MUTUAL FUNDS PERFORMANCE RELATIVE TO THEIR BENCHMARK

Abstract

A mutual fund is a portfolio that is managed by money managers who try to maximize capital gains for investors. This study investigates performance of mutual funds relative to the benchmark or index in Saudi Arabian market. The primary research question is whether mutual funds outperform or underperform the market. This work was carried out using quantitative research method. Six different mutual funds in Saudi Arabia were selected as the test sample, which are Alahli mutual fund, Riyad equity fund, ANB Almubarak fund, Aljazeera GCC income fund, Riyad commodity fund, and Alawwal income fund. The data used were daily and monthly data for  the year 2017 and 2018. This work used the capital asset pricing model (CAPM) to describe the relationship between systematic risk and expected return for assets. The key findings of this work have shown that four funds have underperformed the market, even though all four funds have been actively managed. Furthermore, the other two funds that are passively managed have performed in the market.

CCS Concepts

• Information systems➝Database management system engines   • Computing methodologies➝Massively parallel and high-performance simulations.