Risk Adjusted Performance of Mutual Fund: Evidence from Bangladesh

Abstract

Extensive research has evaluated mutual fund performance in different financial markets that led to mixed results; however, very limited studies have been conducted to evaluate mutual funds of Bangladesh. This paper focused on measuring risk-adjusted performance of 13 closed end mutual funds based on monthly Net Asset Value. For this purpose methods suggested by Jensen, Treynor and Sharpe have been used. Performance of the selected funds found superior compared to benchmark market index (DSE 20). Furthermore, diversification, market timing and selectivity skill of fund managers are tested. This paper found little amount of diversification, no statistically significant timing skill but moderate level of selectivity in mutual fund market of Bangladesh.

Keywords: Net Asset Value, Reward to Volatility, Reward to Variability, Jensen Alpha, Diversification, Market Timing, Selectivity

JEL Classification: P34, G30