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

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.

Evaluation of risk adjusted performance of mutual funds in an emerging market

“…On the other hand, the risk adjusted returns including Sharpe, Treynor, Jensen's and Ulcer measures are all on average negative. The Martin ratio behaves same as Treynor ratio but differently as compared to Sharpe ratio, which is contradictory to the findings of Ahmed et al (2020). The negative ratios show that the mutual funds managers are not capable enough to beat the market.…”

“…Majority of the studies have used risk adjusted measures to evaluate the performance. However, Ahmed, Sheikh, and Paracha (2020) reported empirical evidence proving that on average the performance measures have the same ranking. Some recent studies include a study done by Ahmed and Khan (2019) where they analyzed the performance of mutual funds based on their classification and category, taking data from the inception of each fund till the end of September 2017.…”