Purpose – This paper aims to evaluate the risk‐adjusted performance of Malaysian mutual funds using optimized drawdown risk measures (ODRMs) based on modern portfolio theory, and to represent the results in a manner which is easily understood by average investors and portfolio managers....

<title>Abstract</title>We develop an alternative approach based on mean-drawdown risk behavior versus the mean-variance behavior. We develop two risk measures as the maximum draw down risk and average drawdown risk to estimate two new betas and then propose two <italic>CAPM</italic>-like models. The data includes a...

Purpose – The purpose of this paper is to provide the modified measures of risk-adjusted performance evaluation of Malaysian mutual funds using the downside risk concepts, and promote the ability of managers and investors in making logical decisions under the market asymmetry condition....

Purpose – The purpose of this paper is to provide an attempt to evaluate the risk-adjusted performance of international mutual funds using the risk statistic generated by the mean absolute deviation (MAD) and promote the ability of portfolio managers and investors to make the logical decisions...

Purpose – This paper aims to evaluate the risk-adjusted performance of the management styles of Malaysian mutual funds using nine modified performance evaluation measures generated by the maximum drawdown risk measure (M-DRM) based on the modern portfolio theory. The purpose is to report the...

Purpose – The purpose of this paper is to propose a new and improved version of arbitrage pricing theory (APT), namely, downside APT (D-APT) using the concepts of factors’ downside beta and semi-variance. Design/methodology/approach – This study includes 163 stocks traded on the Malaysian...

<title>Abstract</title>We evaluate the efficiency of mutual fund managers of 20 different classes of management styles to identify the most efficient strategies and to propose an optimal pattern in selecting the funds by investors. We collect monthly data of 17,686 US mutual funds for a five-year period...

Practitioners and academics have spent the past few decades debating the validity and relevance of the capital asset pricing model (CAPM). One of the attributes of the model is an estimate of risk by beta, which in equilibrium describe the behavior of mean-variance (MV) investors. In the MV...