Association of Mutual Fund Risk Measures and Return Parameters: A Juxtapose of Ranking for Performance in Pakistan

• 발행기관: 한국유통과학회
• 저자명: Muhammad Usman KHURRAM Kashif HAMID Sohail Ahmad JAVEED
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.2, 25~39쪽, 전체 15쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.02.28

영문 초록

This purpose of this study is to investigate the association among mutual funds (MFs) risk measures and return parameters, evaluate mutual fund performance and also explore the best appropriate mutual fund performance measure for investment in Pakistan. Therefore, thirtyfive mutual funds have been selected for the period 2007-2015. The Sharpe, Treynor, Jensen Alpha, Information ratio and Fama’s Net Selectivity measures has been used to analyze MF performance. Our study findings show significant positive relation exist between Sharpe and Jenson alpha & information ratio (IR); Treynor ratio is negatively correlated to Jenson alpha and Jenson alpha is positively allied with IR. Moreover, association among performance measures, Fama’s net selectivity is a major driver in leading to other measures but Sharpe and IR lead to Treynor ratio as well. Furthermore, performance measures are ranked in accordance standard deviation with the arrangement of Fama’s net selectivity at top, Jenson Alpha at second, Sharpe ratio at third, IR at fourth and Treynor ratio at fifth position according to risk parameters in Pakistan. Overall, Jensen Alpha measure appears to be the best suitable mutual fund performance measure in Pakistan due to its practical nature. Finally, the Pakistani stock market index KSE100 (as benchmark) performs better than MF industry of Pakistan.

목차

Ⅰ. Introduction

Ⅱ. Literature Review

Ⅲ. Data and Research Methodology

Ⅳ. Results and Discussions

Ⅴ. Conclusion and Implications

키워드

Mutual Fund Risk-Adjusted Performance Open and Close Ended Mutual Funds Portfolio Diversification Suitable Performance Measure