The present study aims to evaluate the performance of forty four domestic
equity mutual funds operating in the Greek financial market over the period of the
financial crisis 1/1/2008-31/12/2010 using weekly returns. This study has examined
the performance of each fund compared to the benchmark index (Athens General
Index), with the use of Sharpe, Treynor and Jensen’s alpha index. The evidence
showed that in majority the mutual funds succeed returns higher of the benchmark
index and at the same time had standard deviation than the standard deviation of the
benchmark index. However none of the mutual funds succeed positive sign regardless
of the performances measure used and there evidences that the funds with high
standard deviation had low return and vice versa. There not evidence for timing
ability of the funds managers and of persistence regardless of the measure used.
Finally the study presents both empirical and mathematical proof that Sharpe and
Treynor ratio are not sufficient in bear markets and proposed modify ratio in order to
solve the problem of their discontinuity. The results of the modify ratios were
correlate with those of Jensen’s alpha, while rankings were not consistent with the use
of classical Sharpe and Treynor index
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