Screening for Stable Funds: A Bayesian Rating and Ranking Approach

In this article we present a case study of rating and ranking selected investments from the sponsored funds segement traded at the Swiss Exchange (SIX) in Zurich. We apply the conceptually new stability approach introduced recently by Setz and W¨urtz [2014]. The rating and ranking process relies on measures derived from a retroactive analysis of turning points, of structural breaks, and of non-stationarities. Results are demonstrated for 51 funds with a history of at least 10 years. The funds were selected randomly from the SIX universe of sponsored funds.