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DOES THE 'GOOD' PERFORMANCE MEASURES SHOW CONSISTENCY ACROSS TIME HORIZONS? APPLICATION OF OLS AND FISHER-Z TRANSFORMATION METHOD ON MUTUAL FUNDS CATEGORIES OF PAKISTAN |
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| รหัสดีโอไอ | |
| Creator | Wajid S. Ahmed, Malik J. Saboor, Adil T. Paracha, and Malik F. Azeem |
| Title | DOES THE 'GOOD' PERFORMANCE MEASURES SHOW CONSISTENCY ACROSS TIME HORIZONS? APPLICATION OF OLS AND FISHER-Z TRANSFORMATION METHOD ON MUTUAL FUNDS CATEGORIES OF PAKISTAN |
| Contributor | - |
| Publisher | TuEngr Group |
| Publication Year | 2562 |
| Journal Title | International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies |
| Journal Vol. | 10 |
| Journal No. | 17 |
| Page no. | 10A17B: 1-17 |
| Keyword | Mutual funds, Ordinary least square (OLS), Time variant effect, Sharpe ratio, Fisher z-transformation, Skewness and kurtosis. |
| URL Website | http://tuengr.com/Vol10_17.html |
| Website title | ITJEMAST V10(17) 2019 @ TuEngr.com |
| ISSN | 2228-9860 |
| Abstract | The first objective of our paper is to identify if the skewness and kurtosis having an impact on the end result in relation to the distribution return pattern of returns in mutual fund industry of Pakistan. The second objective evaluates the persistency in the performance of chosen performance measures against Sharpe measure. In this regard, ordinary least square (OLS) method approach has been applied first and secondly, the fisher z-transformation approach has been used to evaluate the degree of concordance among the alternative performance measures and the Sharpe ratio. The results from (OLS) method verified that the skewness and kurtosis had no impact on the relationship between the alternative measures and Sharpe ratio in evaluation of mutual funds classes. Whereas, from degree of concordance analysis the alternative measures against the non-normal distribution seem more logical choice simply because the deviation is far lower than ones based upon assumption of normal distribution. |
