Mutual Fund Performance in Pakistan, 1995-2004
AbstractMutual funds are the most popular vehicle of investing in the stock market and their performance evaluation is a topic dear to both investors and academics. Surprisingly, mutual funds have not played a very important role in the Pakistani stock market and perhaps consequently almost nothing has been written about their performance in any academic journal. This paper looks at the performance of Pakistani mutual funds over the last five and ten year periods using Sharpe, Jensen and Treynor measures of portfolio performance analysis. The performance is compared to that of the market portfolio defined as the KSE 100 index. Using the Sharpe measure the performance of virtually all the funds was found to be inferior to that of the market portfolio. The Jensen and Treynor measures showed about half the funds to be outperforming the market portfolio over the last five years, but when the risk measure was corrected using Famas net selectivity measure the market portfolio outperformed all the funds except one. These results support the semi-strong form of market efficiency hypothesis even more strongly than it has been demonstrated in the developed markets.
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Bibliographic InfoPaper provided by East Asian Bureau of Economic Research in its series Finance Working Papers with number 22281.
Date of creation: Jan 2006
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Mutual fund performance; Sharpe Jensen and Treynor measures of portfolio performance; test of semi-strong form of market efficiency;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
- William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
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