"A comparative study on the performance of mutual funds and unit invest" by Ramon Paolo G. Garcia and Joanna Katrina L. Ledda

A comparative study on the performance of mutual funds and unit investment trust funds for the period April 2006-March 2007: Application of Jensen, Sharpe and Treynor models

Date of Publication

2007

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

Subject Categories

Finance and Financial Management

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Defense Panel Chair

Christian Romagos

Defense Panel Member

Milkos Zalameda
Christine Rose Badillo

Abstract/Summary

This study aims to learn if there is a significant difference in the risk and return performance of mutual funds and unit investment trust funds (UITF) based on their Treynor, Sharpe, and Jensen ratios. It also aims to see if there are significant differences in the risk and return performances of mutual funds and UITFs based on other factors such as the beta, alpha, and even the computed return of each portfolio.

As proven through the tests conducted in the course of this study, there is no difference in the risk and return performance of the mutual funds and teh UITFs. According to the Sharpe model, there is no significant difference between them with regard to their computed Sharpe ratio which used the risk and return for its computation. The Treynor model also shows the same results as that of the Sharpe ratio. The computation of the Treynor ratio also involves the risk and return of each portfolio.

The Jensen model tried to prove if there is a significant difference between the return performance of the portfolio and of the market. Based on the significance testing, almost all of the portfolios outperformed the market aside from three portfolios which underperformed the market.

Abstract Format

html

Accession Number

TU14181

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

334 leaves, illustrations, 28 cm.

Keywords

Mutual funds--Philippines; Trusts and trustees--Philippines; Investments--Philippines

Embargo Period

3-18-2021

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