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Comparing nexus of ranking among mutual fund categories and families of performance measures at investment policy level

Author

Listed:
  • Wajid Shakeel Ahmed

    (Department of Management Sciences, COMSATS University, Islamabad, Pakistan)

  • Jibran Sheikh

    (Department of Management Sciences, COMSATS University, Islamabad, Pakistan)

  • Adil Tahir Paracha

    (Department of Management Sciences, COMSATS University, Islamabad, Pakistan)

Abstract

The aim of the study covers, at first, the rank comparison drawn among mutual funds at categorical and investment policy level and secondly, among the selected three families of performance measures against famous Sharpe ratio. The Spearman rank order correlation and mean rank order approach have been used for this purpose. The major findings of the study reveal that the most of the performance measures have shown a similar ranking order of mutual funds, at the investment policy level, against the standard measure i.e., Sharpe ratio. However, funds that have shown a non-normal trend, led to misspecification syndrome.

Suggested Citation

  • Wajid Shakeel Ahmed & Jibran Sheikh & Adil Tahir Paracha, 2020. "Comparing nexus of ranking among mutual fund categories and families of performance measures at investment policy level," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 1-20, June.
    • Handle: RePEc:wsi:ijfexx:v:07:y:2020:i:02:n:s2424786320500218
    DOI: 10.1142/S2424786320500218
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    Cited by:

    1. Muhammad Asad Ali & Muhammad Aqil & Syed Hasnain Alam Kazmi & Syed Imran Zaman, 2023. "Evaluation of risk adjusted performance of mutual funds in an emerging market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1436-1449, April.

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