Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective

In this article we conduct an empirical analysis of daily log-returns of Italian open-end mutual funds and their respective benchmarks in the period from February 2007 to May 2015. First, we estimate the classical normal-based model on the log-returns of a large set of funds. Then we compare it with five models allowing for asymmetry and (or) heavy tails. We empirically assess that both the value at risk and the average value at risk are model dependent and we show that the difference between models should be taken into consideration in the evaluation of risk measures.