Comparative Analysis of A, B Type and Exchange Traded Funds Performances with Mutual Fund Performance Measures, Regression Analysis and Manova Technique.

Abstract

The objective of the study is to evaluate risk- reward relationship and relativeperformances of the 4 different groups of mutual funds. To this end, daily return data of these12 mutual funds (3 type variable fund; 3 B type variable fund; 3 A type stock fund and 3 A typeExchange traded fund) together with daily market index (imkb100) return and daily return ofriskless rate for the period from January 2006 to Feb 2010. The 180-day maturity T-Bill hasbeen selected to represent riskless rate. To determine performances of mutual funds; Sharperatio, M2measure, Treynor index, Jensen index, Sortino ratio, T2ratio, Valuation ratio has beenapplied and these indicators produced conflicting results in ranking mutual funds. Then timing and selection capability of the fund manager has been determined by applying simpleregression and Quadratic regression. Interestingly all funds found to have positive coefficient, indicating positive selection capability of managers; but in terms of timingcapability only one fund managers showed success. Finally, to determine extent to which meanreturns are differs between mutual funds, market index (imkb100) and riskless rate (180 day TBill) results of the analysis revealed that mean returns of individual security returns differs atP≤0,01 level. That shows instability in returns and poor ex-ante forecast modeling capability.