IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

An Empirical Analysis Of Funds' Alternative Measures In The Drawdown Risk Measure (Drm) Framework

  • Mohammad Reza Tavakoli Baghdadabad

    ()

  • Fauzias Mat Nor

    ()

  • Izani Ibrahim

    ()

    (Graduate School of Business National University of Malaysia, Malaysia)

Registered author(s):

    This 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.

    If 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.

    File URL: http://www.asers.eu/journals/jasf/jasf-issues.html
    Download Restriction: no

    Article provided by ASERS Publishing in its journal Journal of Advanced Studies in Finance.

    Volume (Year): II (2011)
    Issue (Month): 2 (December)
    Pages: 150-168

    as
    in new window

    Handle: RePEc:srs:jasf12:5:v:2:y:2011:i:2:p:150-168
    Contact details of provider: Web page: http://www.asers.eu/journals/jasf.html

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:srs:jasf12:5:v:2:y:2011:i:2:p:150-168. See general 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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.