widely applied to construct a portfolio and evaluate performance in terms of the investors’ loss aversion. Value-at-risk (VaR …) has emerged as an industry standard to analyze the market downside risk potential. The approaches used to measure VaR vary …, GARCH (1,1)) both have been used to estimate the VaR of mutual funds in the Saudi Stock Exchange between June 2017 and June …

account only losses, such as Value-at-Risk (VaR), is more appropriate technique to evaluate the performance. In the present … study, standard VaR (Value at Risk) has been used to analyze the performance of public and private sector mutual funds. The … present study uses Historical simulation, Normal VaR and Modified VaR techniques for calculating value at risk …