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

Author(s)
W.S. Ahmed Department of Management Sciences, COMSATS Institute of Information Technology,Islamabad,Pakistan
A.T. Paracha Department of Management Sciences, COMSATS Institute of Information Technology,Islamabad,Pakistan
J. Sheikh Department of Management Sciences, COMSATS Institute of Information Technology,Islamabad,Pakistan
M. F. Azeam Department of Management Sciences, COMSATS Institute of Information Technology,Islamabad,Pakistan
M. J. Saboor Department of Management Sciences, COMSATS Institute of Information Technology,Islamabad,Pakistan
Abstract
In this study, we propose a new concept of partially equivalent (PE) benchmarks for evaluation of 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 encourages 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.
Publication Details
Page(s) 181-189
DOI DOI not available
Published Journal: Nucleus, Volume: 54, Issue: 3, Year: 2017

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Keywords
IPTFN, (I-IPTFHA) operator MAGDM problem, I-IPTFOWA operator
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