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Comparison of Mutual Fund Performance Measures: A Case of Pakistani Islamic Mutual Funds

Thesis Info

Access Option

External Link

Author

Zehra Khan

Institute

Virtual University of Pakistan

Institute Type

Public

City

Lahore

Province

Punjab

Country

Pakistan

Thesis Completing Year

2018

Thesis Completion Status

Completed

Subject

Software Engineering

Language

English

Link

http://vspace.vu.edu.pk/detail.aspx?id=198

Added

2021-02-17 19:49:13

Modified

2024-03-24 20:25:49

ARI ID

1676720992305

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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.
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