Mutual Funds, Fund Performance, Sharpe ratio, Treynor ratio, Jenson Alpha, Systematic Risks.
Mutual Funds as one of the investment options have not been very popular particularly in the Middle East counties in spite of huge investment potential. Investors in the region have long been skeptical of the safety and returns of the investment options as the awareness about investment has been low for most of the investors of the region. This study aims to analyze the performances of mutual funds in Oman on the basis of risk and return criteria using different tools such as Sharpe ratio, Treynor ratio, and Jensen Alpha. The basic objective of the study is to provide to the investors a comparative study of the performances of the various mutual funds on offer in Oman and give an insight about the possible good choices to invest. The study concludes that mutual funds in Oman during the last five years have been performing consistently and earning good returns for its investors.
Full Text : PDF
- Ang, J.S., Chen, C.R. and Lin, J.W., (1998), Mutual fund managers’ efforts and performance, The Journal of Investing, Winter, pp.68-75.
- Blake, C.R., Elton, E.J. and Gruber, M. J., (1993), The performance of bond mutual funds, Journal of Business, Vol.66, pp.371-403.
- Bogle, J.C., (1992) Selecting equity mutual funds, Journal of Portfolio Management, Vol.18, pp.94-100
- Brown, B.J. and Goetzman, W., (1995), Performance persistence, Journal of Finance, Vol.50, pp.679-698.
- Brown, S.J., Goetzman, W., Ibbotson, R.G. and Ross, S., (1992), Survivorship bias in performance studies, Review of Financial Studies, Vol.5, pp.553-580.
- Capon, N., Fitzsimons, G.J. and Weingarten, R., (1994), Affluent investors and mutual fund purchases, International Journal of Bank Marketing, Vol.12(3), pp.17-25.
- Carhart, M.M., (1997), On persistence in mutual fund performance, Journal of Finance, Vol.52, pp.57-82.
- Carlson, R. S., (1970), Aggregate Performance of Mutual Funds: 1948-1967, Journal of Financial and Quantitative Analysis, Vol. 5, pp.1-30.
- Chen, C.R., Lee, C. F., Rahman, S. and Chan, A., (1992), A cross-sectional analysis of mutual funds’ market timing and security selection skill, Journal of Business Finance & Accounting, Vol.19, pp.659-675.
- Elton, E.J., Gruber, M.J. and Blake, C.R., (1996), The persistence of risk-adjusted mutual fund performance, Journal of Business, Vol.69, pp.133-157.
- Goetzman, W.N., Ibbotson, R.G, (1994), Do winners repeat? Journal of Portfolio Management, Vol. 20, pp.9-18.
- Golec, J.H., (1996), The effects of mutual fund managers’ characteristics on their portfolio performance, risk, and fees, Financial Services Review, Vol.5, pp.133-147.
- Grinblatt, M. and Titman, S., (1992), The persistence of mutual fund performance, Journal of Finance, Vol.47 (5), pp.1977-1984.
- Gruber, M.J., (1996), Another puzzle: the growth in actively managed mutual funds, Journal of Finance, Vol.51, pp783-810.
- Indro, D.C., Jiang, C.X. and Hu, M.Y., (1998), Mutual fund performance: a question of style, Journal of Investing, Vol.7, pp.46-54.
- Ippolito, R.A., (1992), Consumer reaction to measures of poor quality: evidence from the mutual fund industry, Journal of Law and Economics, Vol.35, pp.45-70.
- Jensen, M. C., (1968), 'The Performance of Mutual Funds in the period 1954-1964', Journal of Finance, Vol. 23, pp. 389-416.
- Kane, A. and Marks, G. (1988), Performance Evaluation of Market Times- Theory & Evidence, Journal of Financial and Quantitative Analysis, Vol. 23, pp. 425-435.
- Liljeblom, E. and Loflund, A., (2000), Evaluating mutual funds on a small market: is benchmark selection crucial? Scandinavian Journal of Management, Vol.16, pp.67-84.
- McClarnon, C.T., (2004), Mutual Fund Market Timing, Compensations and Benefits Review, Vol.36(5), pp.25-31.
- Sharpe, W. F., (1966), Mutual Fund Performance', Journal of Business, Vol.39, pp.119-131
- Shukla, R.K., Inwegen, G.B., (1995), Do locals perform better than foreigners? An analysis of UK and US mutual fund managers, Journal of Economics and Business, Vol. 47, pp.241-254
- Treynor, J. (1965), How to Rate Management of Investment Funds, Harvard Business Review, 43, pp.63-75.
- www.msm.gov.om