Quantitative Measurement of Mutual funds of Pakistan with the scheme of KSE 100 Index Market

Abstract

This study examines the quantitative dimensions of the mutual funds with the scheme of KSE-100 Index due to volatility in their prices caused fluctuation and performance which is important for the practitioners and academic researchers. This paper analyzes the performance of open ended mutual funds comprising sample of 54 mutual funds listed on the Karachi Stock Exchange and Mutual Fund Association of Pakistan (MUAFP) during the period from 2008 to 2014. Importantly, all the open ended mutual funds were selected, which commenced before January 2008. The various performance measures were used like Sharpe, Treynor, and Jensen Alpha and found that only 37 percent of the open ended mutual funds are outperformed the market with using Sharpe ratio, 38 percent of the open ended mutual funds are performing better than the market with using Treynor ratio and all the Jensen alpha ratios are showing negative abnormal returns. Thus, all the Sharpe ratios are showing negative results, but in Treynor ratio some funds are showing positive results i.e. out of 21 outperformed while only four funds are showing negative abnormal returns and the rest are showing positive abnormal returns. In this case, the Treynor method is showing good results than Sharpe method without any similarity these two models. In addition, average returns in case of income fund are higher which is evident from the descriptive results where market is getting more returns relative to open ended mutual funds.