An Empirical Analysis Of Funds' Alternative Measures In The Drawdown Risk Measure (Drm) Framework
AbstractThis paper aims to evaluate the risk-adjusted performance of Malaysian mutual funds using the modified performance evaluation ratios by the drawdown risk measure (DRM) based on modern portfolio theory, and to represent the results in a manner which is easily understood by the average investors and portfolio managers. It evaluates the performance of 91 Malaysian mutual funds using risk-adjusted returns over the 2000-2011. The DRM, as a different measure from downside risk, is applied to improve seven risk-adjusted performance measures of Sharpe, Treynor, M-squared, Jensen's alpha, information ratio (IR), MSR, and FPI. It proposes a new single-factor model to estimate the drawdown beta and alpha in the DRM framework. This paper is the first study to estimate a new regression model in the DRM framework to evaluate the performance of Malaysian mutual funds. The evidence shows that replacement framework in terms of MDB, the drawdown beta, and the drawdown CAPM can be replaced to the conventional frameworks in terms of MVB, beta, and the CAPM and also MSB, downside beta, and D-CAPM to modify seven performance evaluation measures of Malaysian mutual funds.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by ASERS Publishing in its journal Journal of Advanced Studies in Finance.
Volume (Year): II (2011)
Issue (Month): 2 (December)
Contact details of provider:
Web page: http://www.asers.eu/journals/jasf.html
drawdown risk measure (DRM); drawdown beta; downside risk; semi-variance; mutual fund.;
Find related papers by JEL classification:
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Laura Stefanescu).
If references are entirely missing, you can add them using this form.