Association of Mutual Fund Risk Measures and Return Parameters : (A Juxtapose of Ranking for Performance in Pakistan)

The main purpose of this study is to identify the association among mutual fund risk measures and Return Parameters and to evaluate the mutual fund performance. Moreover to identify the best performance tools for investment in Pakistani mutual fund industry. Thirty five mutual funds have been selected for the period 2007 to 2015. The risk-adjusted performance is evaluated for mutual funds through established measures such as Sharpe, Treynor, Jensen Alpha, Information and Fama's Net Selectivity. Results reveal that Sharpe ratio is significantly positively associated with Jenson alpha ratio and with information ratio. Treynor ratio is negatively related to Jenson alpha ratio. However Jenson alpha ratio is positively correlated with information Ratio. Fama's net selectivity is major driver in leading to other measures however information ratio and Sharpe ratio leads to Treynor ratio as well. Further results conclude that performance measures are ranked in accordance with the arrangement of Fama's net selectivity at top, Jenson Alpha at second, Sharpe ratio at third, Information ratio at fourth and Treynor ratio at fifth position respectively. At a glance, Jensen Alpha measure seems best suitable measure for mutual fund performance in Pakistan due to its practical nature