Paper Title
Evaluating us Stock Mutual Funds using Risk-Adjusted Metrics

Abstract
This study evaluates the risk-adjusted performance of the twenty largest US based stock mutual funds ranked by size of assets. These funds are becoming increasingly popular with investors who hold them in tax-free as well as in taxable portfolios. The main objective of this study is a rigorous evaluation of the risk-adjusted returns of these mutual funds using performance evaluation metrics grounded in modern investment portfolio theory. Quarterly returns of each fund over the period 2008-2018 are used to compute mean return and risk. The return on 90-day treasury bills is taken to proxy the return on risk-free investments. The Standard & Poor’s 500 Index is used as a surrogate for average stock market return. Sharpe, Treynor and Jensen metrics of risk-adjusted performance are used to rank the funds. Further, the Sortino ratio is used to rank the funds using the semi-variance measure for downside risk. Finally, the Modigliani metric is used to adjust the level of risk in each fund to the level of risk in the S&P 500 stock index and then to recalculate fund returns on a risk-adjusted basis. The funds are then ranked based on risk-adjusted returns. The results of the study can be used as input in decision making by investors who seek objective measures to select a large well-diversified mutual fund from a menu of funds with attractive returns and widely different levels of risk. The study should also be of interest to investors, managers in the financial services industry, and to personal financial planners and academicians in the areas of finance and general business. Keywords - Mutual Funds, Financial Markets, Capital Markets, Investment, Stocks