Performance evaluation of Saudi equity mutual funds: Fama decomposition model
This paper is in pursuit of analyzing and elongating prior research on the performance evaluation of mutual funds by a comparative analysis with three categories of 82 Saudi equity funds during 2011 to 2016 using Fama’s decomposition model. The paper also made an attempt to explore the relationship...
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2018-11-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/11182/imfi_2018_04_Kumaraswamy.pdf |
| _version_ | 1826907942500171776 |
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| author | Sumathi Kumaraswamy Ibrahim Al Ezee |
| author_facet | Sumathi Kumaraswamy Ibrahim Al Ezee |
| author_sort | Sumathi Kumaraswamy |
| collection | DOAJ |
| description | This paper is in pursuit of analyzing and elongating prior research on the performance evaluation of mutual funds by a comparative analysis with three categories of 82 Saudi equity funds during 2011 to 2016 using Fama’s decomposition model. The paper also made an attempt to explore the relationship with the risk reward ratio to the relative performance measure in predicting the future performance of the Saudi equity fund returns. The empirical results show that Saudi local equity funds perform better followed by Arabian and international/global equity funds in terms of expected signs and diagnostic tests. |
| first_indexed | 2024-12-11T03:37:43Z |
| format | Article |
| id | doaj.art-4f34b94920c346c8a3d72738d32c64ce |
| institution | Directory Open Access Journal |
| issn | 1810-4967 1812-9358 |
| language | English |
| last_indexed | 2025-02-17T09:14:37Z |
| publishDate | 2018-11-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Investment Management & Financial Innovations |
| spelling | doaj.art-4f34b94920c346c8a3d72738d32c64ce2025-01-02T14:27:17ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582018-11-0115415816810.21511/imfi.15(4).2018.1311182Performance evaluation of Saudi equity mutual funds: Fama decomposition modelSumathi Kumaraswamy0Ibrahim Al Ezee1Dr., Ph.D., Assistant Professor, Department of Economics and Finance, College of Business Administration, University of BahrainDr., Ph.D., Assistant Professor, Department of Economics and Finance, College of Business Administration, University of BahrainThis paper is in pursuit of analyzing and elongating prior research on the performance evaluation of mutual funds by a comparative analysis with three categories of 82 Saudi equity funds during 2011 to 2016 using Fama’s decomposition model. The paper also made an attempt to explore the relationship with the risk reward ratio to the relative performance measure in predicting the future performance of the Saudi equity fund returns. The empirical results show that Saudi local equity funds perform better followed by Arabian and international/global equity funds in terms of expected signs and diagnostic tests.https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/11182/imfi_2018_04_Kumaraswamy.pdfFama decomposition measuremutual fundsperformance evaluationSaudi Arabia |
| spellingShingle | Sumathi Kumaraswamy Ibrahim Al Ezee Performance evaluation of Saudi equity mutual funds: Fama decomposition model Investment Management & Financial Innovations Fama decomposition measure mutual funds performance evaluation Saudi Arabia |
| title | Performance evaluation of Saudi equity mutual funds: Fama decomposition model |
| title_full | Performance evaluation of Saudi equity mutual funds: Fama decomposition model |
| title_fullStr | Performance evaluation of Saudi equity mutual funds: Fama decomposition model |
| title_full_unstemmed | Performance evaluation of Saudi equity mutual funds: Fama decomposition model |
| title_short | Performance evaluation of Saudi equity mutual funds: Fama decomposition model |
| title_sort | performance evaluation of saudi equity mutual funds fama decomposition model |
| topic | Fama decomposition measure mutual funds performance evaluation Saudi Arabia |
| url | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/11182/imfi_2018_04_Kumaraswamy.pdf |
| work_keys_str_mv | AT sumathikumaraswamy performanceevaluationofsaudiequitymutualfundsfamadecompositionmodel AT ibrahimalezee performanceevaluationofsaudiequitymutualfundsfamadecompositionmodel |