A PANDEMIC INFLUENCED RISK ADJUSTED AND DECOMPOSED EQUITY MUTUAL FUND PERFORMANCE: A COMPARATIVE ANALYSIS OF ISLAMIC AND CONVENTIONAL FUNDS
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Dec 23, 2023
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Abstract
Mutual fund is an investment device that encourages investors, especially in developing countries like Pakistan, which highly depend on foreign aid. Fund structures and benefits attract many small investors for investment in funds. The aim of this study is to determine the performance of mutual funds in Pakistan. The performance is analyzed by three different measurement tools i.e., Sharp ratio, Treynor ratio and Fama decomposition measures. This study covers the period from 2012 to 2022 and determines the performance of 27 funds, of which 20 are conventional funds and seven are Islamic mutual funds. Results prove that conventional funds performed better than Islamic funds. Fund selection was better than fund diversification. Fund cannot diversify properly. Pre covid performance of funds was better than post covid. It depicts that the covid 19 hit mutual fund industry badly.
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References
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Pant, R., Ghimire, B., & Dahal, R. K. (2022). Determinants of mutual fund performance in Nepal. Nepal Journal of Multidisciplinary Research, 5(5), 1–16.
Rahman, M. H., & Al Mamun, A. (2022). Performance Evaluation of Mutual Fund Sector in Bangladesh, and Identification of Major Drawbacks. International Journal of Science and Business, 8(1), 76–94.
Sadeghi Goghari, S., Souri, A., Abbasinejad, H., & Mehrara, M. (2020). Portfolio Diversification and Net Selectivity Performance of Mutual Funds in Iran by Using Fama Decomposition Model. Iranian Economic Review, 24(2), 471–487.
Sharpe, W. F. (1966). Mutual fund performSharpe, W. F. (1966). Mutual fund performance. The Journal of Business, 39(1), 119–138.ance. The Journal of Business, 39(1), 119–138.
Song, Y. (2020). The mismatch between mutual fund scale and skill. The Journal of Finance, 75(5), 2555–2589.
Treynor, J. (1965). How to rate management of investment funds.
Treynor, J., & Mazuy, K. (1966). Can mutual funds outguess the market. Harvard Business Review, 44(4), 131–136.
Xuezhou, W., Yassir Hussain, R., Hussain, H., Saad, M., & Sohail Butt, R. (2020). INTERACTION OF ASSET TANGIBILITY ON THE RELATIONSHIP BETWEEN LEVERAGE STRUCTURE AND FINANCIAL DISTRESS IN AGRICULTURE-LINKED NON-FINANCIAL FIRMS. Scientific Papers Series Management, Economic Engineering in Agriculture and Rural Development, 20(3), 649–669.
Bilawal, M., Dilawar Khan, M., Hussain, R. Y., & Akmal, U. (2016). Performance Evaluation of Closed Ended Mutual Funds in Pakistan. In Int. J. Manag. Bus. Res (Vol. 6, Issue 1). www.kse.com.pk.
Bollen, L., Vergauwen, P., & Schnieders, S. (2005). Linking intellectual capital and intellectual property to company performance. Management Decision, 43(9), 1161–1185.
Brown, S. J., & Goetzmann, W. N. (1995). Performance persistence. The Journal of Finance, 50(2), 679–698.
Fama, E. F. (1972). Components of investment performance. The Journal of Finance, 27(3), 551–567.
Farid, S., & Wahba, H. (2022). The effect of fund size on mutual funds performance in Egypt. Future Business Journal, 8(1), 27.
Henriksson, R. D., & Merton, R. C. (1981). On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. Journal of Business, 513–533.
Hussain, H., Hussain, R. h. doc/Citation/2022 F. txt. Y., Shah, S. W. A., & Fraz, A. (2012). INTERNATIONAL PORTFOLIO DIVERSIFICATION IN DEVELOPING EQUITY MARKETS OF SOUTH ASIA. Studies in Business and Economics, 7, 80–100. https://api.semanticscholar.org/CorpusID:55028755
Hussain, R. Y., Hussain, H., & Hassan, A. (2016). ALUATION OF MUTUAL FUNDS AND SELECTION ABILITIES OF FUND MANAGERS IN PAKISTAN. Pakistan Business Review, 18(1), 76–98.
Inam, F., Inam, A., Mian, M. A., Sheikh, A. A., & Awan, H. M. (2019). Forecasting Bankruptcy for organizational sustainability in Pakistan: Using artificial neural networks, logit regression, and discriminant analysis. Journal of Economic and Administrative Sciences, 35(3), 183–201.
Ismail, Z. H. (2002). Law and the nonprofit sector in Pakistan. The John Hopkins Comparative Nonprofit Sector Project, Pakistan. The Johns Hopkins Centre for Civil Society Studies.
Jensen, M. C. (1969). Risk, the pricing of capital assets, and the evaluation of investment portfolios. The Journal of Business, 42(2), 167–247.
Kahn, R. N., & Rudd, A. (1995). Does historical performance predict future performance? Financial Analysts Journal, 51(6), 43–52.
Kumaraswamy, S., & Al, E. I. (2018). Performance evaluation of Saudi equity mutual funds: Fama decomposition model. Investment Management and Financial Innovations, 15, Iss. 4, 158–168.
Malkiel, B. G. (1995). Returns from investing in equity mutual funds 1971 to 1991. The Journal of Finance, 50(2), 549–572.
Modigliani, F., & Modigliani, L. (1997). Risk-adjusted performance. Journal of Portfolio Management, 23(2), 45–54.
Omokehinde, J. O. (2021). MuTuAL FuNDS BEHAVIOR AND RISK-ADJuSTED PERFORMANCE IN NIGERIA.
Pant, R., Ghimire, B., & Dahal, R. K. (2022). Determinants of mutual fund performance in Nepal. Nepal Journal of Multidisciplinary Research, 5(5), 1–16.
Rahman, M. H., & Al Mamun, A. (2022). Performance Evaluation of Mutual Fund Sector in Bangladesh, and Identification of Major Drawbacks. International Journal of Science and Business, 8(1), 76–94.
Sadeghi Goghari, S., Souri, A., Abbasinejad, H., & Mehrara, M. (2020). Portfolio Diversification and Net Selectivity Performance of Mutual Funds in Iran by Using Fama Decomposition Model. Iranian Economic Review, 24(2), 471–487.
Sharpe, W. F. (1966). Mutual fund performSharpe, W. F. (1966). Mutual fund performance. The Journal of Business, 39(1), 119–138.ance. The Journal of Business, 39(1), 119–138.
Song, Y. (2020). The mismatch between mutual fund scale and skill. The Journal of Finance, 75(5), 2555–2589.
Treynor, J. (1965). How to rate management of investment funds.
Treynor, J., & Mazuy, K. (1966). Can mutual funds outguess the market. Harvard Business Review, 44(4), 131–136.
Xuezhou, W., Yassir Hussain, R., Hussain, H., Saad, M., & Sohail Butt, R. (2020). INTERACTION OF ASSET TANGIBILITY ON THE RELATIONSHIP BETWEEN LEVERAGE STRUCTURE AND FINANCIAL DISTRESS IN AGRICULTURE-LINKED NON-FINANCIAL FIRMS. Scientific Papers Series Management, Economic Engineering in Agriculture and Rural Development, 20(3), 649–669.