Mutual investment funds, established in Italy by Law 77/1983, are investment organizations that collect money from savers who entrust its management to the companies, with legal personality and capital separate from those of the fund, for the purpose of investing in the financial market with the primary criterion of investment diversification. In relation to the financial objectives, namely the risk and the expected return, the saver can choose among different types of funds managed by professionals in the sector. In Italy, 510 shares are listed on the Milan Stock Exchange and Assogestioni lists 4,597 funds (Italian Fund Hub). This work tries to analyze the results of 214 Mutual Funds of Eurizon Capital SGR S.p.A (www.eurizoncapital.com) on the market in the period 5/2016 - 4/2021 and is based on the elaboration of the monthly performances from the quotations in Euro of the Quantalys Data Base (www.quantalys.it). After a discussion on the ex-post dominance (μ, σ) of the funds, an attempt is made to evaluate their efficiency using the Efficient Frontier constituted by the same funds as a benchmark. Finally, using factor analysis and discriminant analysis, we try to investigate which markets have supported the performance of the mutual funds and whether these performances confirm the attribution of the Synthetic Risk Reward Indicator (SRRI) assigned to each fund, that is published in the information documents, the so-called Key Investor Information Document (KIID) submitted to the investor before the investment according to the European UCITS IV regulation.
Profilo rendimento-rischio di fondi comuni di investimento: il caso EURIZON CAPITAL S.G.R. S.p.A.
Francesco Rossi
;
2022-01-01
Abstract
Mutual investment funds, established in Italy by Law 77/1983, are investment organizations that collect money from savers who entrust its management to the companies, with legal personality and capital separate from those of the fund, for the purpose of investing in the financial market with the primary criterion of investment diversification. In relation to the financial objectives, namely the risk and the expected return, the saver can choose among different types of funds managed by professionals in the sector. In Italy, 510 shares are listed on the Milan Stock Exchange and Assogestioni lists 4,597 funds (Italian Fund Hub). This work tries to analyze the results of 214 Mutual Funds of Eurizon Capital SGR S.p.A (www.eurizoncapital.com) on the market in the period 5/2016 - 4/2021 and is based on the elaboration of the monthly performances from the quotations in Euro of the Quantalys Data Base (www.quantalys.it). After a discussion on the ex-post dominance (μ, σ) of the funds, an attempt is made to evaluate their efficiency using the Efficient Frontier constituted by the same funds as a benchmark. Finally, using factor analysis and discriminant analysis, we try to investigate which markets have supported the performance of the mutual funds and whether these performances confirm the attribution of the Synthetic Risk Reward Indicator (SRRI) assigned to each fund, that is published in the information documents, the so-called Key Investor Information Document (KIID) submitted to the investor before the investment according to the European UCITS IV regulation.
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