco Lazzarin

Marco Lazzarin

Fondazione Eni Enrico Mattei (FEEM), Venice

Loriana Pelizzon

Goethe University Frankfurt - Faculty of Economics and Business Administration; Leibniz Institute for Financial Research SAFE; Ca Foscari University of Venice

Domenico Sartore

Ca Foscari University of Venice - Dipartimento di Economia

Roberto Casarin

University Ca' Foscari of Venice - Department of Economics

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. This paper provides a comprehensive analysis of the relative benchmark performance measure (Morningstar rating) applied to Italian equity funds. It is found that this performance measure is highly correlated with the classical performance measures (Sharpe ratio, Sortino ratio and Treynor ratio) and poorly correlated with the customized benchmark measure (Information ratio). Furthermore, performing a persistence analysis, using non-parametric methods Cross-product Ratio and Chi-squared test, it is observed that only the Morningstar rating measure generates a strong degree of persistence. These results deviate from most European studies, which argue that Italian mutual funds display weak persistence.

Keywords: Mutual funds, performance evaluation, persistence analysis, style analysis, morningstar rating, risk adjusted measures

JEL Classification: G23, G12, G14

Suggested Citation

Lazzarin, Marco and Pelizzon, Loriana and Sartore, Domenico and Casarin, Roberto, Relative Benchmark Rating and Persistence Analysis: Evidence from Italian Equity Funds. European Journal of Finance, Vol. 11, No. 4, pp. 297-308, Available at SSRN: https://ssrn.com/abstract=651621

Marco Lazzarin

Fondazione Eni Enrico Mattei (FEEM), Venice ( email )

Campo S. M. Formosa, Castello 5252
Venezia, 30122
Italy

Loriana Pelizzon

Goethe University Frankfurt - Faculty of Economics and Business Administration ( email )

Theodor-W.-Adorno-Platz 3
Frankfurt am Main, D-60323
Germany

Leibniz Institute for Financial Research SAFE ( email )

Theodor-W.-Adorno-Platz 3
Frankfurt am Main, 60323
Germany

HOME PAGE: http://www.safe-frankfurt.de

Ca Foscari University of Venice ( email )

Dorsoduro 3246
Venice, Veneto 30123
Italy

Domenico Sartore

Ca Foscari University of Venice - Dipartimento di Economia ( email )

Cannaregio 873
Venice, 30121
Italy

Roberto Casarin (Contact Author)

University Ca' Foscari of Venice - Department of Economics ( email )

San Giobbe 873/b
Venice, 30121
Italy
+39 030.298.91.49 (Phone)
+39 030.298.88.37 (Fax)

HOME PAGE: http://sites.google.com/view/robertocasarin

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
1,275
PlumX Metrics