Comparison of Mutual Fund Performance Measures: A Case of Pakistani Islamic Mutual funds
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Author:
ZEHRA KHAN
Citable URI :
https://vspace.vu.edu.pk/detail.aspx?id=198
Publisher :
Virtual University
Date Issued:
6/19/2019 12:00:00 AM
Abstract
This research measures and evaluates the performance of 13 Shariah Compliant Mutual Funds of Pakistan from September 2009 to August 2017 by using 18 performance measures including Sharp Ratio, Treynor Ratio, Jenson’s Alpha, Beta, Absolute Performance, Standard Deviation, Modigliani Risk-Adjusted Performance, Appraisal Ratio, Information Ratio, Adjusted Sharpe Ratio, Downside Risk, Downside Potential, Tracking Error, Number of Negative Periods, Number of Positive Periods, Max Drawdown, Sortino Ratio, Fama’s Decomposition Measure. Few measures declare some funds to have outperformed the benchmark while others declare them to have underperformed. The research also analyzes and compares the performance measures to characterize the relationship between them and find if they lead to an identical ranking by using three analysis techniques: Pearson’s r, Spearman’s rho, Kendall’s tau coefficient. The study concludes that there is a high level of correlation among performance measures which indicates that the performance measures classify mutual funds in a similar manner in the three sub-periods i.e. 6 months, 1 year and 3 years. Change of frequency doesn’t disturb their classification ability.
URI :
https://vspace.vu.edu.pk/details.aspx?id=198
Citation:
Khan, Z,(2018), Comparison of Mutual Fund Performance Measures: A Case of Pakistani Islamic Mutual funds. Virtual University of Pakistan.(Lahore, Pakistan).
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Final Version
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