Mutual Fund Performance in Pakistan, 1995-2004

Naim Sipra
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Naim Sipra: LUMS

Finance Working Papers from East Asian Bureau of Economic Research

Abstract: Mutual funds are the most popular vehicle of investing in the stock market and their performance evaluation is a topic dear to both investors and academics. Surprisingly, mutual funds have not played a very important role in the Pakistani stock market and perhaps consequently almost nothing has been written about their performance in any academic journal. This paper looks at the performance of Pakistani mutual funds over the last five and ten year periods using Sharpe, Jensen and Treynor measures of portfolio performance analysis. The performance is compared to that of the market portfolio defined as the KSE 100 index. Using the Sharpe measure the performance of virtually all the funds was found to be inferior to that of the market portfolio. The Jensen and Treynor measures showed about half the funds to be outperforming the market portfolio over the last five years, but when the risk measure was corrected using Famas net selectivity measure the market portfolio outperformed all the funds except one. These results support the semi-strong form of market efficiency hypothesis even more strongly than it has been demonstrated in the developed markets.

Keywords: Mutual fund performance; Sharpe Jensen and Treynor measures of portfolio performance; test of semi-strong form of market efficiency (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 (search for similar items in EconPapers)
Date: 2006-01
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Citations: View citations in EconPapers (5)

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