Association of Mutual Fund Risk Measures and Return Parameters: (A Juxtapose of Ranking for Performance in Pakistan)

Khurram, Muhammad Usman; Hamid, Kashif; Javeed, Sohail Ahmad

doi:10.2139/ssrn.2911571

Cited by 5 publications

(4 citation statements)

References 59 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…This means that investors using various performance metrics can screen different equity emerging funds. This result is consistent with Khurram et al. (2021).…”

Section: Resultssupporting

confidence: 91%

“…The authors evidenced that performance measures are relevant for the subsequent portfolio returns. Recently, Busse et al (2021) propose a new performance measure that substantially affects performance rankings and Khurram et al (2021) evidence that performance measures matter in an emerging market (Pakistan).…”

Section: Previous Literature On Selecting Performance Measuresmentioning

confidence: 99%

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Do performance measures matter for stock mutual funds? An international analysis

Santomil

Fernández

González

2022

IJOEM

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PurposeThe purpose of this study is to evaluate whether the classification of the equity mutual fund depends on the performance measure used.Design/methodology/approachThe sample for this study includes stock mutual funds for the USA, Europe and emerging market economies covering the period 2010 to 2020. Using more than 20 performance measures the results are compared using the Sharpe ratio as the reference.FindingsThe results show that performance measures based on absolute reward–risk ratios like Sortino, Treynor, etc. have similar rankings, because in general the numerator (mean excess return) is the same. However, when the authors employ other types of performance measures, results may be significantly different, especially in the case of metrics for “incremental returns”, i.e. alphas. Focussing on markets, their results show that choosing performance measures is more relevant for emerging markets.Research limitations/implicationsThe sample is only limited to the USA, Europe and the emerging market, and there are other performance metrics in the literature which have not been covered in this work.Practical implicationsThe ordering of equity mutual funds depends on the measure used, specially if investors employ factor models to measure excess returns (alphas). Hence, policy formulation on disclosure of mutual fund performance should encourage the use of several metrics from different families. Investors must be aware of the different rankings made and the most appropriate metrics based on their preferences.Originality/valueThis paper focusses specifically on the effect that performance metrics have on relative fund performance. Previous studies have ignored alpha metrics to rank funds, which are commonly employed by investors. The authors’ study performs an analysis for three different markets considering the two main developed ones (the American and European equity markets), as well as the emerging one, largely ignored until now.

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“…This means that investors using various performance metrics can screen different equity emerging funds. This result is consistent with Khurram et al. (2021).…”

Section: Resultssupporting

confidence: 91%

Section: Previous Literature On Selecting Performance Measuresmentioning

confidence: 99%

Do performance measures matter for stock mutual funds? An international analysis

Santomil

Fernández

González

2022

IJOEM

View full text Add to dashboard Cite

show abstract

“…Greyness, in its most fundamental definition, refers to data that is incomplete or unknown. Therefore, as a grey product, an element from a half-finished message is weighed (Usman Khurram, Hamid, & Javeed, 2020). Grey relationship means the calculation of various connections between two processes or between two variables that occur over a period of time in a system (Shih et al, 1994), and GRA is a research technique engaged in capturing the connections between elements when their growth movements have either heterogeneity or homogeneity (Deng, 1989).…”

Section: Methodsmentioning

confidence: 99%

Evaluating Performance of Insurance Sector in Pakistan Through Benchmark Performance Indicators

Bakhtawar

Hamid

Raza³

2021

GSSR

Self Cite

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Benchmarking has been very important in measurement, comparison, and improvement. Important benchmarking indicators such as leverage, liquidity, stock performance, profitability, asset utilization and growth are used to examine the performance of various companies in different businesses. The current study is based on secondary data, which were collected from annual reports of 14 insurance companies of the Listed Pakistan Stock Exchange during the period of 2014-2018. For this purpose, the Technique for order Preferences by the Similarity to Ideal Solution (TOPSIS) based on Grey Relation Analysis (GRA) has been used. The findings of the study help managers of moderate growth and low growth insurance companies to formulate policies to improve their performance by looking at the policies of highly growing Insurance companies. The results concluded that overall ranking of insurance companies from 2014 to 2018, JLIL ranked 1st in overall performance in the year 2014. It is due to high net sales and total investment returns as compared to other insurance companies.

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“…Given that the Sharpe ratio is a product from the capital market line, which represents portfolios that optimally combine risk and return, it provides a total risk-adjusted return as a measure of mutual fund performance. Furthermore, it helps identify the performance of less diversified portfolios (Khurram et al, 2021).…”

Section: Sharpe Ratio and Diversification Benefitsmentioning

confidence: 99%

Performance and diversification benefits of IPO‐focused mutual funds

Kammoun

Bouden

2023

J of Financial Research

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We investigate whether mutual funds that invest in initial public offerings (IPOs) outperform the Renaissance IPO Index, IPOX® 100 U.S. Index, and other comparable equity funds that do not invest in IPOs. We also explore whether investors gain diversification benefits by investing in IPO‐focused mutual funds. Using a sample of active open‐ended US equity mutual funds, we find that IPO‐focused funds outperform the Renaissance IPO Index and comparable funds that do not invest in IPOs. Moreover, they provide investors with the benefit of diversification along with better returns. We also find the value added by active management based on IPO strategy.

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Association of Mutual Fund Risk Measures and Return Parameters: (A Juxtapose of Ranking for Performance in Pakistan)

Cited by 5 publications

References 59 publications

Do performance measures matter for stock mutual funds? An international analysis

Do performance measures matter for stock mutual funds? An international analysis

Evaluating Performance of Insurance Sector in Pakistan Through Benchmark Performance Indicators

Performance and diversification benefits of IPO‐focused mutual funds

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