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Journal articles on the topic 'Managed funds'
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Patel, Saurin, and Sergei Sarkissian. "Portfolio Pumping and Managerial Structure." Review of Financial Studies 34, no. 1 (February 28, 2020): 194–226. http://dx.doi.org/10.1093/rfs/hhaa027.
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Abstract Using U.S. equity mutual fund data, we show that portfolio pumping—an illegal trading activity that artificially inflates year- and quarter-end portfolio returns—is more pronounced among single-managed funds compared with team-managed ones. The return inflation by team-managed funds is 45% lower than by single-managed funds at year-ends. Also, portfolio pumping decreases as team size increases. These results are driven by peer effects among teams and, sometimes, amplified by less convex flow-performance relation in team-managed funds. Our findings are robust to differences in fund governance, manager career concerns, local networks, fund family policies, and changes in the SEC’s enforcement policies.
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Han, Yufeng, Tom Noe, and Michael Rebello. "Horses for Courses: Fund Managers and Organizational Structures." Journal of Financial and Quantitative Analysis 52, no. 6 (December 2017): 2779–807. http://dx.doi.org/10.1017/s0022109017000795.
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We model and test the relations between the team management of mutual funds, managers’ ability, performance, and holdings. Our model predicts that team-managed funds perform better and behave more conservatively than single-manager funds. However, the effect of team management is masked in equilibrium because high-ability managers rationally self-select into single-manager funds. Consistent with the model’s prediction, we find that team-managed funds perform better and deviate less from their benchmark allocations than single-manager funds with the same characteristics. These differences are marked after we control for the endogenous self-selection of managers.
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Popescu, Marius, and Zhaojin Xu. "Market states and mutual fund risk shifting." Managerial Finance 43, no. 7 (July 10, 2017): 828–38. http://dx.doi.org/10.1108/mf-09-2016-0278.
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Purpose The purpose of this paper is to explore the motivation behind mutual funds’ risk shifting behavior by examining its impact on fund performance, while jointly considering fund managers’ compensation incentives and career concerns. Design/methodology/approach The study uses a sample of US actively managed equity funds over the period 1980-2010. A fund’s risk shifting is estimated as the difference between the fund’s intended portfolio risk in the second half of the year and the realized portfolio risk in the first half of the year. Using the state of the market to identify the dominating type of incentive that fund managers face, we examine the relationship between performance and risk shifting in a cross-sectional regression setting, using the Fama and MacBeth (1973) methodology. Findings The authors find that poorly performing (well performing) funds are likely to increase (decrease) their risk level in bull markets, while reducing (increasing) it during bear markets. Furthermore, we find that funds that increase risk underperform, while those that decrease their portfolio risk do not. In addition, we find that poorly performing funds that increase (or decrease) their risk underperform across bull and bear markets, while well performing funds that reduce risk during bull markets subsequently outperform. Originality/value The paper contributes to the literature on mutual fund risk shifting by providing evidence that the performance consequence of such behavior is dependent on the state of the market and on the funds’ past performance. The results suggest that loser funds tend to be agency prone or be managed by managers with inferior investment skill, and that winner funds exhibit superior investment ability during bull markets. The authors argue that both the agency and investment ability hypotheses are driving fund managers’ risk shifting behavior.
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Mallik, Avijit, Saad Niamatullah, and Swarup Saha. "Performance Appraisal of Asset Management Companies in Bangladesh." International Journal of Economics and Finance 11, no. 8 (June 30, 2019): 53. http://dx.doi.org/10.5539/ijef.v11n8p53.
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Mutual funds are a type of collective investment scheme where a large number of small investors pool their savings together and entrust it to an asset manager, who manages the capital to maximize returns in exchange for a management fee. While mutual funds and other collective investment schemes are popular in developed markets, with assets under management (AUM) to GDP ratio of 62% globally, they are yet to gain popularity in Bangladesh, where AUM-to-GDP ratio stands at only 0.53%. However, mutual funds and asset management companies have been growing at high rates, with 37 closed-end and 42 open-end funds now in operation, and there is enormous potential for growth in the mutual fund industry in Bangladesh. Since mutual funds are a new product in the Bangladeshi market, a detailed study was performed in order to distinguish skilled asset managers from unskilled asset managers. In this study, “skill” has been defined as the ability to beat the broad-market DSEX index on after-fee basis, with the underlying logic that managers - all of whom charge a management fee - should at least be able to beat a passive investment in the broad DSEX. For purposes of the study, the weekly NAV at market value was of 76 mutual funds managed by 16 asset management companies (AMCs) were collected. The weekly returns for the DSEX and each fund under consideration were calculated separately. Four well-known measures were used to rank each mutual fund utilizing the weekly returns. The measures were Jensen’s Alpha, the Sharpe Ratio, the Treynor Ratio and the Modigliani M2 Alpha ratio. For AMCs managing multiple funds, the measures were asset-weighted to calculate the measure for the AMC as a whole. Our findings illustrated that only 5 out of 16 AMCs managed to beat the DSEX index and earn an alpha over the benchmark. Our findings were in line with academic consensus which states that active management is a zero-sum game and that the majority of actively managed funds will underperform the index on an after-fee basis. Our recommendation is for AMCs to introduce passively-managed index funds which will at least keep up with the market return and minimize fees and trading costs.
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Philpot, James, and Craig A. Peterson. "Manager characteristics and real estate mutual fund returns, risk and fees." Managerial Finance 32, no. 12 (December 1, 2006): 988–96. http://dx.doi.org/10.1108/03074350610710481.
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PurposeThe purpose of this paper is to analyze the effects of individual manager characteristics on real estate mutual fund (REMF) performance. Human capital theory predicts that factors like education, experience and professional certifications improve skill sets and thus performance. Conversely, capital markets theory suggests that these things may be irrelevant in the management of mutual funds.Design/methodology/approachA total of 63 REMFs were sampled over the period 2001‐2003 and equations were estimate regressing, alternatively, risk‐adjusted return, market risk and management fees on a series of fund variables and manager characteristics including the manager's tenure, whether the fund manager holds a professional certification, whether the manager has specific real estate experience, and whether the fund is team‐managed.FindingsModest evidence is found that team‐managed funds have lower risk‐adjusted returns than solo‐managed funds. Managers with longer tenure tend to pursue higher market risk levels, and there is no relation between manager characteristics and management fees.Research limitations/implicationsThis study considers only one cross‐sectional time period. Future research might use longitudinal data.Practical implicationsDespite real estate being a specialized field of finance, there is little if any support for the predictions of human capital theory that experience, education and training result in greater performance among managers of REMFs.Originality/valueThis paper extends prior work in mutual fund management characteristics and fund performance to real estate funds.
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Soares, William Clem, and Carlos Heitor Campani. "Performance of retirement funds: An analysis focused on pure insurance companies,." Revista Contabilidade & Finanças 31, no. 84 (December 2020): 490–523. http://dx.doi.org/10.1590/1808-057x201909840.
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ABSTRACT This paper analyzes the performance of Free Benefit Generating Plans (Plano Gerador de Benefício Livre - PGBL) and Free Benefit Generating Life (Vida Gerador de Benefícios Livres - VGBL) funds in the Brazilian market. This paper is unique when it comes to segregate funds managed by pure insurance companies (PICs) from those managed by large retail banks. We also discuss the impact of characteristics such as administration fee and fund size in the fund performance. The academic literature does not consider the differentiation between funds characteristics neither the type of institution that manages them. Furthermore, the available studies on this market are usually simple and, for example, do not use multifactor models to measure risk adjusted performances. The PGBL and VGBL funds performances are object of great interest since their market grows sustainably and quickly. Funds underperforming the market should improve their strategies and decrease administration costs to deliver better net performances. This work aims at improving the market competition, such that retirement products remain attractive to investors. We develop two multifactor models representing the risk sources for each class of funds analyzed (conservative and aggressive funds). The performance is thus measured by Jensen's alpha, although we also analyze realized returns and volatilities. We also develop a multifactor model based on administrative fee and fund’s size to capture the PIC effect. Our results suggest that PGBL and VGBL funds managed by PICs perform better in terms of higher average returns with no extra volatility, when compared to similar funds managed by companies linked to large retain banks. We found that higher administrative fees do not payout and it might even destroy value in the case of funds that invest in stocks. Larger funds presented higher net returns with no extra volatility. Finally, the analysis confirmed, with statistical evidence, the higher net returns of funds controlled by PICs in two situations: (i) after controlling for administrative fee and size of the fund - from 0.8 to 1% more per year; and (ii) after controlling for market risk sources - from 0.64 to 1.18% more per year.
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Edwards, Franklin R., and Jimmy Liew. "Managed commodity funds." Journal of Futures Markets 19, no. 4 (June 1999): 377–411. http://dx.doi.org/10.1002/(sici)1096-9934(199906)19:4<377::aid-fut1>3.0.co;2-3.
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Agarwal, Vikas, Nicole M. Boyson, and Narayan Y. Naik. "Hedge Funds for Retail Investors? An Examination of Hedged Mutual Funds." Journal of Financial and Quantitative Analysis 44, no. 2 (April 2009): 273–305. http://dx.doi.org/10.1017/s0022109009090188.
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AbstractRecently, there has been rapid growth in the assets managed by “hedged mutual funds”—mutual funds mimicking hedge fund strategies. We examine the performance of these funds relative to hedge funds and traditional mutual funds. Despite using similar trading strategies, hedged mutual funds underperform hedge funds. We attribute this finding to hedge funds’ lighter regulation and better incentives. Conversely, hedged mutual funds outperform traditional mutual funds. Notably, this superior performance is driven by managers with experience implementing hedge fund strategies. Our findings have implications for investors seeking hedge-fund-like payoffs at a lower cost and within the comfort of a regulated environment.
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Caslin, J. J. "Hedge Funds." British Actuarial Journal 10, no. 3 (August 1, 2004): 441–521. http://dx.doi.org/10.1017/s1357321700002671.
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ABSTRACTThe paper opens by showing how certain types of hedge funds can reduce the risk and increase the return on a traditional balanced managed fund. One of the key characteristics of such a hedge fund is that it has a low correlation with the balanced managed fund. The paper puts forward a new way of explaining correlation so that it can be more readily understood, and suggests methods of analysis for dealing with the fact that correlation is unstable. Volatility correlation is also examined because of its importance in reducing the risk of a portfolio.An outline of the characteristics and risks of three types of hedge funds, namely, long/short equity, convertible arbitrage and merger arbitrage, together with some questions investors might put to prospective hedge fund managers is given in Section 5.Some of the very basic statistical analysis techniques used in assessing the past performance of hedge funds are given in Section 6. Considerable emphasis is put on the need to examine daily return data as an insight into the quality of the manager's IT systems, his risk management, evidence of smoothing of returns, and to gain access to a higher number of data points for assessing the repeatability of performance.An entire section of the paper is devoted to gaining a clear understanding of a prospective hedge fund manager's volatility management strategy because of its importance in the context of the fee structure of hedge funds and its importance for assessing the ability of a hedge fund to reduce the risk and increase the returns of a balanced managed fund.Funds of hedge funds are examined in the final section, and the section concludes that large sophisticated institutional investors may wish to create a portfolio of hedge funds rather than invest in a fund of hedge funds.
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Patel, Saurin, and Sergei Sarkissian. "To Group or Not to Group? Evidence from Mutual Fund Databases." Journal of Financial and Quantitative Analysis 52, no. 5 (October 2017): 1989–2021. http://dx.doi.org/10.1017/s0022109017000655.
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Despite the overwhelming trend in mutual funds toward team management, empirical studies find no performance benefits for this phenomenon. We show it is caused by large discrepancies in reported managerial structures in Center for Research in Security Prices and Morningstar Principia data sets versus U.S. Securities and Exchange Commission records, resulting in up to 50-basis-points underestimation of the team impact on fund returns. Using more accurate Morningstar Direct data, we find that team-managed funds outperform single-managed funds across various performance metrics. The relation between team size and fund performance is nonlinear. Also, team-managed funds take on no more risk than single-managed funds. Overall, team management benefits fund industry performance.
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Sherrill, D. Eli, and Kate Upton. "Actively managed ETFs vs actively managed mutual funds." Managerial Finance 44, no. 3 (March 12, 2018): 303–25. http://dx.doi.org/10.1108/mf-03-2017-0067.
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Purpose The purpose of this paper is to study if actively managed exchange-traded funds (AMETFs) and actively managed mutual funds (AMMFs) are complements or substitutes. It also tests if there are tax or liquidity clientele effects. Design/methodology/approach The study investigates the relation between individual AMMF flows and aggregate AMETF flows as well as individual AMETF flows and aggregate AMMF flows. A 2013 tax change is used to analyze if a tax clientele effect exists between the AMETF and AMMF markets. The authors use differences in investor groups for institutional vs retail fund share classes to test for liquidity clientele effects. Findings The authors find that equity and mixed AMETFs and AMMFs are substitutes, although not perfect substitutes. Taxation-related differences between the two products create a clientele effect for fixed income and mixed funds where tax-sensitive investors are more likely to substitute AMETFs for AMMFs surrounding tax increases. There is weak evidence that institutional investors may prefer AMETFs more than retail investors because of their enhanced liquidity. Originality/value This is the first study to investigate the flow relation between AMETFs and AMMFs. The fast-paced growth of the AMETF area coupled with the substitutability between the two products and tax advantages of AMETFs has the capability to gain significant market share from AMMFs in the future.
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Maftukhah, Anni. "The Performance of Sharia Equity Fund Investment Manager." Jurnal Iqtisaduna 1, no. 1 (September 21, 2020): 81. http://dx.doi.org/10.24252/iqtisaduna.v1i1.16056.
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Sharia mutual funds are fund raising activities from investors to be managed by investment managers with sharia-based management, namely by not investing funds in companies whose types and scope of business are not in accordance with Islamic sharia. This study was conducted to determine the effect of turnover ratio, expenses ratio, fund size, managerial tenure, and fund selection skills on the performance of sharia mutual fund investment managers in Indonesia. The data used in this study are monthly Net Asset Value, BI rate, IHSG, annual turnover data, annual expenses ratio data, and prospectus of 9 sharia stock mutual funds from December 2014 to December 2018. Samples were taken based on the purposive sampling method during this research. The measurement of the performance of sharia equity fund investment managers uses the Sharpe Ratio method. The method used is multiple linear regression analysis and classic assumption tests using descriptive statistical tests, multicollinearity tests, and heteroscedasticity tests using EVIEWS 10 statistical software. The results of this study indicate that turnover ratio, fund size, fund selection skills significantly influence performance Islamic mutual fund investment manager. While expenses and managerial tenure ratios do not significantly influence the performance of investment managers in Islamic mutual funds.
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Brito, Ney Roberto Ottoni de. "Avaliação de Desempenho e Market Timing: O Índice de Habilidade." Brazilian Review of Finance 1, no. 1 (April 1, 2003): 1. http://dx.doi.org/10.12660/rbfin.v1n1.2003.1123.
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MERTON (1981) examines the creation of value by fund managers selecting between stocks and fixed income instruments through market timing. HENRIKSON and MERTON (1981) proceed to propose empirical tests of funds and manager performance in market timing. BRITO, BONA and TACIRO (2003) generalize the results of MERTON (1981) and HENRIKSON and MERTON (1981) for actively managed funds with a clearly defined benchmark portfolio. In the generalized context of active portfolio management, this paper proposes a new index – the Skill Index of Brito (SIB) – to measure the performance and efficiency in market timing of actively managed funds. The paper proceeds to test the performance and skill of hedge funds in Brazil using the SIB. A representative sample of 32 hedge funds with a window of 90 trading days on October 31, 1999 was obtained. The empirical tests of performance and skill use the interbank borrowing and lending rate as the passive benchmark. The results indicate the significance at the 5% level of the SIB for ten hedge funds in the sample. Among them seven funds also have shown significance at the 1% level. In sum the results indicate a majority of hedge funds with no significant skill in the Brazilian market in the examined period.
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Shohfi, Thomas. "RPI’s James Fund: ETFs, decision making, & manager transitions." Managerial Finance 46, no. 5 (March 5, 2019): 662–74. http://dx.doi.org/10.1108/mf-08-2018-0397.
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Purpose The James Fund at Rensselaer Polytechnic Institute’s Lally School of Management is a small, recently established, course-driven student-managed investment fund (SMIF). The purpose of this paper is to provide insight to new and existing funds in improving individual fund operation and structure. Design/methodology/approach The James Fund seeks to outperform an 80/20 equity/fixed income benchmark by investing exclusively in exchange traded funds and to move primary emphasis away from idiosyncratic risk and individual equity valuation back toward asset allocation, the most significant driver of portfolio performance. Buy and sell decisions must receive a three-fifths majority in voting among students and adhere with the investment policy statement. Findings Groupthink, a common problem in student-managed funds, is observed in trade proposal and manager voting patterns. Originality/value Groupthink is partially addressed through the use of instructor feedback on individual student trade diaries. Student managers transition each semester; therefore, the portfolio must meet dormant period criteria limited to a specific list of broadly diversified ETFs, mitigating potential problems from knowledge transfer between management teams that are largely unexamined in the context of SMIFs.
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Koutsokostas, Drosos, Spyros Papathanasiou, and Nikolaos Eriotis. "Can mutual fund managers predict security prices to beat the market?The case of Greece during the debt crisis." Journal of Prediction Markets 12, no. 3 (February 13, 2019): 40–62. http://dx.doi.org/10.5750/jpm.v12i3.1644.
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The purpose of this paper is to examine the performance of Greek equity mutual funds, elaborating on stock selection in parallel with market timing measures, in comparison with the performance of ETFs and index funds for the period 01/24/2008-05/12/2017, and the short-term performance persistence of actively managed funds for the period 05/12/2015-05/12/2017. Using all domestic equity mutual funds at our disposal and daily data, the authors apply multi-factor models to estimate risk-adjusted returns and to evaluate the selectivity and market timing ability of fund managers. In order to investigate short-term performance persistence, the coexistence of stock selection and market timing strategy is allowed and a battery of parametric and nonparametric tests is implemented. Results show that actively managed mutual funds underperformed the market index, as well as passively managed ETFs and index funds, primarily due to the managers’ inability to time the market. Furthermore, a winner-picking strategy to outperform a-buy-the-market-and hold policy is questioned.
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Bani Atta, Anas Ahmad, and Ainulashikin Marzuki. "SELECTIVITY AND MARKET TIMING ABILITY OF MUTUAL FUND HOUSES IN EMERGING COUNTRIES." Vol. 16, Number 1, 2021 16, Number 1 (January 30, 2021): 21–42. http://dx.doi.org/10.32890/ijbf2021.16.1.2.
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The paper investigates the selectivity and market timing ability of fund houses in emerging countries. The study uses comprehensive performance models on fund houses from four emerging countries. Data span is from 2007 to 2018. Findings indicate that fund managers benefit from the common facilities provided by the fund houses like market research, diversification and investment opportunity. Fund houses showed good selectivity skills but poor market timing ability. The possible reason is that fund houses manage large and different types of funds. This resulted in more complex management processes and thus reduced the ability to track the fluctuations in the market. The findings are important for investors as they are able to allocate their resources more effectively to funds that are best managed by fund houses while for managers, they are able to position themselves relative to their competing peers.
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Kenneth Malefo, Boikanyo, Heng-Hsing Hsieh, and Kathleen Hodnett. "Performance evaluation of actively managed mutual funds." Investment Management and Financial Innovations 13, no. 4 (December 29, 2016): 188–95. http://dx.doi.org/10.21511/imfi.13(4-1).2016.04.
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Motivated by the growing attraction of the mutual fund industry worldwide, this research seeks to explore the economic benefits contributed by the South African equity unit trust managers over the period from 6 January 2002 to 2 September 2012. The performance statistics of selected equity unit trusts are examined for the overall examination period and two sub-periods: 6 January 2002 to 6 May 2007 and 7 May 2007 to 2 September 2012. The first sub-period captures the bullish performance of the unit trusts before the 2008 global financial crisis. The second sub-period captures the global financial crisis and the European debt crisis before the European Central Bank (ECB) subsequently implemented the outright monetary transactions (OMT) to curb the yields in Eurozone. The risk-adjusted performance measures employed by this study include the Sharpe ratio, M-squared, Treynor measure and Jensen’s alpha. Regardless of the different applications of risk-return parameters employed to evaluate fund performance, the results reveal that, on average, most of the equity unit trust managers in South Africa do not outperform the market proxy on a consistent basis. The majority of the unit trust managers show good performance before the crisis, with subsequent inferiority in performance in turbulent times. Keywords: unit trusts, active portfolio management, passive portfolio management, performance evaluation, efficient market hypothesis (EMH). JEL Classification: G11, G12, G14, G15
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Sulaeman, Johan. "Do Local Investors Know More? Evidence from Mutual Fund Location and Investments." Quarterly Journal of Finance 04, no. 02 (June 2014): 1450010. http://dx.doi.org/10.1142/s2010139214500104.
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This study finds that actively managed mutual funds do not display abnormal superior performance in local stocks relative to their own performance in distant stocks. However, the trading behavior of these funds is consistent with a widespread perception that local funds have an informational advantage. This perception is not only held by the local fund managers themselves (who tend to trade more aggressively), but also shared by distant managers (who tend to mimic local managers).
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Watson, John R., N. Allen, Kok Fai Phoon, and Jayasinghe Wickramanayake. "Investing into the abyss: The continued misclassification of multi-sector managed funds." Corporate Ownership and Control 8, no. 1 (2010): 600–623. http://dx.doi.org/10.22495/cocv8i1c6p3.
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The objective of this paper is to assess whether Australian multi-sector managed funds are misclassified, and then, having found this to be the case, determine if this misclassification has any impact on fund performance. We adopt a strong form of returns based style analysis to investigate a monthly sample of Australian multi-sector funds over the five-year sample period 2003:04-2008:03. The evidence provided demonstrates that insufficient attention has been paid as to whether fund managers are able to keep within their tactical asset allocation ranges and presents that misclassification exist for Australian multi-sector managed funds but that the effect on fund performance is not significant. The paper adds to the literature by demonstrating that no association exists between misclassification and fund performance.
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Krishna, Dr V. Murali, Dr T. Hima Bindu, and Dr Ravikumar Gunakala. "A Critical Analysis of Selected Public and Private Mutual Fund Schemes in India." Restaurant Business 118, no. 8 (April 25, 2019): 28–34. http://dx.doi.org/10.26643/rb.v118i8.7207.
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Mutual Fund Industry is one of the emerged dominant financial intermediaries in Indian Capital Market. The main objective of investing in a mutual fund is to diversify risk. Though the mutual fund invests in diversified portfolio, the fund managers take different levels of risk in order to achieve the schemes objectives. Mutual funds allow portfolio diversification and relative risk management through collection of funds from the savers/investors, the same investing in equity and debt stocks. This type of invested funds is managed by professional experts called as fund managers Funds are categorized as income should fixed base in India are a kind of mutual fund which makes investment in debt securities that have been issued to the corporate, banking institutions and to government in general
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Woodward, George, and Robert Brooks. "A Generalized Approach to Measure Market Timing Skills of Fund Managers." International Journal of Risk and Contingency Management 3, no. 1 (January 2014): 40–75. http://dx.doi.org/10.4018/ijrcm.2014010104.
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In this paper the authors extend the analysis in Woodward and Brooks (2010) to derive a generalized form of Merton's (1981) dual beta market timing model that allows for continuous adjustment of portfolio beta in response to changing market conditions, and also includes the dual beta model as a special case. The model provides a more realistic representation of the fund return generation process. Using this model the authors test the market timing skills of fund managers for a sample of Australian superannuation funds for the period 1990 to 2002. The authors find that managed funds in which investors voluntarily select a given fund (retail funds) experience frequent rebalancing when compared to managed funds in which the investors' contribution is involuntary (wholesale funds). The authors relate the greater sensitivity to all changes in market conditions of retail funds to higher expenses and poor performance that was found in a recent study by Langford, Faff and Marisetty (2006). The results have important implications for Australian superannuation policy, since the Australian Government, effective from 1st July 2005, has required all funds to introduce voluntary contribution schemes.
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Farid, Muhammad, and Mochamad Atim Rudiantoyo Hidayat. "Sharia Pension Fund." Muhasabatuna : Jurnal Akuntansi Syariah 1, no. 1 (June 4, 2022): 01–016. http://dx.doi.org/10.54471/muhasabatuna.v1i1.1698.
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Pension Fund is a legal entity that manages and runs a program that promises pension benefits. The increasing development of sharias transactions in the financial industry in Indonesia allows pension funds to be managed according to sharia. The purpose of this paper is to determine the basis of fiqh for the development and management of pension funds.
Pension Funds are generally regulated in Law no. 11 of 1992. The difference between conventional pension funds and Islamic pension funds is the investment management system carried out to avoid usury and interest-based conventional financial investments.
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Farooqi, Javeria, Surendranath Jory, and Thanh Ngo. "Active fund managers and earnings management at portfolio companies." Review of Accounting and Finance 19, no. 1 (June 27, 2019): 48–82. http://dx.doi.org/10.1108/raf-11-2017-0209.
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Purpose This paper aims to examine the association between the types of mutual funds, i.e. active versus passive, and the level of earnings manipulation in companies that comprise their stock portfolios. Design/methodology/approach The authors use Cremers and Petajisto’s (2009) classification of mutual funds by active share and tracking error volatility to differentiate between active and passive mutual funds. To assess the extent of earnings quality at portfolio companies, the authors measure accruals earnings management and real earnings management. Findings The authors find that the portfolio firms held by active fund managers exhibit lower levels of earnings manipulation. The inverse relationship between earnings management and fund holdings is more pronounced at higher levels of active share selection among concentrated active fund managers. Practical implications The degree to which earnings management influences mutual funds’ investment behavior has significant implications for the stability of the US stock market. Based on the findings that earnings management at portfolio companies serves as a potential instrument to guide funds’ investment decisions, future research would examine how these investment preferences exert price pressure (if any) on the stock of the portfolio companies. It would also help to ascertain whether the investment preferences of fund managers with respect to earnings management help to render the stock market more or less efficient. Originality/value This paper contributes to the understanding of how actively managed funds perform stock selection. Earnings manipulation leads to negative earnings quality that would inhibit stock performance over time. Active fund managers, who dynamically manage their exposures to systematic and stock-specific risks (in their attempt to outperform their benchmark index), target firms that manage earnings less to form part of their investment portfolios.
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CLARE, ANDREW, DIRK NITZSCHE, and KEITH CUTHBERTSON. "An empirical investigation into the performance of UK pension fund managers." Journal of Pension Economics and Finance 9, no. 4 (August 10, 2009): 533–47. http://dx.doi.org/10.1017/s1474747209990138.
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AbstractThe UK's defined benefit pensions industry makes widespread use of pooled investment vehicles which are provided by a large number of fund management groups. In this paper, we provide the first comprehensive performance analysis of these funds. Using data on 734 actively managed pooled funds that had a combined value of just over £400bn at the end of 2007, ranging from UK equity to funds specialising in Pacific Basin equities, our results indicate that the performance of these institutional funds is generally better than those reported in the literature for managers of mutual funds. Nevertheless, with increasing numbers of UK fund managers purporting to be able to provide high alpha products to the UK's beleaguered pensions industry our results do not give us great confidence that the solution to the widespread deficits of the UK's pension fund industry lies in the hands of these active fund managers.
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Gamble, James. "Can Expense Ratios Signal Performance? An Analysis of Equity ETFs & Mutual Funds." American Journal of Undergraduate Research 16, no. 4 (March 15, 2020): 23–40. http://dx.doi.org/10.33697/ajur.2020.004.
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This study examines the impact of the emergence of exchange-traded funds (ETFs) as an alternative investment vehicle to mutual funds. As the number of ETFs continues to rise, we investigate potential risks and disadvantages posed by ETFs in comparison to traditional mutual funds. We compare the returns, performance, and expense ratios of ETFs to those of mutual funds. We find that expense ratios are positively correlated with actively managed mutual fund returns and that passive funds have outperformed active funds since their inception. There is downward pressure on mutual fund fees over time, suggesting increased competition between mutual funds and ETFs. We also find, up to a certain threshold, actively managed funds are worth their costs. KEYWORDS: Exchange-Traded Fund (ETF); Mutual Fund; Investing; Fee Structure; Expense Ratio; Passive (Active) Investing; Portfolio Management; Indexing
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Carpenter, Tim. "Implementing a student-managed cryptoasset fund in a finance curriculum." Managerial Finance 48, no. 4 (February 8, 2022): 577–86. http://dx.doi.org/10.1108/mf-11-2021-0579.
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PurposeIn 2004, Roanoke College began offering a Student-Managed Fund course, wherein students were able to manage a portfolio of equity and fixed income using real money. While not a widely adopted concept at the time, it has since become quite common in finance programs, either through courses or clubs. In February 2019, the author supplemented activities in the course with the addition of real cryptoassets for students to manage. The paper discusses the design, implementation, and pedagogical advantages of the fund.Design/methodology/approachThe paper expands on the existing literature regarding student-managed investment funds (SMIFs or SMFs) by presenting a case study on the implementation of a student-managed cryptoasset fund at Roanoke College.FindingsThe value of experiential learning through student-managed funds (SMFs) is well established. Thus, these programs have become much more common in recent years and are now often expanding to securities beyond equities and bonds. The introduction of cryptoassets to be traded by students at Roanoke College is another step in improving students' exposure to various markets and appears to further improve research and critical thinking skills.Originality/valueThis is certainly one of the first, and to the author's knowledge may be the only, real money cryptoasset fund managed by students.
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Dieu Dang, Huong. "KiwiSaver fund performance and asset allocation policy." Pacific Accounting Review 31, no. 2 (April 1, 2019): 232–57. http://dx.doi.org/10.1108/par-06-2018-0044.
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Purpose This paper aims to examine the performance and benchmark asset allocation policy of 70 KiwiSaver funds catergorised as growth, balanced or conservative over the period October 2007-June 2016. The study focuses on the sources for returns variability across time and returns variation among funds. Design/methodology/approach Each fund is benchmarked against a portfolio of eight indices representing eight invested asset classes. Three measures were used to examine the after-fee benchmark-adjusted performance of each fund: excess return, cumulative abnormal return and holding period returns difference. Tracking error and active share were used to capture manager’s benchmark deviation. Findings On average, funds underperform their respective benchmarks, with the mean quarterly excess return (after management fees) of −0.15 per cent (growth), −0.63 per cent (balanced) and −0.83 per cent (conservative). Benchmark returns variability, on average, explains 43-78 per cent of fund’s across-time returns variability, and this is primarily driven by fund’s exposures to global capital markets. Differences in benchmark policies, on average, account for 18.8-39.3 per cent of among-fund returns variation, while differences in fees and security selection may explain the rest. About 61 per cent of balanced and 47 per cent of Growth funds’ managers make selection bets against their benchmarks. There is no consistent evidence that more actively managed funds deliver higher after-fee risk-adjusted performance. Superior performance is often due to randomness. Originality/value This study makes use of a unique data set gathered directly from KiwiSaver managers and captures the long-term strategic asset allocation target which underlines the investment management process in reality. The study represents the first attempt to examine the impact of benchmark asset allocation policy on KiwiSaver fund’s returns variability across time and returns variation among funds.
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Bird, Ron, F. Douglas Foster, Jack Gray, Adrian M. Raftery, Susan Thorp, and Danny Yeung. "Who starts a self-managed superannuation fund and why?" Australian Journal of Management 43, no. 3 (May 1, 2018): 373–403. http://dx.doi.org/10.1177/0312896217747331.
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Self-managed superannuation funds (SMSFs) – small retirement savings funds with four or fewer members – now manage almost one-third of retirement savings in Australia, and serve over 1 million members. The number of SMSFs has increased to more than half a million in two decades, yet little is known about the reasons people start the funds and how they operate. We use a survey of more than 500 SMSF members and 500 large superannuation fund members to analyse why SMSF members commence and manage their own fund, compared to similar people who stay with a large fund. We find that control over investments and tax minimisation are the most common reasons for starting a SMSF, while satisfaction with large funds and unwillingness to take on the administrative burden of self-management are the most common reasons for not doing so. SMSF members do not show any greater financial skills than non-members, but they do display overconfidence, a higher risk tolerance and a more trusting attitude to financial professionals. Model results show that the majority of SMSF members start their funds at the suggestion of financial professionals. We also show that those who say they are thinking about starting a SMSF are different in significant ways from the eventual SMSF members, further evidence of the influence of the advice industry.
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Reddy, Wejendra, David Higgins, and Ron Wakefield. "An investigation of property-related decision practice of Australian fund managers." Journal of Property Investment & Finance 32, no. 3 (April 1, 2014): 282–305. http://dx.doi.org/10.1108/jpif-02-2014-0014.
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Purpose – In Australia, the A$2.2 trillion managed funds industry including the large pension funds (known locally as superannuation funds) are the dominant institutional property investors. While statistical information on the level of Australian managed fund investments in property assets is widely available, comprehensive practical evidence on property asset allocation decision-making process is underdeveloped. The purpose of this research is to identify Australian fund manager's property asset allocation strategies and decision-making frameworks at strategic level. Design/methodology/approach – The research was undertaken in May-August 2011 using an in-depth semi-structured questionnaire administered by mail. The survey was targeted at 130 leading managed funds and asset consultants within Australia. Findings – The evaluation of the 79 survey respondents indicated that Australian fund manager's property allocation decision-making process is an interactive, sequential and continuous process involving multiple decision-makers (internal and external) complete with feedback loops. It involves a combination of quantitative analysis (mainly mean-variance analysis) and qualitative overlay (mainly judgement, or “gut-feeling”, and experience). In addition, the research provided evidence that the property allocation decision-making process varies depending on the size and type of managed fund. Practical implications – This research makes important contributions to both practical and academic fields. Information on strategic property allocation models and variables is not widely available, and there is little guiding theory related to the subject. Therefore, the conceptual frameworks developed from the research will help enhance academic theory and understanding in the area of property allocation decision making. Furthermore, the research provides small fund managers and industry practitioners with a platform from which to improve their own property allocation processes. Originality/value – In contrast to previous property decision-making research in Australia which has mainly focused on strategies at the property fund investment level, this research investigates the institutional property allocation decision-making process from a strategic position involving all major groups in the Australian managed funds industry.
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Chen, Joseph, Harrison Hong, Ming Huang, and Jeffrey D. Kubik. "Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization." American Economic Review 94, no. 5 (November 1, 2004): 1276–302. http://dx.doi.org/10.1257/0002828043052277.
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We investigate the effect of scale on performance in the active money management industry. We first document that fund returns, both before and after fees and expenses, decline with lagged fund size, even after accounting for various performance benchmarks. We then explore a number of potential explanations for this relationship. This association is most pronounced among funds that have to invest in small and illiquid stocks, suggesting that these adverse scale effects are related to liquidity. Controlling for its size, a fund's return does not deteriorate with the size of the family that it belongs to, indicating that scale need not be bad for performance depending on how the fund is organized. Finally, using data on whether funds are solo-managed or team-managed and the composition of fund investments, we explore the idea that scale erodes fund performance because of the interaction of liquidity and organizational diseconomies.
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Gupta, Rakesh, and Thadavillil Jithendranathan. "Fund flows and past performance in Australian managed funds." Accounting Research Journal 25, no. 2 (September 7, 2012): 131–57. http://dx.doi.org/10.1108/10309611211287314.
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Miranda Pries, Stephanie. "The development of Managed Funds Association's 2005 Sound Practices for Hedge Fund Managers." Journal of Investment Compliance 6, no. 1 (January 2005): 63–70. http://dx.doi.org/10.1108/15285810510634713.
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Huang, Jiekun. "Dynamic Liquidity Preferences of Mutual Funds." Quarterly Journal of Finance 10, no. 04 (October 28, 2020): 2050018. http://dx.doi.org/10.1142/s2010139220500184.
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This paper examines the relation between expected market volatility and open-end mutual funds’ liquidity preferences. Using a large panel of actively managed U.S. equity mutual funds, I show that mutual fund managers hold more cash and tilt their holdings more heavily towards liquid stocks during periods when expected market volatility is high. Cross-sectional tests suggest that the dynamic preferences for liquidity are driven by concerns over investor withdrawals during volatile times. Furthermore, I find evidence that this type of dynamic behavior leads to higher fund returns.
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Malhotra, Priya, and Pankaj Sinha. "Forecasting Fund Flows in Indian Equity Mutual Funds Market using Time Series Analysis: An Empirical Investigation." Journal of Business Thought 12 (December 15, 2021): 1. http://dx.doi.org/10.18311/jbt/2021/25970.
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<p>Mutual Funds are the second most preferred financial investment option in India amongst households, corporate and private investors alike. Managed funds bring with them the expertise of fund managers along with the benefits of diversification and lower costs. The sensitivity of fund flows defines the ability of the fund manager in offering expected future returns. Mutual fund flows exhibit time series characteristics, it being financial data collected at regular intervals over a time period. This paper studies the dynamics of mutual fund flows by utilising time series regression modelling. Monthly fund flows data for a sample of 142 equity open-ended growth orientation across major marketcap categories – Large Cap, Large and Mid Cap, Multi Cap, Mid Cap, and Small Cap have been analysed using ARIMA Modelling in the R software package. Appropriate lag length and the presence of a unit root have been investigated with the help of established techniques coupled with suitable checks of robustness. Model of best fit has been used to forecast monthly fund flows for a lag length of 60. Our study leads us to two major outcomes. One, unlike many developed and emerging markets, fund flows in the chosen sample do not confirm to positive feedback trading hypothesis. This lends credible support to the absence of irrational exuberance in mutual fund investments. Second, equity-based funds in Large Cap, Large and Mid Cap, and Multi Cap category exhibit strong trend component while funds in Mid Cap and Small Cap category have a strong random component. Beginner investors can take advantage of alpha offered by fund managers possessing effective market -timing skills, an indicator of trend-investing strategy. Funds belonging to these categories are also lesser prone to market volatility in comparison to Mid Cap and Small Cap funds, being more suitable for experienced investors</p>
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Apau, Richard, and Leward Jeke. "The effect of performance manipulation on fund flows under different market conditions in South Africa." Investment Management and Financial Innovations 19, no. 3 (September 1, 2022): 203–14. http://dx.doi.org/10.21511/imfi.19(3).2022.17.
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This study analyzes the effect of performance manipulation on mutual fund flows under different market conditions to provide explanations to the increased flow of investors’ funds to persistently underperforming active mutual fund managers in South Africa. The study employs a system GMM technique to analyze panel data of 52 South African actively managed equity mutual funds for the 2006–2019 period. From the analysis, it is found that past fund flows and fund size constitute a set of fund-level factors with predictive influences on fund flows, while market risk exerts systemic effect on the flow of investors’ assets to fund managers. The results show that market conditions do not impact the relationship between mutual fund flows and performance manipulation, which implies that manipulation strategies implemented by fund managers do not engender increased funds’ flow from asset owners. This study thus concludes that other non-performance factors drive convexity in the relationship between fund flows and performance in South Africa.
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Sichel, Robert L., William P. Wade, Ruth E. Delaney, Kristina M. Zanotti, and Michael McGrath. "Private equity in 401(K) plans – a trillion dollar opportunity?" Journal of Investment Compliance 21, no. 2/3 (December 3, 2020): 85–91. http://dx.doi.org/10.1108/joic-07-2020-0008.
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Purpose To explain recent regulatory guidance for different types of stakeholders, including asset managers, fund complexes, and institutional investors. Design/methodology/approach Summary of recent regulatory guidance and explanation for different types of stakeholders, including asset managers, fund complexes, and institutional investors. Findings While the U.S. Department of Labor’s (DOL’s) letter does not open the door to direct access to Private Market Investments by 401(k) plan participants, it does provide a framework for the expanded use of private equity and, we believe, other types of Private Market Investments in managed asset allocation funds such as target date funds. Originality/value Practical guidance from experienced asset management and investment funds and ERISA lawyers.
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Park, Heejin. "Mutual Fund Voting and Pension Ties : Evidence from Proxy Voting." Journal of Derivatives and Quantitative Studies 25, no. 2 (May 31, 2017): 201–28. http://dx.doi.org/10.1108/jdqs-02-2017-b0002.
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Because mutual funds are the largest equity holders and because the retirement assets that are managed by mutual funds have been growing, mutual fund managers may have more incentives to support management in order to attract and retain pension business. I explore whether pension business ties have an impact on voting behaviors of mutual funds by examining the link pension business ties between mutual funds and the firms to actual mutual fund voting outcomes. At the fund family level, I find a positive relation between pension ties and mutual funds’ voting support for management. This relation becomes stronger when there is a voting divergence among funds within the same families. At the individual fund level, I find that individual funds are more likely to vote with management if they are included as one of the investment options of the pension plan of their portfolio firms. This suggests that the SEC should at least consider the recent petition from the AFL-CIO proposing that the SEC require mutual funds to disclose business ties with the firms in which they invest.
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Rao, Zia-ur-Rehman, Muhammad Zubair Tauni, Amjad Iqbal, and Muhammad Umar. "Emerging market mutual fund performance: evidence for China." Journal of Asia Business Studies 11, no. 2 (May 2, 2017): 167–87. http://dx.doi.org/10.1108/jabs-10-2015-0176.
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Purpose The purpose of this paper is to find whether Chinese equity funds outperform the market and do Chinese fund managers possess positive market timing ability. This study also aims to investigate whether well-performing (worst) funds of last year continue to perform well (worst) in the following year. Design/methodology/approach Capital Asset Pricing Model and Carhart four-factor model are used for performance analysis, whereas for analyzing market timing ability, the Treynor and Mazuy (1966) and Henriksson and Merton (1981) models are applied. To investigate persistence in the performance of Chinese equity funds, all equity funds are divided, on the basis of performance in the past 12 months, into three equally weighted groups (high, middle and low) and then observed for next 12 months. After that, groups are again rebalanced according to their performance. This study uses a panel regression model for analysis. Findings Chinese equity funds are successful in providing higher than market returns, and fund managers possess positive market timing ability. The authors find that Chinese equity funds do not show persistence in performance as witnessed in developed markets. Well-performing funds (worst funds) of last year do not continue to provide higher (lower) return in the following year. Moreover, the authors detect positive relationship of fund size, age and expense ratio with the fund’s performance. Overall results suggest that emerging market equity funds show better performance than that of developed markets. Practical implications Investors are better off if they invest in equity funds instead of index funds, as results illustrate that equity funds outperformed the market. Further, the strategy of buying well-performing funds of last year and selling poorly performing funds of last year does not look very attractive in China. This study helps investors to understand the Chinese managed funds industry, and such an understanding is also helpful for fund managers and asset management companies who use performance information in marketing strategies. Originality/value This is the first study to investigate the performance persistence in Chinese equity funds and also contributes to the literature about the performance and market timing ability of equity funds. The study takes the sample of 520 equity funds for the period from 2004 to 2014, which includes a period of financial crisis of 2008.
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Collins, Patrick J. "Monitoring Passively Managed Mutual Funds." Journal of Investing 8, no. 4 (November 30, 1999): 49–61. http://dx.doi.org/10.3905/joi.1999.319424.
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Ignatius, Roger. "Monitoring Passively Managed Mutual Funds." CFA Digest 30, no. 3 (August 2000): 3–4. http://dx.doi.org/10.2469/dig.v30.n3.701.
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Masterson, Phil, and Sue Wilchusky. "Actively Managed Exchange-Traded Funds." Journal of Index Investing 1, no. 1 (May 31, 2010): 90–94. http://dx.doi.org/10.3905/jii.2010.1.1.090.
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Ghosh, Chinmoy, Paul Gilson, and Michel Rakotomavo. "Student managed fund (SMF) at the University of Connecticut." Managerial Finance 46, no. 4 (September 12, 2019): 548–64. http://dx.doi.org/10.1108/mf-09-2018-0426.
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Purpose The purpose of this paper is to present a review of the student managed investment fund at the School of Business, University of Connecticut. Design/methodology/approach The authors trace the history and growth of the fund and identify the special features and dimensions that have contributed to its success. Findings The operation of the fund is a constantly evolving program and the authors discuss the important changes and improvements made in the program since its inception in the early 2000s in response to growth in the number of finance majors, new career opportunities in the field of investments and most importantly, the strength of capital markets and the development of new instruments in the capital markets. The authors also discuss the common features of over 300 student funds in the USA. The authors close with a discussion of the limitations and constraints the fund advisors at, and possibly, at other schools, face in the management and administration of the fund, and also what developments and adjustments the authors expect to see in these funds in the future. Originality/value The authors combine extensive analyses of fund history and performance. The authors also provide some suggestions for the future direction and priorities for student funds.
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Muhtaseb, Majed R. "Hedge fund manager fraud through PIPEs." Journal of Financial Crime 25, no. 3 (July 2, 2018): 636–45. http://dx.doi.org/10.1108/jfc-04-2017-0032.
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Purpose The purpose of this paper is to draw lessons to investors from the conduct of a hedge fund manager who according to the Securities and Exchange Commission (SEC) complaint made false and misleading statements before and after an auditor’s reports, misappropriated for personal benefit over $1m, misappropriated clients’ assets, failed to conduct due diligence on third-party buyer, instructed an employee to mislead investors and satisfied some investors’ redemptions with other investors’ subscriptions (Ponzi scheme) without disclosing it to investors. Ironically, the scheme was unveiled by the economic crises and not the investors, their advisers or third-party hedge fund vendors. Corey Ribotsky set up the investment adviser NIR Group to manage four AJW Funds that invested in private equity in public companies in 1999. Through manipulation of financial statements, he also managed to collect about $136m in management and incentive fees over an eight-year period. The SEC complaint alleged the AJW Funds’ assets to be $876m in 2007, yet this figure was not verified, and no assets were traced. Ribotsky did not pay any monies to SEC, as ordered by court settlement, and hence the victims did not recover any of their monies. The SEC could not produce criminal charges; hence, Ribotsky did not go to jail. This case highlights sterility of law enforcement when confronted with brazen fraud. Findings Investors fail to monitor hedge fund managers. Fraud was detected late and not through investors. Fraud was unraveled by the economic crises of 2008. The SEC had sued the fund manager. The fund manager consented to making payment to the SEC but did not make any payments. The SEC could not bring evidence to criminally charge the fund manager. Research limitations/implications The findings based on the case study are valuable to investors and hedge fund industry stakeholders. The findings are not based on an empirical study. Practical implications Investors need to carefully vet all hedge fund managers before allocating and funds and understand how managers make money through the claimed strategy. Also, there are limitations to law enforcement even with confronted with profound fraud schemes. Originality/value The case was built up from public sources to benefit investors considering making allocations to hedge fund managers. The public information about the case is of either legalistic or journalistic in nature.
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Chong, Venny Sin-Woon, Ming Ming Lai, and Lee Lee Chong. "Effects of human capital and fund characteristics on mutual fund performance in Malaysia." F1000Research 10 (September 9, 2021): 905. http://dx.doi.org/10.12688/f1000research.72895.1.
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Background: The evolution of the mutual funds industry has changed investors’ perspective. Instead of just focusing on which fund performances are best, investors pay great attention to who is managing and delivering superior returns in their investment portfolios. Nonetheless, it is very scant of comprehensive studies concern with human capital managerial characteristics that link with fund performances. Hence, this study proposes the integration of fund performances, managerial characteristics, systematic risk, expense, and turnover ratio, with single and simultaneous equations based on asset pricing models. Methods: Using a sample of Malaysian fund managers, data from fund management companies, Thomson One database, and fund master prospectus over the periods of January 2012 to December 2014, the fund performance was measured using Jensen alpha (CAPM single factor), and Fama and French three-factor model on single and simultaneous equations. The examination was further carried out by employing the ordinary least squares and three-stage least squares methods. Results: The results suggest that for fund managers, holding a business degree was the key factor to determine the fund performance, while having Master’s degree was not the primary concern. Fund performance and risk behavior varied across fund managers of different gender. Conclusions: The expense ratio, turnover ratio, and fund objective were significantly correlated with fund performance. This study provides ultimate implications for fund management companies, when it comes to the efficient allocation of human capital. Fund management companies should focus more on the team-managed funds phenomenon, instead of on single-managed funds. Overall, this study provides significant guidance for the Malaysian Securities Commissions and fund management companies, to develop a more competent funds market in Malaysia. Specifically, by strengthening the fund industry policies, the typical agency problems, such as too-high managerial expenses, and excessive risk-taking can be alleviated.
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Das, Praveen, S. P. Uma Rao, and Denis Boudreaux. "Performance Evaluation of Religious Funds." International Journal of Financial Research 8, no. 4 (September 11, 2017): 240. http://dx.doi.org/10.5430/ijfr.v8n4p240.
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This exploratory study uses monthly net return data from August 2008 to June 2015 on 5 actively managed religious funds to distinguish between luck and skill of fund managers. The main benchmark of this study is the Fama-French-five-factor-model (2013). First, the abnormal performance, alpha, αi, of the equally weighted mutual fund with the above five factor model is examined. Second, we use the bootstrapping simulation approach of Fama and French (2010), to separate manager’s skill from luck. Equally weighted fund exhibits skill.
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Othman, Jaizah, Mehmet Asutay, and Norhidayah Jamilan. "Comparing the determinants of fund flows in domestically managed Malaysian Islamic and conventional equity funds." Journal of Islamic Accounting and Business Research 9, no. 3 (May 8, 2018): 401–14. http://dx.doi.org/10.1108/jiabr-07-2016-0084.
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PurposeThis paper aims to provide an empirical evidence on the fund flows-past return performance relationship by also considering the management expense ratio, the portfolio turnover, the fund size and the fund age of Islamic equity funds (IEF) investors in comparison with conventional equity funds (CEF) investors. Design/methodology/approachBy using panel data, the sample of Malaysian domestic managed equity funds is considered which comprises 20 individual funds from IEF and CEF from 2011 to 2013. FindingsThe results provide evidence that IEF investors have different factors when choosing funds in comparison with CEF investors. The study finds that the key factor influencing the fund flows of IEF is the management expense ratio, compared to the CEF which is fund size. This study also shows that all the fund characteristics of IEF and CEF are positively or negatively related to the fund flows. Research limitations/implicationsThe present study may be extended by considering other fund categories such as the money market fund, the balanced fund, the bond fund and the fixed income fund. Practical implicationsThe empirical findings of this paper clearly call for fund managers and investors to review their investment policy. The results could also provide better information and guidance for investors as well policy makers on the factors that affect the fund flow for Malaysian Islamic funds and CEF. Originality/valueThis paper is among the earliest empirical evidence studies on the fund flows-past return performance relationship by focusing in a comparative manner on IEF investors and CEF investors in Malaysia.
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Damani, Akshay, and Nandip Vaidya. "Predicting the relative performance of actively managed equity mutual funds using diverse performance evaluation techniques." Corporate Ownership and Control 19, no. 1 (2021): 69–83. http://dx.doi.org/10.22495/cocv19i1art6.
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Mutual fund performance evaluation has seen an ever-growing interest for research amongst industry and academicians alike. In this paper an attempt has been made to compare and correlate global actively managed equity mutual funds’ performance across time intervals, to evaluate and establish how predicting future performance can be made meaningful for investors using analysis of historical data based on monthly net asset values (NAVs) (March 2009–March 2021). Of the top 500 global equity mutual funds based on market-cap (on March 31, 2021), the paper evaluated 180 actively managed funds adding up to approximately USD 5 trillion of the fund assets as of March 31, 2021. The research gap which the paper aims to fill is to bring under one umbrella, prediction analysis using performance measures, downside risk measures, style factor analysis, and market timing models. For sampled equity funds various performance ratios and style attributes were computed and compared across periods for their relative performance. Relative performance was found to be stable (at 1% significance level) across periods and hence predictable. A portfolio of funds constructed optimally using historical performance was seen to be in the top quartile ex-post performance in the subsequent period. However, it was found that the market timing abilities of fund managers were unstable across periods and could not be used for predicting performance. Based on the study findings, it would be appropriate for investors to use the relative past performance of the funds and their style attribute analysis for the future allocation of investible surplus across these funds
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Lin, Crystal Yan. "Student-managed investment funds: seven mismatches and three recommendations." Managerial Finance 48, no. 2 (November 23, 2021): 334–47. http://dx.doi.org/10.1108/mf-07-2021-0312.
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PurposeThe purpose of this paper is to investigate the embedded challenges of student-managed investment funds (SMIFs) and provide recommendations to work with these issues.Design/methodology/approachThe paper analyzes and critiques the ways SMIFs are structured and operated and makes several suggestions.FindingsThe paper details seven unique challenges of SMIFs compared to professionally managed investment funds. The source of these challenges is that SMIFs are set up for educational purposes, which makes the operation and management different from performance-focused investment funds. The paper proposes several recommendations on how to align the educational focus with fund performance.Originality/valueThe paper is original and based on primary research.
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Ascioglu, Asli, Kemal Saatcioglu, and Adam Smith. "Integration of ESG Metrics into a Student-Managed Fund: Creating Sustainable Student-Managed Funds." Journal of Trading 13, no. 1 (December 22, 2017): 59–71. http://dx.doi.org/10.3905/jot.2018.13.1.059.
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Cherkes, Martin, Jacob S. Sagi, and Z. Jay Wang. "Managed Distribution Policies in Closed-End Funds and Shareholder Activism." Journal of Financial and Quantitative Analysis 49, no. 5-6 (December 2014): 1311–37. http://dx.doi.org/10.1017/s0022109014000544.
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AbstractIn closed-end funds, a managed distribution policy (MDP) is a dividend commitment potentially requiring the liquidation of assets. We argue that MDPs lower managerial claims on fund assets and, when the fund is at a discount, increase shareholder value. This transfer of wealth can be rationalized by managers wishing to deter a challenge from activist shareholders through a costly proxy vote. We find strong empirical evidence that managers respond to the presence of activists using MDPs, that MDPs constitute an effective wealth transfer to shareholders, and that activists are less likely to challenge management when an MDP is in place.