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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 that the performance between these two groups of fund managers does not differ significantly. However, the difference in performance became significant after controlling for various fund characteristics, such as size, expense ratio, liquidity ratio and flow of funds. This suggests that the relation between fund performance and educational credentials may be moderated by control variables. The results showed that the fund managers with a premier management degree were performing better than the other group and that they also followed a more extreme investment strategy. Further, the study has examined whether the relation between educational credentials of fund managers and performance and investment strategy has been impacted by different time periods of economic cycle. The examination in different sub-periods of economic cycle provided better performance of fund managers with premier management education, particularly during crisis period of economy. This performance differential due to educational credentials during the crisis period have been independent of the investment strategy of fund managers.
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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 exposure feature would be the best way to measure hedge fund performance. Furthermore, the optimal models with fewer factors exhibit greater explanatory power than existing models. Using rolling regressions, our customized investment strategy model shows how hedge funds are sensitive to risk factors according to market conditions.
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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 authors find that the target portfolio shareholders would have been better off if the target fund had been converted from an actively managed fund to a passively managed fund that maintained their current holdings. Research limitations/implications The findings are the opposite to many previous studies who view target fund shareholders as the major beneficiaries in mutual fund mergers. Practical implications Investors receiving notification of their fund merging should reconsider their investment strategy. If they wish to maintain the original strategy of their fund, they should oppose the merger. Alternatively they may withdraw their money from the (soon-to-be) merged fund, replicate the latest portfolio of their fund, and buy-and-hold that portfolio. Originality/value The authors develop a novel approach to examine post-merger wealth effects.
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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 performance is also found to be superior in liquidated funds by investment step, buyout funds by investment strategy, and small funds by fund size. As the result of analyzing performance of only liquidated funds, reflecting the nature of private equity funds where most of the profits are realized at the time of harvesting, we find that risk adjusted returns by measuring KS-PME, PME+, and direct alpha overperform market returns, and that funds liquidated during the recession display higher returns than funds liquidated during the boom. In terms of factors affecting performance, fund performance is negatively related to fund life, market return, and GDP growth rate.
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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 using a t-test with a significance level of alpha 0.05. The results show that equity fund past performance, stock selection skill, market timing ability, fund size, fund age and IDX composite index simultaneously have a significant effect on equity fund performance. Stock selection skill and IDX composite index partially have a positive and significant effect on equity fund performance. However, past performance, market timing ability, fund size and fund age have no positive and significant effect on equity fund performance. AcknowledgmentAll authors would like to thank Universitas Putra Indonesia YPTK Padang and Yayasan Perguruan Tinggi Komputer for financial support. Any remaining errors are our own.
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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 flow-performance relationship, where fund contributors in subsequent periods allocate recent underperforming and outperforming funds disproportionate cash. This finding is evident in the lack of significance in the past performance effects on subsequent fund flows. The study found that lagged fund flows, fund size, fund risk, and market risk drive subsequent fund flows under changing conditions of the general market and fund markets. Overall, it is posited that fund contributors and asset administrators adapt to prevailing market dynamics relative to trading decisions. As a result, this affirms the normative guidelines of the Adaptive Markets Hypothesis, leading to the conclusion that exogenous factors drive fluctuations in fund flows in South Africa.
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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 fund managers’ superior performance is attributed to their ability to manage downside risk.
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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 performance on Sharpe and Jensen measurement methods. The best performing Sharia mutual fund by using those methods was PNM Syariah, while the lowest-performing mutual fund was PNM Amanah Syariah if measured by using Sharpe Index and PNM Ekuitas Syariah if measured by using Jensen Alpha. Different results were found when Sharia mutual fund performance was measured using Treynor Ratio Information Ratio, where the best Sharia mutual fund performance was by Manulife Syariah Sectoral Amanah mutual fund while the lowest performance was by Cipta Syariah Equity mutual fund. This findings are expected to be useful for Sharia-based investors.
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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 as well as other exogenous factors and fund characteristics affecting the level of portfolio cash holdings and index fund performance.FindingsResults show that index funds holding higher levels of cash and cash equivalents performed significantly worse than their low-cash counterparts. This evidence remains even after considering different sub-periods and bullish and bearish market conditions and controlling for fund expenses and other variables that could drive this cash-performance relationship.Originality/valueThis study expands the extant literature analyzing cash management in the mutual fund industry. More specifically, the analyses focus on index fund portfolios that replicate a specific benchmark, given that their performance differences should not be related to the market evolution but to the factors derived from the fund management and other exogenous issues. These findings are of interest to managers and investors willing to improve their risk-adjusted returns while investing as diversified as a stock market index.
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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 to 2015. A panel data analysis method has been used to analyze the effect of those factors on the equity mutual fund performance. The result showed that equity mutual fund performance tends to fluctuate in Indonesia. Equity mutual fund performance influenced by stock selection skill and inflation, meanwhile, market timing skill and fund size have no significant effect on the equity mutual fund performance.
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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 risk-adjusted return analysis reveals that the Saudi equity funds outperformed their benchmark over the full sample period. The empirical results show that major fund-specific characteristics such as fund size, past performance, and flow explain future performance. Besides, the evidence confirms that Saudi funds benefit from the economies of scale and expertise, while funds requiring higher levels of initial investment tend to exhibit lower performance levels. These findings provide investors and fund managers with useful information to make the optimal investment decisions in the mutual fund industry.
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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 catering strategy fails to attract significant investor flows.
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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 mutual fund schemes, tax planning funds (58%), sectoral funds (57%), and equity diversified funds (55%) achieved better returns. Further, using the ordinary least squares (OLS) regression, the study estimated the effect of fund characteristics like scheme category, scheme type, scheme access type along with the fund’s tracking error and corpus size on funds’ return. The results show that tax planning, sectoral, and equity diversified funds significantly outperform. Tracking error significantly reduces the fund return by 4.52%. Scheme type, scheme access type, and corpus size were not significant. Equity, index, pension, and balanced category funds exhibit risk-adjusted performance, and only bond funds were able to outperform the respective benchmarks. The study adds to the existing literature by investigating the post-pandemic performance determinants of mutual funds.
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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 outperform its style by using a more passive strategy compared to other equity funds. Its result indicates that almost all sharia equity funds in Indonesia do not choose the correct investment strategy style.
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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 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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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-adjusted returns. The results indicate that only 2% of funds demonstrate persistence above 50%, and 15 out of 20 fund categories do not have any funds that show persistence in 10 years. Most of the persistent funds have positive skill ratios, and it is observed that the persistence rate is effective. However, it cannot be stated that there is performance persistence in the Turkish fund management industry, since performance persistence is not evident for various fund types, so investors do not need to invest in the best funds of the previous year. Additionally, the empirical results associated with risk-adjusted performance analysis indicate that persistent funds also do not generally yield higher risk-adjusted returns. The lack of persistence in funds’ performance is a significant result for investors in their investment decisions, for fund managers in their human resource policies and bonus schemes, and for regulators in their policy decisions.
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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 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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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 and subsets based on fund characteristics and pre-post regulation periods. Findings When regulations provide compensation and improve market efficiency in a pension fund market, investor focus shifted from performance to cost. Investors allocated assets with respect to return realization when adequately compensated for risk or had favorable cost contract clauses. Consequently, investors in pension funds with lower expected returns and no special fee reduction clauses tended to adopt the strategy of cost minimization. Research limitations/implications The overlap of regulatory change periods could complicate the ability to distinguish the impact of any one specific change. The findings therefore cannot be generalized to differently structured markets. Practical implications Regulatory changes could lead to a switch of investor objectives. When regulatory changes compensate investors and increase market efficiency, investors objective could switch from performance to cost. Originality/value This study investigates investor sentiment in a relatively young private pension fund market, in which the relevant regulatory body ambitiously implements frequent changes in regulation. The selected market is unique in the sense that it has negative real returns and high costs, which make investor focus to return and cost more readily apparent.
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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 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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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 findings, are offered. First, HFVs are significantly associated with long-run CRRs for SEO firms. Second, HFVs perform competitively compared to NFVs. Third, a potential omitted-variable bias results if HFVs are not used. Research limitations/implications This research assumes that hedge fund managers can identify good (poor) performing SEO firm that allow for profitable long (short) positions. The proportion of hedge funds using a strategy will change in the hypothesized manner needed to make profit. Practical implications Hedge fund managers can use long-run strategies to capitalize on price movements around significant corporate events. Social implications Larger institutional traders have investment advantages due to superior knowledge and greater ability to manipulate prices. Originality/value This research is the first study to detail the significant association between hedge fund stratagems and long-run stock returns for firms undergoing key corporate events. This study demonstrates the need to consider hedge fund strategies when trying to understand stock price movements.
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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 relation becomes weaker. This paper was accepted by Karl Diether, finance.
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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, expense ratio, and net asset value. The estimates of mutual fund performance are bootstrapped to account for the unknown data generating process. By comparing each mutual fund’s performance relative to the capital market line the authors determine how the fund should adjust their portfolio in regard to risk and return in order to maximize the inefficiency adjusted Sharpe ratio. Findings – The bootstrapped estimates indicate that the average mutual fund could simultaneously expand return and contract risk by 3.2 percent if it were to operate on the efficient frontier. After projecting each mutual fund’s return and risk to the efficient frontier the authors find that a majority of the mutual funds should reduce risk to be consistent with the capital market line. Originality/value – Many researchers have used data envelopment analysis to estimate a piecewise linear frontier of risk and return to measure mutual fund performance. To the authors’ knowledge the research is the first to use a twice-differentiable quadratic directional distance function to measure the managerial performance and risk/return tradeoff of mutual funds.
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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 were evident, showing the results that sales revenue flows of bank and insurance companies did not decrease when compared to institutional fund investors, but instead, grew substantially, owing to the significant relationship of better technological services and financial innovation by banks and insurance companies. The research contribution is to point out that financial industry should focus, review and strengthen its most competitive core services inside, which are less challenged by outside competitors. By adhering to financial innovation and internet technology, it is still possible for traditional banks and insurance channels to gain substantial market shares with concentration on their core competitive services.
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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 1%–2% per year.
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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 varied from the normal requirements. Diagnostically, the normality test by Jacque-Berra showed that the return was not normally distributed at a 1% significance level. The market was more aggressive relative to the funds. The average risk-free rate was 6.75% above the market’s return. The risk-adjusted portfolio returns measured by Sharpe and Treynor ratios showed that 67.31% of the funds underperformed the market compared to 40.38% that outperformed the market using Jensen’s alpha. Fama decomposition of return revealed that the fund managers are risk-averse with 48% superior selection ability and rationally invested over 85% of investors’ funds in schemes with fixed income securities at a given risk-free return that cushioned the negative effects of the systematic and idiosyncratic risks and consequently threw the total returns into positive territories. Overall, the fund managers possessed 52% of inferior selection abilities that only earned 33% of superior risk-adjusted returns and hence, failed to achieve the desired diversification in the relevant period.
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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 over the period 1991-2012. The authors provide numerical examples to illustrate how the suggested measure, MT, is different from the traditional turnover measure. The authors use panel regressions, simple and double sorts to examine the predictability of performance. Findings The authors find evidence that high MT predicts lower performance. The comparison between the highest and lowest quintiles sorted based on MT reveals a difference of −2.41 percent in the annual risk-adjusted return. Furthermore, high MT predicts lower net flows. The authors also find that MT relates positively to other activeness measures while volatility, flows, size, number of stocks, and the expense ratio are significant determinants of MT. Overall, the results suggest that frequent churning of a portfolio is value destroying for investors and signals a manager’s lack of skill. Originality/value The authors offer a simple measure, namely, MT, for estimating the fraction of a portfolio that changes from one quarter to the next. Armed with this tool, the authors investigate whether funds deviate from their previous quarter’s holdings because of valuable or noisy information, and whether such signals are exploited by fund investors.
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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 fully efficient. While efficiency improvement is observed in equity funds, the efficiency in hybrid funds actually deteriorates. On average, equity funds are more efficient and persistent in performance than hybrid funds. The empirical results also indicate that the primary areas of inefficiency are downside risk management and fund fee structures. For hybrid funds, fund size is also related to efficiency performance. The findings of this study offer implications for how to strengthen the development and stability of the Chinese mutual fund market.
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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 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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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 authors find no evidence of superior investment skill in the sample of Indian equity mutual funds. Using a series of statistical tests, the authors conclude that the mutual funds fail to outperform the random portfolios. Furthermore, mutual funds show no persistence in their performance over time. These results are robust to choice of performance measure and the investment horizon. However, mutual funds provide lower downside risks and may be suitable for investors with high degree of risk aversion. Originality/value – The authors extend Burns’ (2007) methodology in several aspects, especially by using a much wider range of performance and downside risk measures to address diverse investor expectations. To the best of the authors’ knowledge, this is first study to apply the constrained random portfolios-based skill tests in an emerging market.
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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 our performance measure outperforms those using estimated alpha and t-statistic.
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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-protected annuity income at retirement. We show how the portfolio allocation to an equity fund varies depending on the member’s age upon joining the fund, displaying a downward trend through time for members joining the fund before ages in the mid-30s. We demonstrate how both portfolio insurance strategies provide strong protection against downside equity risk in financing a minimum level of retirement income. The option-based strategy generally leads to higher accumulated savings at retirement, whereas the constant proportion strategy provides better downside risk protection robust to equity market jumps/volatilities.
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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 internationally-investing socially responsible funds. However, splitting their sample in funds domiciled in North America, Europe, and Asia-Pacific to account for biases due to the origin of a fund, the authors find that socially responsible funds from North America outperform their peers in crisis periods irrespective of the applied performance evaluation model. The authors suggest that the U.S.-based evidence is restricted to internationally-investing funds domiciled in North America, and discover that this outperformance seems to be owed to the stock-picking abilities of North American fund managers and their advantage due to the nature of the North American market. Keywords: socially responsible investments, mutual funds, international markets, performance evaluation, managerial abilities. JEL Classification: G11, G12, G15, G23, M14
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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 superior performance. We exploit this simplicity to highlight the drivers of this performance, and find that in- and out-of-sample predictability are closely related.
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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 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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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 inflation combined with quantitative tightening. These Macro factors have significantly contributed to the effectiveness of hedge portfolios; therefore, the article will focus on the performance of hedge fund strategies in the current market and analyze the efficiency of the strategies. According to the real-time hedge strategy trading data obtained from May/21st/2022 to July/01/2022, the Market Mutual strategy, as well as the Merger arbitrage, displayed the risk-averse characteristics of the hedging strategy during the underperforming period. On the other hand, P/E-based trades took on more systematic risk, which generated additional losses than expected.
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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 the benchmark index in terms of their Sharpe and Treynor ratios. Whilst UCITS registered a better overall performance, AIFs outperformed UCITS towards the end of the sample period. This suggests that investors should not assume that one fund structure is inherently superior to the other, since the relative performance may vary over time.
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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 relative performance among the star funds is associated with money inflows by 0.532% after reform, much lower than 1.433% before reform. The findings confirm the positive influence of institutional development on investor rationality and market efficiency. The successful experience can be borrowed by other emerging markets with less developed institutions.
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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 accuracy of the prediction model, we used the Expectation- Prediction Evaluation with a prediction evaluation for success of 0.5. The results of this study indicate that,of the whole mutual fund, the best model is a model involving the following variables: (1) the time interval since the mutual fund was launched, (2) the rank of the mutual funds, whether it was at the top 5 within 1-2 years after the launch, and (3) the number of newcomer funds during persistence testing. The level of accuracy of this model, when it was used to predict the whole sharia mutual fund persistence, was 64%. When the model was used to predict the persistence of equity performance of mutual fund, its level of accuracy rose to 77.78%. Whereas in the use to predict the persistence of fixed income mutual funds the accuracy rate amounted to 70%. The persistence of predictive model for mixed funds was based on different factors of compositions: (1) the number of funds under management, (2) the fact whether the mutual funds are in the top 5 within 1-2 years after the launch, and (3) the number of newly coming funds during persistence testing. This model had an accuracy level of 75%. It is expected that this study be used as a guide for investors wishing to invest in sharia mutual funds.
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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 are gathered hand-collected from annual reports and master prospectuses for the purpose of analysis between the period 2008 and 2015, generating 2,016 fund-year observations. Findings SAP is found to have a positive effect on agency costs. Consequently, it leads to empirical evidence that substantiates a negative and marginally significant association with fund performance when designated by accounting measure. Thus, the Shariah monitoring proxy is not a good mechanism for controlling agency costs inconsistent with performance maximizing (agency cost minimizing) outcomes. Research limitations/implications The unique data set of mutual funds used in this research may restrict the generalization of the findings unless mentioned and explained specifically the data characteristics. The single proxy for Shariah monitoring could be better off by having a list of different measures. Practical implications The paper highlights and suggests a consistent improvement in regulation that could be performed by policymakers pertaining to the non-trivial additional cost of implying Shariah governance. Originality/value This paper provides empirical evidence of the SAP effects from the view of a more complex monitoring structure in consequence of having an additional layer of governance, devoting on the trade-off between benefit and cost to shareholders.
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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 responsibility image strategy. Research limitations/implications – Brazilian SRI funds are a very small niche in the stock mutual fund universe of the country, thus, the small sample (universe) of SRI funds, as far as the author's knew. One cannot say that independent asset managers do not include SRI screening in their stock selection criteria. The use of SRI screening by the most prominent independent asset managers is a potential topic for future research. Practical implications – Brazilian SRI funds did not represent an extra screening filter cost to their investors. The majority of asset managers do not consider this strategy important enough to deserve an exclusive vehicle. Social implications – As SRI funds did not posit an extra screening cost, they may deserve a greater share of the mutual fund market, stimulating more SRI. Originality/value – The performance of Brazilian SRI stock funds had not been examined in the international literature. Brazil has vast natural resources, a very large economy and the fourth largest mutual fund industry in the world, but was overlooked.
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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 diagnostic tests.