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Journal articles on the topic 'Strategy and Fund Performance'

Author: Grafiati

Published: 4 June 2021

Last updated: 20 February 2023

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1

Kaur, Inderjit. "Performance of Equity Mutual Fund and Educational Credentials of Fund Manager." Vision: The Journal of Business Perspective 21, no. 1 (2017): 23–34. http://dx.doi.org/10.1177/0972262916681227.

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The investors of mutual funds can reduce their selection risk by selecting the mutual funds based on certain criteria. One such criterion could be the educational credentials of fund managers. The present study has examined whether performance of mutual funds could be attributed to differentials in educational credentials of fund managers and thereby can provide necessary signals to investors. The study has compared performance and investment strategy of fund managers having management degree from premier management institutions with others having CA/CFA/ICMA qualification. The results show th

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SHIN, SANGHEON, JAN SMOLARSKI, and GÖKÇE SOYDEMIR. "HEDGE FUNDS: RISK AND PERFORMANCE." Journal of Financial Management, Markets and Institutions 06, no. 01 (2018): 1850003. http://dx.doi.org/10.1142/s2591768418500034.

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This paper models hedge fund exposure to risk factors and examines time-varying performance of hedge funds. From existing models such as asset-based style (ABS)-factor model, standard asset class (SAC)-factor model, and four-factor model, we extract the best six factors for each hedge fund portfolio by investment strategy. Then, we find combinations of risk factors that explain most of the variance in performance of each hedge fund portfolio based on investment strategy. The results show instability of coefficients in the performance attribution regression. Incorporating a time-varying factor

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Lapatto, Anni, and Vesa Puttonen. "Life after death: acquired fund performance." Managerial Finance 44, no. 3 (2018): 389–402. http://dx.doi.org/10.1108/mf-02-2017-0031.

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Purpose The purpose of this paper is to study how the target fund in mutual fund mergers performed compared to the acquiring funds had they not been merged but continued on their own as buy-and-hold portfolios. Design/methodology/approach The authors develop a novel approach to examine post-merger wealth effects. The authors’ study how the target portfolios would have performed compared to the funds acquiring them had they not been merged but continued on their own as passive portfolios. The data set consists of 793 merging US equity funds from January 2003 to December 2014. Findings The autho

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Bae, Kibeum, and Junesuh Yi. "Performance of Private Equity Funds in Korea." Korean Journal of Financial Studies 49, no. 2 (2020): 163–87. http://dx.doi.org/10.26845/kjfs.2020.04.49.2.163.

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This study analyzes performance of PEFs in Korea. Using the unique return data of 134 private equity funds collected from limited partners (LP) including pension funds, this study explores performance differences by investment step, strategy, timing, and fund size. This study also investigates risk adjusted return, return on economic cycles, and likelihood of performance exaggeration by general partners (GP) on liquidated funds. In addition, this paper examines factors to affect PEF performance. We find that Korean PEF records 6.12% of IRR and 1.22 of investment multiple on average. Fund perfo

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Sanjaya, Sigit, Yosi Yulia, Elfiswandi, Zerni Melmusi, and Faradilla Suretno. "Factors influencing equity fund performance: evidence from Indonesia." Investment Management and Financial Innovations 17, no. 1 (2020): 156–64. http://dx.doi.org/10.21511/imfi.17(1).2020.14.

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This study aims to discover the factors that affect equity fund performance in companies listed on the Indonesia Stock Exchange (IDX) during 2015–2018. This research is quantitative. Past performance, stock selection skills, market timing abilities, fund size, fund age are independent variables, while fund performance is the dependent variable. The population in this study was 73 equity funds. A total of 21 equity funds were selected as the sample by the purposive sampling method. The analytical method used is panel data regression analysis using the EViews program. Hypotheses were tested usin

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Apau, Richard, Paul-Francois Muzindutsi, and Peter Moores-Pitt. "Mutual fund flow-performance dynamics under different market conditions in South Africa." Investment Management and Financial Innovations 18, no. 1 (2021): 236–49. http://dx.doi.org/10.21511/imfi.18(1).2021.20.

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Questions regarding the specific factors that drive continuous cash allocations by investors into portfolios of actively managed funds, despite consistent underperformance, continue to remain an inexhaustive aspect of the literature that calls for further investigations. This study assesses the dynamic relationship between fund flow and performance of equity mutual funds in South Africa under different market conditions. The study employs a GMM technique to analyze the panel data of 52 South African equity mutual funds from 2006 to 2019. The analysis found that convexity is prevalent in the fl

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Cao, Charles, Bradley A. Goldie, Bing Liang, and Lubomir Petrasek. "What Is the Nature of Hedge Fund Manager Skills? Evidence from the Risk-Arbitrage Strategy." Journal of Financial and Quantitative Analysis 51, no. 3 (2016): 929–57. http://dx.doi.org/10.1017/s0022109016000387.

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AbstractTo understand the nature of hedge fund managers’ skills, we study the implementation of risk arbitrage by hedge funds using their portfolio holdings and comparing them with those of other institutional arbitrageurs. We find that hedge funds significantly outperform a naive risk-arbitrage portfolio by 3.7% annually on a risk-adjusted basis, whereas non–hedge fund arbitrageurs fail to outperform the benchmark. Our analysis reveals that hedge funds’ superior performance does not reflect fund managers’ ability to predict or affect the outcome of merger and acquisition deals; rather, hedge

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Robiyanto, Robiyanto, Michael Alexander Santoso, and Rihfenti Ernayani. "Sharia mutual funds performance in Indonesia." Business: Theory and Practice 20 (January 9, 2019): 11–18. http://dx.doi.org/10.3846/btp.2019.02.

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The study aims to measure each Sharia mutual fund performance and compare with market performance in Indonesia. Sharia mutual fund investment instruments in Indonesia have positive developments over the period from 2012 to 2017. These positive developments add to the option of investment instruments for public, especially investors who put forward the principles of Sharia. This research was conducted so that the public could have scientific information about Sharia mutual funds that have the best performance. The study found consistent results regarding Sharia mutual funds with the best perfor

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de Mingo-López, Diego Víctor, Juan Carlos Matallín-Sáez, and Amparo Soler-Domínguez. "Cash management and performance of index mutual funds." Academia Revista Latinoamericana de Administración 33, no. 3/4 (2020): 549–65. http://dx.doi.org/10.1108/arla-07-2020-0158.

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PurposeThis study aims to assess the relationship between cash management and fund performance in index fund portfolios.Design/methodology/approachUsing a sample of 104 index mutual funds that track the Standard and Poor 500 stock market index from January 1999 to December 2016, the authors employ quintile portfolios and different regression models to assess the differences in risk-adjusted monthly returns experienced by index funds managing different cash levels in their portfolios. To ensure the robustness of the results, different sub-periods and market states are considered in the analyses

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Gusni, Silviana, and Faisal Hamdani. "Factors affecting equity mutual fund performance: evidence from Indonesia." Investment Management and Financial Innovations 15, no. 1 (2018): 1–9. http://dx.doi.org/10.21511/imfi.15(1).2018.01.

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The evaluation of equity mutual fund performance and identification factors that affect mutual fund performance is of great interest to an investor in Indonesia. This study investigates the performance of equity mutual fund by using risk-adjusted performance proposed by Treynor (1965) and examines factors affecting mutual fund performance by using the ability of investment manager (market timing and stock selection skill), fund size, and inflation. To achieve the objectives of this study, a total of 19 equity mutual funds was selected using purposive sampling method from the period from 2011 t

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JONES, C., and J. SHANKEN. "Mutual fund performance with learning across funds." Journal of Financial Economics 78, no. 3 (2005): 507–52. http://dx.doi.org/10.1016/j.jfineco.2004.08.009.

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Ben Belgacem, Samira, Wafa Ghardallou, and Razan Alshebel. "Investigating key funds characteristics influencing their investment performance in Saudi Arabia: A dynamic panel data approach." Investment Management and Financial Innovations 18, no. 2 (2021): 298–311. http://dx.doi.org/10.21511/imfi.18(2).2021.24.

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The study examines if specific characteristics of funds influence the performance of Saudi equity mutual funds. Previous research has explored various aspects of mutual funds. However, the Saudi Arabia literature focuses on evaluating the funds’ performance. Hence, this study seeks to close this gap by providing a framework to explain the equity fund performance. Several risks adjusted performance measures are applied such as Jensen’s alpha, lower partial moment alpha, Sharpe ratio, LPM-Sharpe ratio using the dynamic panel specification over the period 2010–2019. Based on the LPM alpha, the ri

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Massa, Massimo, and Vijay Yadav. "Investor Sentiment and Mutual Fund Strategies." Journal of Financial and Quantitative Analysis 50, no. 4 (2015): 699–727. http://dx.doi.org/10.1017/s0022109015000253.

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AbstractWe show that mutual funds employ portfolio strategies based on market sentiment. We build a proxy for the degree of a fund’s sentiment beta (or FSB). The low-FSB funds outperform high-FSB funds, even after controlling for standard risk factors and fund characteristics. This effect is sizable and delivers a net-of-risk performance of 3.8% per year. Funds with a lower FSB follow more idiosyncratic strategies, suggesting that FSB is a deliberate, active choice of the fund manager. A sentiment contrarian strategy leads to high flows due to its superior performance, whereas a sentiment cate

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Riyazahmed, K., B. Anitha Kumari, and B. Diwakar Naidu. "A taxonomic evaluation of Indian mutual funds’ performance and its determinants – Post-pandemic." Investment Management and Financial Innovations 19, no. 2 (2022): 180–90. http://dx.doi.org/10.21511/imfi.19(2).2022.15.

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The COVID-19 pandemic has caused significant disruption in financial markets worldwide and impacted the performance of investment avenues like mutual funds. It has been a challenging scenario for all mutual funds to sustain the pre-pandemic performance. To understand the mutual fund investment scenario further, this study focused on examining the post-pandemic performance in the year 2021 of various categories of mutual funds, the significance of scheme characteristics in determining the performance, risk-adjusted performance, and outperformance of various categories of funds. Out of 4,305 mut

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Prisilia, Opi, and Acong Dewantoro Marsono. "Style Analysis: Asset Allocation and Evaluation of Sharia Equity Fund Performance." Journal of Emerging Economies and Islamic Research 8, no. 2 (2020): 46. http://dx.doi.org/10.24191/jeeir.v8i2.8504.

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The purpose of this research is to analyze the characteristic style of sharia equity funds such as asset allocation, investment strategy, and evaluation of its performance. The analysis technique used in this study is return based style analysis by observing ten asset class factor and eight of sharia equity funds in Indonesia. The results found that sharia equity fund in Indonesia allocates funds to the Sharia shares in almost all asset class factor with passive strategy, but the actual performance has not been able to outperform its style performance. Only one from eight Equity funds can outp

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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 (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

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Ozkan, Tayfun, and Hakki Ozturk. "Does performance persistence exist in mutual and pension funds? Evidence from Turkey." Investment Management and Financial Innovations 18, no. 4 (2021): 326–39. http://dx.doi.org/10.21511/imfi.18(4).2021.27.

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The objective of this study is to investigate the performance persistence of Turkish mutual and pension funds. 310 mutual and 259 pension funds were analyzed between the period of 2010–2019 in order to determine if there is an evidence of performance persistence. In this study, a persistence rate is developed, and the skill ratio is used to crosscheck the results of the persistence rate. Furthermore, six different risk-adjusted return measures, such as Sharpe, Treynor, Information, Jensen’s alpha, Sortino, and Omega ratios are calculated to analyze whether funds also exhibit superior risk-adju

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Popescu, Marius, and Zhaojin Xu. "Market states and mutual fund risk shifting." Managerial Finance 43, no. 7 (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

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Erzurumlu, Yaman Omer, and Idris Ucardag. "Private pension fund flow, performance and cost relationship under frequent regulatory change." Journal of Financial Regulation and Compliance 29, no. 2 (2021): 218–34. http://dx.doi.org/10.1108/jfrc-03-2020-0028.

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Purpose This paper aims to investigate private pension fund investor sentiment against fund performance and cost in an environment of frequent regulatory changes. The analyses are conducted in a low return, high-cost private pension fund market environment, which makes it easier to observe the relationship between investor sentiment to return and cost. Design/methodology/approach This paper conducts fixed effect, random effect and random effect within between effect panel data analyses of all Turkish private pension funds from 2011 to 2019. This paper conducts the analyses using aggregate data

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YING, CHEN, ZHANG XIAOQIANG, YANG CHEN, and SHAN SHUANG. "Internal Competition, Active Management Strategy and Fund Performance." ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH 52, no. 1/2018 (2018): 143–60. http://dx.doi.org/10.24818/18423264/52.1.18.09.

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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 (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 f

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Hull, Robert M., Sungkyu Kwak, and Rosemary Walker. "Hedge fund stratagems and long-run SEO firm performance." Managerial Finance 45, no. 7 (2019): 886–903. http://dx.doi.org/10.1108/mf-07-2018-0338.

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Purpose The purpose of this paper is to explore if hedge fund variables (HFVs) are associated with long-run compounded raw returns (CRRs) for seasoned equity offering (SEO) firms for a six-year window around the offering month for firms undergoing SEOs. Design/methodology/approach The event study methodology is used to calculate long-run CRRs that are used in a regression model as dependent variables. Independent variables include HFVs and nonhedge fund variables (NFVs) with standard errors clustered at the month level. Findings Three new long-run findings, consistent with recent short-run fin

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Avramov, Doron, Si Cheng, and Allaudeen Hameed. "Mutual Funds and Mispriced Stocks." Management Science 66, no. 6 (2020): 2372–95. http://dx.doi.org/10.1287/mnsc.2019.3319.

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We propose a new measure of fund investment skill, active fund overpricing (AFO), encapsulating the fund’s active share of investments, the direction of fund active bets with regard to mispriced stocks, and the dispersion of mispriced stocks in the fund’s investment opportunity set. We find that fund activeness is not sufficient for outperformance: high (low) AFO funds taking active bets on the wrong (right) side of stock mispricing achieve inferior (superior) fund performance. However, high AFO funds receive higher flows during periods of high investor sentiment, when the performance–flow rel

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Bozovic, Milos. "Mutual fund performance: Some recent evidence from European equity funds." Ekonomski anali 66, no. 230 (2021): 7–33. http://dx.doi.org/10.2298/eka2130007b.

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This paper studies the performance of mutual funds that specialise in equity investment. We use a sample of the top sixteen actively managed European equity funds operating in the United States between July 1990 and November 2020. Using standard factor models, we show that none of our sample funds generated a positive and significant alpha. The observed funds could not outperform a simple passive strategy that involves tradeable European benchmark portfolios in the longer run. As a rule, the funds in our sample did not exploit the known asset pricing anomalies.

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Devaney, Michael, Thibaut Morillon, and William Weber. "Mutual fund efficiency and tradeoffs in the production of risk and return." Managerial Finance 42, no. 3 (2016): 225–43. http://dx.doi.org/10.1108/mf-05-2015-0142.

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Purpose – The purpose of this paper is to estimate the performance of 188 mutual funds relative to the risk/return frontier accounting for the transaction costs of producing a portfolio of investments. Design/methodology/approach – The directional output distance function is used to estimate mutual fund performance. The method allows the data to define a frontier of return and risk accounting for the transaction costs associated with securities management and production of risky returns. Proxies for the transaction costs of producing a portfolio of securities include the turnover ratio, load,

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Hsieh, Lu-Chen, and Ying-Shing Lin. "Inflows and outflows of mutual funds: a performance comparison of funds offered by traditional banks, insurance companies and mutual fund companies." Investment Management and Financial Innovations 15, no. 4 (2018): 258–72. http://dx.doi.org/10.21511/imfi.15(4).2018.21.

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The transformations in internet technology and financial innovation have led to the prevalence of direct finance, causing indirect finance to contract and concerns among traditional banks and insurance channel operators to seek transformation to innovate traditional services with advanced technology applications. The research compares the sales revenue flows of traditional banks, insurance companies, and mutual fund institutions, using quantile regression methods with five mutual fund factors: Jensen’s indexes, expenses, risks, sizes, and turnover rates. The sample statistics from 2001 to 2016

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Massa, Massimo, Yanbo Wang, and Hong Zhang. "Benchmarking and Currency Risk." Journal of Financial and Quantitative Analysis 51, no. 2 (2016): 629–54. http://dx.doi.org/10.1017/s0022109016000284.

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AbstractWe show that the currency risk embedded in the benchmarks of international mutual funds negatively affects fund performance. More specifically, a high benchmark-implied currency risk induces funds to invest in markets with less volatile currencies, leading to a higher degree of currency concentration in portfolio holdings. This currency concentration, however, departs from the optimal equity allocation strategy across countries and reduces fund performance. We document that funds resorting to high currency concentrations underperform funds with low currency concentrations by as much as

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Odutola Omokehinde, Joshua. "Mutual funds behavior and risk-adjusted performance in Nigeria." Investment Management and Financial Innovations 18, no. 3 (2021): 277–94. http://dx.doi.org/10.21511/imfi.18(3).2021.24.

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The paper investigates the behavior of mutual funds and their risk-adjusted performance in the financial markets of Nigeria between April 2016 and May 31, 2019, using descriptive statistics, as well as CAPM, Jensen’s alpha, and other risk-adjusted portfolio performance measures such as Sharpe and Treynor ratios, as well as Fama decomposition of return. The descriptive tests revealed that 80.77% of the funds were superior to market returns, while 13.46% were riskier. The market and the fund returns behaved abnormally with asymptotic and leptokurtic characteristics as their skewness and kurtosis

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Champagne, Claudia, Aymen Karoui, and Saurin Patel. "Portfolio turnover activity and mutual fund performance." Managerial Finance 44, no. 3 (2018): 326–56. http://dx.doi.org/10.1108/mf-01-2017-0003.

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Purpose The purpose of this paper is to propose a new measure of portfolio activity, the modified turnover (MT), which represents the portion of the portfolio that the manager changes from one quarter to the next. Compared with the traditional turnover, the MT measure has a distinct interpretation, relies on portfolio holdings, includes the effects of flows and ignores the effects of offsetting trades. Design/methodology/approach Using quarterly holdings data, the authors examine the relationship between fund turnover, performance, and flows for a sample of 2,856 actively managed mutual funds

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C. Huang, Carol. "Does rapid market growth enhance efficiency? An evaluation of the Chinese mutual fund market." Investment Management and Financial Innovations 16, no. 2 (2019): 383–94. http://dx.doi.org/10.21511/imfi.16(2).2019.32.

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In recent years, China’s mutual fund market has grown exponentially. With hundreds of new funds introduced into the market each year, an essential question to ask is whether this voluminous growth promotes funds’ efficiency, as funds compete for investment. To overcome the drawbacks of traditional portfolio performance metrics, this study utilizes a non-parametric model, data envelopment analysis (DEA), to assess the relative efficiency of equity and hybrid funds for 2016–2018. The empirical results show that despite the development in the fund industry, only a small portion of the funds are f

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Sheng, Jiliang, Si Xu, Yunbi An, and Jun Yang. "Dynamic portfolio strategy by loss-averse fund managers facing performance-induced fund flows." International Review of Financial Analysis 73 (January 2021): 101609. http://dx.doi.org/10.1016/j.irfa.2020.101609.

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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 (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 performanc

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Ammann, Manuel, and Patrick Moerth. "Impact of fund size on hedge fund performance." Journal of Asset Management 6, no. 3 (2005): 219–38. http://dx.doi.org/10.1057/palgrave.jam.2240177.

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Apap, Antonio, and Harold Collins. "International Mutual Fund Performance: A Comparison." Managerial Finance 20, no. 4 (1994): 47–54. http://dx.doi.org/10.1108/eb018471.

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FERSON, WAYNE E., and RUDI W. SCHADT. "Measuring Fund Strategy and Performance in Changing Economic Conditions." Journal of Finance 51, no. 2 (1996): 425–61. http://dx.doi.org/10.1111/j.1540-6261.1996.tb02690.x.

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Sharma, Prateek, and Samit Paul. "Testing the skill of mutual fund managers: evidence from India." Managerial Finance 41, no. 8 (2015): 806–24. http://dx.doi.org/10.1108/mf-04-2014-0112.

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Purpose – The purpose of this paper is to utilize a constrained random portfolio-based framework for measuring the skill of a cross-section of Indian mutual fund managers. Specifically, the authors test whether the observed performance implies superior investment skill on the part of mutual fund managers. Additionally, the authors investigate the suitability of mutual fund investments under diverse investor expectations. Design/methodology/approach – The authors use a new skill measurement methodology based on a cross-section of constrained random portfolios (Burns, 2007). Findings – The autho

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Chen, Yong, Michael Cliff, and Haibei Zhao. "Hedge Funds: The Good, the Bad, and the Lucky." Journal of Financial and Quantitative Analysis 52, no. 3 (2017): 1081–109. http://dx.doi.org/10.1017/s0022109017000217.

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We develop an estimation approach based on a modified expectation-maximization (EM) algorithm and a mixture of normal distributions associated with skill groups to assess performance in hedge funds. By allowing luck to affect both skilled and unskilled funds, we estimate the number of skill groups, the fraction of funds from each group, and the mean and variability of skill within each group. For each individual fund, we propose a performance measure combining the fund’s estimated alpha with the cross-sectional distribution of fund skill. In out-of-sample tests, an investment strategy using ou

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Xu, Mengyi, Michael Sherris, and Adam W. Shao. "PORTFOLIO INSURANCE STRATEGIES FOR A TARGET ANNUITIZATION FUND." ASTIN Bulletin 50, no. 3 (2020): 873–912. http://dx.doi.org/10.1017/asb.2020.24.

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AbstractThe transition from defined benefit to defined contribution (DC) pension schemes has increased the interest in target annuitization funds that aim to fund a minimum level of retirement income. Prior literature has studied the optimal investment strategies for DC funds that provide minimum guarantees, but far less attention has been given to portfolio insurance strategies for DC pension funds focusing on retirement income targets. We evaluate the performance of option-based and constant proportion portfolio insurance strategies for a DC fund that targets a minimum level of inflation-pro

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Lesser, Kathrin, Felix Rößle, and Christian Walkshäusl. "International socially responsible funds: financial performance and managerial skills during crisis and non-crisis markets." Problems and Perspectives in Management 14, no. 3 (2016): 461–72. http://dx.doi.org/10.21511/ppm.14(3-2).2016.02.

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Nofsinger and Varma (2014) provide evidence that U.S. socially responsible funds outperform conventional funds during periods of market turmoil and, therefore, grant some crisis insurance. To investigate whether the U.S.-based evidence can be transferred to international markets, the authors analyze a comprehensive sample of internationally-investing socially responsible equity funds in a period from 2000 to 2012. As abnormal returns are model-specific, the authors apply standard and q-theory based performance measurement models. At first glance, the authors observe no crisis protection for in

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Avramov, Doron, Laurent Barras, and Robert Kosowski. "Hedge Fund Return Predictability Under the Magnifying Glass." Journal of Financial and Quantitative Analysis 48, no. 4 (2013): 1057–83. http://dx.doi.org/10.1017/s0022109013000422.

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AbstractThis paper develops a unified approach to comprehensively analyze individual hedge fund return predictability, both in and out of sample. In sample, we find that variation in hedge fund performance across changing market conditions is widespread and economically significant. The predictability pattern is consistent with economic rationale, and largely reflects differences in key hedge fund characteristics, such as leverage or capacity constraints. Out of sample, we show that a simple strategy that combines the funds’ return forecasts obtained from individual predictors delivers superio

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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 (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

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Ma, Ranbo. "Hedge Fund Strategies Performance in Bad Market Condition Analysis." Highlights in Business, Economics and Management 2 (November 6, 2022): 188–95. http://dx.doi.org/10.54097/hbem.v2i.2360.

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In this article, the performance of hedge fund strategies is measured and analyzed by the following aspects: potential risk of the strategies excepted return of selected hedge fund and the sample performance in pressured stock market conditions. The study will provide theoretical explanations of the efficacy of Merger Arbitrage, Mutual Fund strategies, and PE ratio-related hedge fund strategies and their profitability as well as risk tolerance. Throughout equity data collection, asset markets including the S&P and NASDAQ have experienced downward pressure on systemic risk caused by inflati

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Camilleri, Silvio John, and Ritienne Farrugia. "The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis." International Journal of Economics and Finance 10, no. 7 (2018): 23. http://dx.doi.org/10.5539/ijef.v10n7p23.

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This study evaluates the performance of a selection of Alternative Investment Funds (AIFs), and Undertakings for Collective Investment in Transferable Securities Funds (UCITS) which followed a global geographic focus strategy during the period 2010-2016. These two fund structures are governed by different regulatory frameworks, which have evolved and re-shaped over the years. Various yardsticks are employed to evaluate the risk-adjusted performance of the sampled funds, and Monte-Carlo simulations are used to gauge the possible out-of-sample returns. Most of the sampled funds underperformed th

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Feng, Jinyu, and Wenzhao Wang. "Fund performance-flow relationship and the role of institutional reform." Investment Management and Financial Innovations 15, no. 1 (2018): 311–27. http://dx.doi.org/10.21511/imfi.15(1).2018.26.

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Extant literature shows the positive impact of institutional development on investor rationality and market efficiency. The authors extend this evidence by investigating the performance-flow relationship in the Chinese mutual fund market before and after the enforcement of the revised Law of the People’s Republic of China on Securities Investment Fund. Empirical evidence reveals that Chinese investors irrationally chase past star performers before institutional reform, but gradually become rational and less obsessed with star-chasing behaviors after reform. Moving one percentile upward in the

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Zaenal Arifin and Sri Mulyati. "Prediction Model for the Persistence of Sharia Mutual Fund Performance in Indonesian Capital Market." International Journal of Business and Society 21, no. 3 (2021): 1033–44. http://dx.doi.org/10.33736/ijbs.3309.2020.

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Over the period of 2010 to 2012, the performance of Islamic mutual funds in Indonesia saw a high degree of persistence. However, the persistence rate decreased in the period of 2014 to 2016. Given such fluctuated rate, this research tries to identify the factors that influence the persistence of the mutual fund performance and, based on these factors, creates the predictive modelling of persistence rate. The samples of the study included all sharia mutual funds offered from 2010 to 2016 in Indonesian capital market. To construct the model, we used the Logit equation, while to evaluate the accu

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Sofi, Mohd Fikri, and M. H. Yahya. "Shariah monitoring, agency cost and fund performance in Malaysian mutual funds." Journal of Islamic Accounting and Business Research 11, no. 5 (2020): 945–72. http://dx.doi.org/10.1108/jiabr-04-2018-0051.

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Purpose This paper aims to examine the effect of Shariah Advisory Panel (SAP) on both the level of agency cost and fund performance against conventional corporate governance, within corporate and Shariah governance settings, between Shariah and conventional mutual fund (CMF), in an emerging economy of Malaysia during the period 2008-2015. Design/methodology/approach Panel data regression is appropriately used within corporate governance research because of empirical issues of unobserved heterogeneity effects to avoid spurious evidence. The secondary data of 172 CMFs and 80 Shariah mutual funds

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Filippas, N. D., and Christine Psoma. "Equity mutual fund managers performance in Greece." Managerial Finance 27, no. 6 (2001): 68–75. http://dx.doi.org/10.1108/03074350110767231.

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Cheney, John M., Stanley Atkinson, and Barrie A. Bailey. "International Mutual Fund Performance U.S. vs. U.K." Managerial Finance 18, no. 2 (1992): 39–48. http://dx.doi.org/10.1108/eb018448.

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Hartz Pinto, Dimas, Celso Funcia Lemme, and Ricardo Pereira Câmara Leal. "Socially responsible stock funds in Brazil." International Journal of Managerial Finance 10, no. 4 (2014): 432–41. http://dx.doi.org/10.1108/ijmf-10-2013-0107.

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Purpose – The purpose of this paper is to examine the risk-adjusted performance of Brazilian SRI stock funds. Design/methodology/approach – Risk-adjusted performance of 11 Brazilian socially responsible investment (SRI) funds relative to local index funds and matched pairs of funds. Findings – SRI funds performed as well as portfolios representing the broad market on a risk-adjusted basis, both before and during the global financial crisis. Independent investment houses are not interested in SRI funds. Large financial conglomerates may see these funds as part of their corporate social responsi

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Kumaraswamy, Sumathi, and Ibrahim Al Ezee. "Performance evaluation of Saudi equity mutual funds: Fama decomposition model." Investment Management and Financial Innovations 15, no. 4 (2018): 158–68. http://dx.doi.org/10.21511/imfi.15(4).2018.13.

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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 diagn

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