Performance evaluation of Saudi equity mutual funds: Fama decomposition model
Performance evaluation of Saudi equity mutual funds: Fama decomposition model
Author(s): Sumathi Kumaraswamy, Ibrahim Al EzeeSubject(s): Economy, Geography, Regional studies, Islam studies, Present Times (2010 - today), Financial Markets
Published by: ТОВ “Консалтингово-видавнича компанія “Ділові перспективи”
Keywords: mutual funds; Saudi Arabia; performance evaluation; Fama decomposition measure;
Summary/Abstract: 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.
Journal: Investment Management and Financial Innovations
- Issue Year: 15/2018
- Issue No: 4
- Page Range: 158-168
- Page Count: 11
- Language: English