Raza, Syed Ali and Raza, Syed Aoun and Zia, Abassi (2011): Equity mutual funds performance in Pakistan: risk & return analysis. Forthcoming in: American Journal of Scientific Research
Download (183kB) | Preview
The purpose of this study is to find the performance of the Pakistani mutual fund industry. The performance of these funds can be considered to be very good relative to the market portfolio. This research study is focused on Secondary source of data. Analysis apply will require to investigate the related matters of research, which includes the related data of profitability ratios comprising of 12 Asset management companies (AMCs) annual reports in different time period from 1999 to 2009 using yearly returns of the different Mutual Funds. The multiple regression method is used in this paper for the performance of the funds. The results of this research explain that Market Portfolio (MP), Pakistan Investment Bonds (PIBs) are having positive and significant impact on Yearly Return (YR) of different Mutual Funds but dividends (DIV) is having negative and insignificant impact on yearly return of mutual funds, so it is recommended that it is still in early days of mutual funds in Pakistani market. The dividend had always a negative impact on the yearly returns (YR) of mutual funds because the Net Asset Value (NAV) is decreasing after giving dividend at the end of the fiscal year. This study will also add to the body of knowledge as it can be a useful reference to other researchers who are keen to carry out studies on the performance of other types of Mutual Funds in Pakistan.
|Item Type:||MPRA Paper|
|Original Title:||Equity mutual funds performance in Pakistan: risk & return analysis|
|English Title:||Equity Mutual Funds Performance in Pakistan: Risk & Return Analysis|
|Keywords:||Yearly Return of Mutual Funds, Dividends, Market Portfolio, Pakistan Investment Bonds, and Net Asset Value|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions|
|Depositing User:||Syed Ali Raza|
|Date Deposited:||21. Feb 2012 04:37|
|Last Modified:||12. Feb 2013 05:57|
Arnaud AA (1985) “Investment Trusts Explained”, Woodhed Faulker Ltd., Cambridge, London.
Becker, S. and G. Vaughan (2001), Small is beautiful. Journal of Portfolio Management.
Bogle, John C. (1991), investing in the 1990s: Remembrance of things past and things yet to come. Journal of Portfolio Management, pp. 5-14.
Chang, E.C. and Llewellyn W., (1984), `Market Timing and Mutual Fund Investment Performance’, Journal of Business, (January), pp.57-72.
Droms, W.G. and D.A. Walker, (1994) “Investment Performance of International Mutual Funds,” Journal of Financial Research 17, spring 1994, pp. 1-14.
Elton, E. J., M. J. Gruber, S. Das and M. Hlavka (1993), Efficiency with costly information: A reinterpretation of evidence from managed portfolios. Review of Financial Studies, Volume 6, pp. 1-22.
Fama, E.F., (1972), `Components of Investments Performance’, Journal of Finance, (June), pp.551-567.
Firth, M., (1977), `the Investment Performance of Unit Trust: 1965-75’, Vol 2, Number 4, 1977, Journal of Money, Credit and Banking, (November), Ohio, and USA.
Gallagher, David R. (2003), Investment manager characteristics, strategy, top management changes and fund performance. Accounting and Finance, Volume 43, pp. 283-309.
George, P. Artikis (2001), Evaluation of balanced mutual funds: The case of the Greek financial market. Managerial Finance, Volume 27, Issue 6, pp. 60-67.
Gorman, L. (1991), A study of the relationship between Mutual Fund return and asset size, 1974 1987. Akron Business and Economic Review, Volume 22, pp. 53-61.
Gupta, O.P. and Sehgal, S., (1997), `Investment Performance of Mutual Funds – The Indian Experience’, `Indian Capital Market – Trends and Dimensions’, Tata McGraw Hill Publishing Company Ltd. (on behalf of Institute of Capital Market, Navi Mumbai), pp.1 -41.
Gupta, M. and Aggarwal, N. (2007). Performance of Mutual Funds in India: An Empirical Study. The ICFAI Journal of Applied Finance, 13, 9: 5-16.
Haslem, J.A., (1988), `Investor’s Guide to Mutual Funds’, Prentice Hall International, USA. Pp.24-98.
Henriksson, R.D., (1984), `Market Timings and Mutual Funds Performance: An Empirical Investigation’, Journal of Business, (January), pp.73-96.
Ippolito, R. A. (1992), Consumer reaction to measures of poor quality: Evidence from the Mutual Fund industry. Journal of Law and Economics, Volume 35, pp. 45-70.
Jain, P.K. (1982), `Financial Institution in India – A Study of Unit Trust of India’, Triveni Publication, New Delhi.
Jaydev, M., (1996), `Mutual Fund Performance: An Analysis of Monthly Returns’, Finance India, Vol. X, No.1, (March), pp.73-84.
Joseph, H. Golec (2004), the effects of Mutual Fund manager characteristics on their portfolio performance, risk and fees. Financial Services Review.
Kon, S.F., (1983), `The Market Timing Performance of Mutual Fund Managers’, Journal of Business, (July), pp. 323-347.  Korkeamaki, Timo P. and Thomas I. Smythe Jr. (2004), Effects of market segmentation and bank concentration on Mutual Fund expenses and returns: Evidence from Finland. European Financial Management, Volume 10, No. 3, pp. 413-438.
Livingston, M. and E. O’Neal (1998), the cost of Mutual Fund distribution fees. Journal of Financial Research, Volume 21, pp. 205-218.
McDonald, J.G., (1974), `Objectives and Performance of Mutual Funds: 1960-67’, Journal of Financial and Quantitative Analysis, June, pp.311-333.
McLeod, R. W. and D. K. Malhotra (1994), A re-examination of the effect of 12B-1 plans on Mutual Fund expense ratio. Journal of Financial Research, Volume 17, pp. 231-40.
Michael C. Jensen, “The Performance of Mutual Funds in the period 1945-1964”, Journal of Finance, Vol. 23, No. 2,1967, 389-416.
Pushner, George and Diane Coogan (1999), Pacific basin Mutual Fund performance. Advances in Pacific Basin Finance, JAI Press.
Raza, S.A., Jawaid, S.T., Arif, I., & Qazi, F. (2011) Validity of capital assets pricing model: Evidence from Karachi stock exchange, “African Journal of Business Management”, Vol. 5 (32): 12598-12605
Robert, T. Kleiman and Anandi P. Sahu (1988), the relationship between Mutual Fund size and risk-adjusted performance: An analysis of load funds. American Business Review.
Sharpe, W.F., 1992, “Asset Allocation: Management Style and Performance Measurement,” Journal of Portfolio Management, winter, 7-19.
Sharpe, W.F., 1988, “Determining a Fund’s Effective Asset Mix,” Investment Management Review, December, 59-69.
Sharpe, W.F. 1966, `Mutual Fund Performance’, Journal of Business, XXXIX, Part-2 (January), pp.119-138
Soderlind, Paul, Dahlquist, Magnus and Stefan Engstrom (2000), Performance and characteristics of Swedish mutual funds. Journal of Financial and Quantitative Analysis, Volume 35, No. 3, pp. 409-423.
S. Narayan Rao, M. Ravindran,”Performance Evaluation of Indian Mutual Funds”, Working paper, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=433100.
Statman, M.,”Socially responsible mutual funds”, Financial Analysts Journal 56, 2000, 30-38.
Tan, K. J., L. E. Sweeney and R. S. Rathinasamy (1997), Mutual fund objectives: Do they provide a useful guide for investors? Journal of Financial and Strategic Decisions, Volume 10, Number 2.
Treynor, J.L., (1965), `How to Rate Management of Investment Funds’, Harward Business Review, January-February, 1965, pp.63-75.
Zakri Y. Bello,”Socially Responsible Investing and Portfolio Diversification”, the Journal of Financial Research, Vol. XXVIII, No. 1, 2005, 41-57.