Professional Documents
Culture Documents
MFAP is the trade body duly licensed by the government of pakistan for the
mutual fund industry in pakistan.
All asset management companies (amcs) and investment advisory ( ias )
licensed by secp.
MUTUAL FUND
A mutual fund is a collective investment scheme.
Which specializes in investing a pool of money collected from investors.
It give small investors access to professionally managed, diversified
portfolios of equities, debt instruments.
The income earned through these investments are shared with its unit
holders in proportion to the number of units owned by them.
BALANCED SCHEME:
These funds provide investors with a single mutual fund that invests in both stocks and debt
instruments.
This diversification aimed at providing investors a balance of growth
SAMPLE
Only open- ended mutual fund schemes have been considered.
Data was taken from the site of pakistan mutual fund i.E. Www.Mupaf.Com.Pk
Data sample consist of 8 mutual funds taken from a period from january
2012 to january 2015.
It consist of 37 observation for each fund.
Data for index was collected from kse website.
The risk free rate i.E. Kibor rate from the state bank of pakistan website.
SHARPE RATIO:
The sharpe ratio determines the expected realized return over that minimum. Within
the risk-reward framework of portfolio theory, higher risk investment should produce
high returns. As a result, a high sharpe ratio indicates superior risk adjusted
performance.
SORTINO RATIO:
The sortino ratio, on the other hand, only includes the downside standard deviation.
TREYNOR RATIO:
Beta is used as the risk measure to standardize performance instead of standard
deviation.
METHODOLOGY
JENSENS ALPHA (ALPHA):
INFORMATION RATIO:
In contrast to the sharpe, sortino and roy's safety-first ratios, the information ratio uses the standard
deviation of active returns as a measure of risk instead of the standard deviation of the portfolio.
HYPOTHESES
H0: The sample mutual fund schemes do not perform efficiently.
H1: The expected return is greater than estimated return(benchmark return)
H2: The expected return is lesser than estimated return(benchmark return)
H3: Period of the mutual fund schemes is not related to their efficiency.
H4: Past performance of the mutual fund schemes is not related to their
efficiency.
H5: Risk () of the mutual fund schemes is not related to their efficiency.
hbl
money
market
treynor
rank
rank
jensen Alpha
nafa
stock
lakson
income
0.0234
-0.0995
0.7474
0.0108
0.4047
0.0013
-1.0159
-0.557
0.3688
0.2921
-0.5326
0.252
-0.8882
0.0175
-0.7176
information
js income
-0.2169
sortino
niut
alfalah
ghp
alpha
-0.3161
sharp
hbl
income
nit
governme
nt bond
-0.5004
-1.1609
0.6584
-1.0702
-0.0075
-0.2846
-0.0509
-0.0066
-0.494
-0.8781
0.001
0.3939
-1.0313
-0.0087
-0.7023
-0.2043
0.0059
-1.086
-0.0141
0.204
-0.3125
-0.0057
-0.0204
TREYNOR RATIO
Treynor ratio measures how much excess returns a fund has generated
relative to the market risk it is exposed to.
Five of our fund gives positive ratios as per market risk.
Js income fund gives the highest ratio of return than the risk in the market
And the HBL income fund is highly effected by market risk at it is the negative
return
SHARP RATIO
Sharpe ratio measures how much excess returns a fund has generated
relative to the total risk it is exposed to
Only four of the funds give positive ratio against the risk fund is facing.
SORTINO RATIO
The sortino ratio, on the other hand, only includes the downside deviation.
This means only the volatility that produces fluctuating returns below a
specified benchmark is taken into consideration
Only three funds are efficient against risk. And they gives excessive return than
the minimal acceptable return.
INFORMATION RATIO
Sortino ratio, the information ratio uses the standard deviation of active
returns as a measure of risk instead of the standard deviation of the portfolio.
None of our return gives a positive return according to the risk of the standard
deviation.
Hypothesis:
We accept our H1 and H2 hypothesis