Performance evaluation of Saudi equity mutual funds: Fama decomposition model


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This paper is in pursuit of analyzing and elongating prior research on the performance evaluation of mutual funds by a comparative analysis with three categories of 82 Saudi equity funds during 2011 to 2016 using Fama’s decomposition model. The paper also made an attempt to explore the relationship with the risk reward ratio to the relative performance measure in predicting the future performance of the Saudi equity fund returns. The empirical results show that Saudi local equity funds perform better followed by Arabian and international/global equity funds in terms of expected signs and diagnostic tests.

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    • Table 1. Category wise funds domiciled in Saudi Stock Exchange
    • Table 2. Fama’s break up of Saudi equity funds returns
    • Table 3. Variance decomposition of RELRETURN
    • Table 4. Variance decomposition of DIVER
    • Table 5. Variance decomposition of NETSELT
    • Table 6. Variance decomposition of SISRISK