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Performance Evaluation of Mutual Fund Sector in Bangladesh, and Identification of Major Drawbacks

Author

Listed:
  • Md. Habibur Rahman

    (Jatiya Kabi Kazi Nazrul Islam University, Trishal, Mymensingh-2224, Bangladesh.)

  • Abdullah Al Mamun

    (Jatiya Kabi Kazi Nazrul Islam University, Trishal, Mymensingh-2224, Bangladesh.)

Abstract

This study focuses on the performance evaluation of the selected mutual funds listed in Dhaka Stock Exchange Limited, Bangladesh, and also attempts to identify the main drawbacks of this sector. Sharpe ratio, Treynor ratio, Jensen Alpha, M2, and Information ratio have been employed as performance evaluation tools. Total risk and systematic risk of the funds are examined separately. A measure of active return and excess return over a risk-free rate is also made in this study. Fama performance measure is used in detail to evaluate the skill of fund managers. This study covers the period from February 2013 to December 2021 (107 months). The study revealed that most of the funds failed to outperform the benchmark during the period. The fund managers had shown good selection skills when the market was bearish but when the market was normal or bullish, they had showed poor selection skill. Among many reasons’ Imperfect definition of mutual fund in Bangladesh seems to be the main reason behind their poor performance.

Suggested Citation

  • Md. Habibur Rahman & Abdullah Al Mamun, 2022. "Performance Evaluation of Mutual Fund Sector in Bangladesh, and Identification of Major Drawbacks," International Journal of Science and Business, IJSAB International, vol. 8(1), pages 76-94.
    • Handle: RePEc:aif:journl:v:8:y:2022:i:1:p:76-94
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    References listed on IDEAS

    as
    1. Fama, Eugene F, 1972. "Components of Investment Performance," Journal of Finance, American Finance Association, vol. 27(3), pages 551-567, June.
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    More about this item

    Keywords

    Â Mutual Fund Performance; Risk; Return; Sharpe ratio; Treynor ratio; Jensen Alpha; M2; and Information ratio; Net Selectivity.;
    All these keywords.

    JEL classification:

    • M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics

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