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...

Purpose – The purpose of this paper is to appraise the risk‐adjusted performance of international mutual funds using measures generated by the optimized variance (OV), and to promote ability of portfolio managers and investors in making logical decisions. Design/methodology/approach – This...

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....