Determinants of use of portfolio performance measures used by pension funds in kenya
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Date
2012-10Author
Mwaura, Francis K
Type
ThesisLanguage
enMetadata
Show full item recordAbstract
The study sought to establish the composite measures of portfolio performance used by pension funds to manage portfolio performance. A survey research design was used to conduct the study.
A questionnaire was used to gather the data where the respondents were the investment fund managers of pension funds in Kenya.
It was established that the main techniques used by investment managers to evaluate portfolio performance were Treynors measure, Sharpes measure, Jensens measure, Bhattacharya and Pfeiderer quadratic model ,Information ratio, Sweeney Grinbalt and Titman performance change measure , Henrikson and Merton timing measure ratio and Value at risk performance measure.
Jensen’s measure was the most popular measure with 47.6% and 28.6% of the respondents strongly agreeing and agreeing respectively that they used the measure to evaluate portfolio performance. The Treynors measure was the next most popular measure with 47.6% of the respondents strongly agreeing on the using the measure and 19.06% agreeing that they use the measure to evaluate portfolio performance. Sharpe’s measure was the third most popular measure of evaluating portfolio performance with 42.9% and 38.1% of respondents strongly agreeing and agreeing respectively that they use the measure to evaluate portfolio performance.
The Bhattacharya and Pfeiderer quadratic model equally had a large support with 42.8% of the respondents strongly agreeing that they use the measure and 38.1% agreeing that they use the measure to evaluate portfolio performance. Next was the Henrikson and Merton timing measure ratio which was also quoted as one of the popular measures of portfolio performance with 42.8% of respondents stating that they strongly agree that they use the measure and 28.6% stating that they agree that they use the measure to evaluate portfolio performance.
Publisher
University of Nairobi School Of Business, University Of Nairobi