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Title EVALUATING MUTUAL FUND PERFORMANCE IN PAKISTAN: VALIDATING CAPM, FAMA FRECNH-3 FACTOR AND CARHART-4 FACTOR MODELS

Author(s) Muhammad Rizwan

Abstract This study examines and analyzes the performance of mutual funds in Pakistan testing the suitability and validity of multifactor asset pricing models. This study analyzed the data for the period 2010 to 2016. The study aimed at understanding the suitability of the various assets pricing models like CAPM, Fama French 3-factor and Carhart 4-factor. The study has first investigated the models testing and then investigated the effects of funds factors on their risk adjusted performance. The study collected data from 150 open-ended mutual funds traded on MUFAP and applied these three models first and then analyzed the impact of the various funds' factors on their performance. The results confirmed that CAPM is the more suitable model, which explain well the performance of mutual funds as compared to the two other models i.e. Fama French 3-factor and Carhart 4-factor. Secondly, the study analyzed 40 funds determinants effects on their risk adjusted performance. The results found that the expense ratio has a positive but insignificant effect on the risk adjusted performance of funds. The results also showed that the fund age has a positive significant effect on the risk adjusted fund performance. The results demonstrated a positive significant relationship between fund size and their risk adjusted performance. However, fund liquidity showing a negative significant effect on the mutual funds’ performance.

Type Thesis/Dissertation MS

Faculty Management Sciences

Department Management Sciences

Language English

Publication Date 2018-11-30

Subject Finance

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