Comparing nexus of ranking among mutual fund categories and families of performance measures at investment policy level

Wajid Shakeel Ahmed (), Jibran Sheikh () and Adil Tahir Paracha
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Wajid Shakeel Ahmed: Department of Management Sciences, COMSATS University, Islamabad, Pakistan
Jibran Sheikh: Department of Management Sciences, COMSATS University, Islamabad, Pakistan
Adil Tahir Paracha: Department of Management Sciences, COMSATS University, Islamabad, Pakistan

International Journal of Financial Engineering (IJFE), 2020, vol. 07, issue 02, 1-20

Abstract: The aim of the study covers, at first, the rank comparison drawn among mutual funds at categorical and investment policy level and secondly, among the selected three families of performance measures against famous Sharpe ratio. The Spearman rank order correlation and mean rank order approach have been used for this purpose. The major findings of the study reveal that the most of the performance measures have shown a similar ranking order of mutual funds, at the investment policy level, against the standard measure i.e., Sharpe ratio. However, funds that have shown a non-normal trend, led to misspecification syndrome.

Keywords: Mutual funds; Sharpe ratio; absolute measures; relative measures; density measures; Spearman rank order correlation (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1142/S2424786320500218

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