| Abstract : | This dissertation targets at the performance evaluation of 20 Mutual Funds for the period 1990-2005. Three ratios are used for this reason, Treynor, Sharpe and Information ratio and ten models that produce the Jensen’s alpha, three for each of the single, three and four factor models, using OLS, GARCH with normal distribution of errors and GARCH with t-distribution of errors respectively, and one multifactor model (14 factors) using stepwise OLS. At the first chapter some general concepts about the institution of mutual funds are given, such as the definition, the history, characteristics, investment policies and main advantages and disadvantages of mutual funds. At the second chapter the Markowitz portfolio choice problem and the Capital Asset Pricing Model are firstly analysed and after that the most important factor models are introduced.At the third chapter performance absolute and relative risk – adjusted measures are presented, such as Treynor, Sharpe or Information ratios and Jensen’s alpha.At the fourth chapter the empirical application is analyzed and MF1 – MF20 are ranked in the basis of each performance measurement method discussed before.Finally, appendix includes the code written for the econometrical package E-views.
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