An Empirical Study on Selecting Partially Equivalent (PE) Benchmarks for Mutual Funds Categories in Pakistan: ANOVA Approach

Authors

  • W. S. Ahmed COMSATS Institute of Information Technology
  • A. T. Paracha COMSATS Institute of Information Technology
  • J. Sheikh COMSATS Institute of Information Technology
  • M. F. Azeam COMSATS Institute of Information Technology
  • M. J. Saboor COMSATS Institute of Information Technology

Abstract

 

In this study, we propose a new concept of partially equivalent (PE) benchmarks for evaluation different mutual funds categories in Pakistan. We constructed separate benchmarks for all major categories of funds after carefully considering the asset composites of classes. For the validity of proposed benchmarks, we conducted unit root test, kernel density distribution and ANOVA analysis. Our results prove that money market and aggressive income non-sharia benchmarks and most of Sharia benchmarks indices have shown indifference of distribution against the conventional benchmark i.e. KSE 100 and KMI 30. This encourage the fund managers and scholars alike to use the proposed benchmark indices against the conventional ones to analyze the management style, market variations, market timing and behavioral aspects with some precision and accuracy.

Author Biographies

W. S. Ahmed, COMSATS Institute of Information Technology

Department of Management Sciences, COMSATS Institute of Information Technology, Islamabad,

A. T. Paracha, COMSATS Institute of Information Technology

Department of Management Sciences, Islamabad,

J. Sheikh, COMSATS Institute of Information Technology

Department of Management Sciences, COMSATS Institute of Information Technology, Islamabad,

M. F. Azeam, COMSATS Institute of Information Technology

Department of Management Sciences, COMSATS Institute of Information Technology, Islamabad

M. J. Saboor, COMSATS Institute of Information Technology

Department of Management Sciences, COMSATS Institute of Information Technology, Islamabad

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Published

28-09-2017

How to Cite

[1]
W. S. Ahmed, A. T. Paracha, J. Sheikh, M. F. Azeam, and M. J. Saboor, “An Empirical Study on Selecting Partially Equivalent (PE) Benchmarks for Mutual Funds Categories in Pakistan: ANOVA Approach”, The Nucleus, vol. 54, no. 3, pp. 181–189, Sep. 2017.

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