The relationship between risk-return characteristics of mutual funds and their size

This paper presents a multicriterion model for ranking the performance of mutual funds and examines the correlation between this ranking and the size of funds. Performance is defined using the classical risk-return characteristics of this type of investment. The model used permits the analysis of several aspects of portfolio performance simultaneously. A multidimensional performance index derived from the model is also developed in the paper and applied to the sample under study. An analysis of this index against the Treynor index shows that a positive relationship between size and performance emerges when relatively less weight is given to average return than to the risk characteristics. Thus, by allowing the relative weights given to the various risk-return characteristics to be varied, the approach used here adds more flexibility and provides and added insight into the analysis.

Cet article présente l'utilisation des méthodes multicritères pour évaluer les performances des fonds mutuels. L'avantage de cette approche est d'autoriser une grande variété de critères.