Article Published In Vol.7 (Jan-Feb-2019)

Who Is the Sharp Manager? A First Comprehensive Sectorial Wise Analysis of Mutual Fund Industry of Pakistan

Author : Ishfaq Ahmed and Nosherwan Khan

The purpose of this study is to evaluate the risk adjusted performance measures, such as Sharpe, Treynor, Sortino, Jensen’s Alpha and Fama measure. A novelty of this work is using the sectorial wise analysis of the all the available data of mutual fund industry of Pakistan. This study used four categories of Voluntary Pension Fund, ten categories of Open ended mutual fund such as index tracker, income, equity, asset allocation, balanced, capital protected, commodity, money market, fund of fund and fixed aggressive fund, and one category of close ended mutual fund. Study revealed that voluntary pension and closed ended fund out-performed and seem to be more diversified and have ability to generate excess return for compensation of bearing high return. Open ended mutual fund under performed and seems to be poor in diversification and selectivity. This conclusion indicates that mutual fund industry of Pakistan face very extensive problem and the ability of fund managers is question mark.

Keywords: Mutual fund, Sharpe, Treynor, Sortino, Fama measures