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
Recommended Citation
Garcia, R. G., & Ledda, J. L. (2007). 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. Retrieved from https://animorepository.dlsu.edu.ph/etd_bachelors/4977
Embargo Period
3-18-2021
- Usage
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