An analysis on the performance of selected mutual funds per scheme in the Philippines from January 2008 to December 2013 using Sharpe ratio and Treynor ratio

• Main Authors: Ching, Stephanie Jammille S., Konwat, Crisille Milyn T., Lopez, Alyssa Charmain T.
• Format: text
• Language: English
• Published: Animo Repository 2014
• Subjects: Mutual funds > Philippines; Investments > Philippines
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/8498
• Institution: De La Salle University

Mutual funds are alternative investments for individuals who wish to earn higher than a typical savings account. Mutual funds enterprises are comprised of fund managers who are more capable of handling large amount of funds for the investors, who may have minimal expertise in financial investing. There are four different types of mutual funds-- equity funds, balanced funds, money market funds, and fixed income funds. Only three of the four types (equity funds, balanced funds, money market funds) are covered in the research. This paper examines the difference in the performance among each of the selected mutual fund schemes in the Philippines from January 2008 to December 2013 with 5-years rolling returns using Sharpe ratio and Treynor ratio with the validation of the Mann-Whitney test. It also covers an evaluation of the risk profile of the collective mutual funds, proving that it can be accurately compared to a respective market index. The fluctuating characteristic of the funds and the appropriate benchmarks shall be used to determine their ratio. Regardless of the effectiveness of using risk-adjusted return in measuring performance, there is still insufficient evidence to say that Sharpe ratio and Treynor ratio are effective and full-proof instruments to assess investment portfolios. As observed, there were discrepancies in the results of the comparison which may be caused by issues of incomparability. However, the method of the research assumes that these funds are compatible in comparing each other regardless of the differences.