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 – 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...