Thèses sur le sujet « Mutual funds. Extrapolation. Market-timing »
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1
Laplante, Mark John. « Conditional market timing with heteroskedasticity / ». Thesis, Connect to this title online ; UW restricted, 2003. http://hdl.handle.net/1773/8730.
Texte intégral
2
Alkassim, Faisal A. « Mutual fund performance : evidence of stock selection and market timing ability from Islamic mutual funds ». Thesis, Bangor University, 2009. https://research.bangor.ac.uk/portal/en/theses/mutual-fund-performance--evidence-of-stock-selection-and-market-timing-ability-from-islamic-mutual-funds(ba6af4b3-4564-4fb3-897e-1868118f8ef6).html.
Texte intégralRésumé :
The main objective of this thesis is to provide a detailed analysis of the performance of mutual funds with particular focus on Islamic funds. Studies that review the performance of Islamic funds are rare although there has been a significant growth in the number and assets in recent years. The average annual growth in the number of Islamic funds amounted to 18% and the average annual growth in total assets of such funds came to 42% between the year 2005 and 2006 according to Failaka International. In this thesis we use four stock selection models and three market timing models to evaluate the performance on a sample of Islamic mutual funds over the period 2000 and 2006 using weekly returns. Overall, the results from the performance study of Islamic mutual funds indicate that there is underperformance in terms of stock selection ability. Thus, there is a lack of market timing ability. In consequence, we test for robustness in market timing results by adopting a conditional market timing model similar to Prather and Middleton (2006) and Cuthbertson, Nitzsche, and O'Sullivan (2006). However, we arrive at negative conditional market timing results. Moreover, we test for evidence of performance persistence for Islamic mutual funds and the results suggest that there is evidence of negative performance persistence.
3
Mazumder, Mohammed Imtiaz Ahmed. « The Predictability of International Mutual Funds ». ScholarWorks@UNO, 2004. http://scholarworks.uno.edu/td/175.
Texte intégralRésumé :
The predictability of the US-based international mutual fund returns has received renewed consideration in recent academic studies. This dissertation extends recent research by exploring the 2,479 daily return observations covering the period from January 4, 1993 to October 31, 2002 for all categories of international mutual funds. This exploration splits the sample, uses the initial sub-sample to investigate return patterns of international mutual funds and develops trading rules based on the predictable return patterns, and tests those rules on the holdout sample. The empirical findings suggest that smart investors may earn higher riskadjusted returns by following daily dynamic trading strategies. The excess returns earned by investors are statistically and economically significant, irrespective of load or no-load mutual funds and even in the presence of various exchange restrictions and regulations.
4
FATHY, ELMESSEARY MOHAMED. « Islamic vs. conventional funds : a comparative analysis over the financial crisis - evidence from the middle east ». Doctoral thesis, Università degli Studi di Roma "Tor Vergata", 2014. http://hdl.handle.net/2108/208137.
Texte intégralRésumé :
The findings of over-or-under performance of fund managers across the crisis periods are mixed. By analyzing the monthly data for 90 mutual funds chosen from ‘Kuwait, the United Arab Emirates, the Kingdom of Bahrain, Qatar, and Sultanate of Oman’ as a-five-Gulf countries, this paper employs Jensen’s alpha and Treynor & Mazuy models for the period of 2007-2012 to offer a comprehensive investigation for the fund managers’ capabilities of market timing and selectivity. It explores these two skills during and after the Financial Crisis (FC) period of 2007-2008, in addition to inspecting the relative differences in performance between equity conventional mutual funds (CMFS) and Islamic ones. The results show no evidence of over-or-under performance even for the overall period of 2007-2012 or for the down-market period of 2007-2008, where there are no structural changes for the regression line across the two sub-periods. But, it reveals the superiority of equity CMFS performance in Kuwait alone, where, the results of the cross-section analysis for the differences in means and standard deviations of Alpha and Beta coefficients are statistically significant for the overall period. Thus, it seems that if the investors cannot gain superior returns by investing in the Gulf mutual funds in general, they may attain a comparative advantage by investing in the conventional funds against the Islamic ones especially in Kuwait. It also implies that the ethical screening, which is adopted by the Islamic funds of Kuwait, already limits their diversification opportunities and then adversely affects their performance.
5
Youssef, Nancy. « The effect of board structure on mutual funds' performance and fee structure in the Egyptian stock market and the effect of board structure on stock picking and market timing abilities of the Egyptian mutual fund managers : evidence from financial crisis ». Thesis, Cardiff Metropolitan University, 2016. http://hdl.handle.net/10369/8197.
Texte intégralRésumé :
The purpose of this thesis is to investigate whether mutual fund governance has an effect on fund performance, fee structure, and stock selection and market timing of the Egyptian fund managers' pre-and-post 2007-2008 financial crises. The thesis includes three separate but inter-connected studies on the effect of the board structure and ownership in the mutual fund industry. The first two studies investigate the impact of board structure on mutual funds' performance and mutual fund fee structure in the Egyptian Stock Market, whereas the third one investigates the impact of board composition on the two skills of stock picking and market timing of the Egyptian fund managers' pre-and-post 2007-2008 financial crisis. Using a final sample of 82 mutual funds between 2004 and 2013, this thesis first determines the fund performance and fund fees, and tests whether corporate governance characteristics such as board composition and ownership affect the fund performance and fund fees. The thesis further investigates the effect of mutual fund board composition and ownership on stock picking and market timing abilities of the Egyptian mutual fund managers‟ pre and post financial crisis. This research applies a Structural Equation Modelling technique to solve the potential endogeneity problem between internal governance measures, fund performance, fee structure, and stock selection and market timing of the Egyptian fund managers. The results find no evidence on a significant relation neither between the corporate governance index of the Management Company and performance, nor between the governance index of the Management Company and fees. The thesis further finds no evidence on a significant relation neither between the corporate governance index of iv the fund Management Company and stock selection, nor between the corporate governance index of the fund management company and market timing of the Egyptian fund managers‟ pre and post the crisis. The results are relevant to the misconduct of corporate governance rules in Egypt, especially the weaknesses in board composition in mutual fund industry. Overall, the financial crisis demonstrates a need for enforcing the application of the regulations of the Egypt Code of Corporate Governance to increases the firm value.
6
Su, Heng-Kung, et 蘇恆功. « On the Market Timing Ability : Evidence from China’s Mutual Funds ». Thesis, 2011. http://ndltd.ncl.edu.tw/handle/98246926593221954667.
Texte intégralRésumé :
碩士國立暨南國際大學
國際企業學系
99
In the study, we try to test whether China’s mutual fund mangers have significant market timing ability and stock selectivity. China, as a major emerging market, established the mutual fund market lately in 1998 year. Recently, after financial tsunami, plenty of mutual funds boom the market. Vast investment opportunities attract us to examine whether the China’s mutual fund managers have the significant market timing ability and stock selectivity or not. Our study, as the existing literatures shows from the U.S., Taiwan, and Australia stock markets, indicates that there is no significant evidence of the market timing ability of China’s mutual fund managers.
7
Van, Vin-Jen, et 范文政. « Do Managers of Mutual Funds in Taiwan Have Market Timing Ability ? » Thesis, 2006. http://ndltd.ncl.edu.tw/handle/63992470433193858280.
Texte intégralRésumé :
碩士國立高雄應用科技大學
金融資訊研究所
94
ABSTRACT The purpose of this paper is to examine if the managers of open-end equity funds have market timing ability in Taiwan, and examine whether the managers can positively adjust the components of possessed portfolio to decrease the risk to increase rewards with the shifts of Taiwan Stock Weighted Index. The models of market timing ability such as Treynor & Mazuy (1966), Henriksson & Merton (1981), Chang & Lewellen (1984), and Huang (2000) are extended in this paper to take regimes switching into consideration. The market timing ability is examined by the threshold effect, and with the acquired result to analyze if the operation strategies of managers fit in with the aggressive growth funds, growth funds, and growth and income funds. In comparison with past literature, the threshold regression model is used to estimate threshold value, which is different from the studies using zero to judge up and down. Researcher proceeds with the practical analysis of open-end equity funds. The result shows that there are 57.32 percent of managers having market timing ability in the model 1 of CAPM threshold model. The results of whether the managers with market timing ability are rejected in all the models of Treynor & Mazuy, Henriksson & Merton, and the model 2 and 3 of CAPM threshold model. With the use of Hansen (2000) inverse of likelihood ratio statistics to estimate the confidence interval of threshold value, researcher found that the null hypothesis is rejected by 51.11 percent, which is different from the studies using zero to judge up and down. In this paper, the result of estimation of the CAPM threshold model shows that the market timing ability of the managers with which comes from the shifts of abnormal return and only few managers take the high risk, high return attitude.
8
Ho, Hsing, et 何幸. « The study of Domestic Mutual Funds Performance and market timing ability ». Thesis, 1997. http://ndltd.ncl.edu.tw/handle/34005415418608867496.
Texte intégralRésumé :
碩士國立成功大學
會計學系
85
The subjects of this study consist of the evaluation of mutual fundsperformance and persistence fund performance and market timing ability of each fund manager. The samples focus on the monthly data of mutual funds for the period of August 1993 to July 1996 in Taiwan. This researchevaluates the quartly and yearly performance of funds by several differnetperformance indices, it also tests the persistence fund performance and market timing ability of funds. The conclusions of this research are as follows:1.Whichever performance index was used to measure the funds, the results are no difference.2.The average performance of open-ended and close-ended funds have no difference with the market portfolio.3.The yearly performance of close-ended funds significantly outperforms open-ended funds.4.There is no evidence supports existing persistence fund performance in this study, and the hot hand strategy is not better than the market portfolio by Sharpe index.
9
Kuei-Hung, Kao, et 高魁鴻. « Stock Selection and Market Timing Abilities for Mutual Funds in Taiwan ». Thesis, 2015. http://ndltd.ncl.edu.tw/handle/95668702559381027254.
Texte intégralRésumé :
碩士東吳大學
國際經營與貿易學系
103
This thesis discusses the stock selection and market timing abilities for the mutual funds in Taiwan, sorts and analyses their performances by four indexes. The research period is from 2010 to 2014, and we get the study results as follows. First, the returns of the mutual funds which issued by domestic bank and investment trust companies are far below than the benchmark, i.e. MSCI global index performances. Up to 76.74%, the returns of the mutual funds which are lower than those of the risk-free assets, and 44.19% of the mutual funds offer the negative daily returns. Apparently, the returns of the mutual funds would not satisfy the investors invested in the mutual fund issued domestically during this period. Second, we employ four indexes to evaluate the performances of the mutual funds, and find the fund of the funds (FOF) gets better performances in all kinds of funds generally; the possible reasons are due to the investment subjects of the FOF’s include stock funds and bund funds, and their investment are as across a range of domestic and overseas markets, these could reduce the risks of the funds by its global distribution and investment strategies, and makes better performance for the investors. Third, in terms of stock selection and market timing abilities, we employ either the Treynor & Mazuy (1966) or Henriksson & Merton models (1981), and find most of the fund managers don’t have better selection abilities or market timing abilities, these results present that fund managers cannot forecast the market movement to obtain excess returns.
10
Salen, Tomás Coutinho Grosso de Oliveira. « Market timing and selectivity : an empirical investigation of european mutual fund performance ». Master's thesis, 2016. http://hdl.handle.net/10071/13814.
Texte intégralRésumé :
JEL classification: G11, G14Mutual fund managers can enhance their returns by selecting assets with superior returns or by advantageously timing their portfolio allocation strategy to the stock market, or both. In the present study we examine the timing ability of mutual fund managers to denote the practice of these strategies as a way to achieve superior performance. Of the 193 European equity funds that followed active management strategies between January 2000 and December 2012, the results do not evidence that fund managers have denoted abilities to positively anticipate market movements (market timing). Nevertheless, the selectivity component of returns presents slightly positive results, despite the generally poor overall performance
Os gestores de fundos de investimento podem aumentar as suas rendibilidades através da seleção dos melhores ativos ou da antecipação vantajosa do momento em que canalizam os fluxos de investimento para o mercado com risco, ou ambos. No presente estudo investigamos a capacidade que os gestores denotaram na utilização destas estratégias como forma de obterem uma performance superior. Dos 193 fundos europeus de ações que seguiram estratégias de gestão ativa entre Janeiro de 2000 e Dezembro de 2012, não obtivemos evidência de que os gestores destes fundos denotassem positivas capacidades de antecipação dos movimentos do mercado (market timing). Já na componente seletividade, os resultados são ligeiramente mais favoráveis, não obstante a performance total evidenciada ser globalmente reduzida.
11
Chang, Chia-Feng, et 張佳鳳. « Evaluation of the Market Timing and Stock Selection Ability of Greater Chinese Stock Mutual Funds ». Thesis, 2015. http://ndltd.ncl.edu.tw/handle/92133560090907792285.
Texte intégralRésumé :
碩士淡江大學
財務金融學系碩士在職專班
103
Early Taiwan investors already were familiar to participate in China Growth through Greater Chinese stock mutual funds .The developments of Greater Chinese stock mutual funds have some differences due to the open door police of china. So, the Greater Chinese Stock funds were distinguished as Chinese concept funds, Chinese A-shares stock funds and Chinese ETFs. We try to evaluate the performance of these funds. In empirical study, we apply the traditional T-M model, H-M-model and modified T-M-GARCH, H-M-GARCH model to compare with the ability of selection ability and market timing ability of different Chinese A-share funds’ manager. In addition, we also investigate the relationship between the scale of the fund, turnover rate and the net return with panel regression analysis model. The empirical results are consistent with some early researches. Most of the greater Chinese A-shares funds manager’s performance haven’t the consistence．Also, the fund managers have the negative market timing ability, alos with the stock selection ability. On the other hand, evidences also confirmed that the fund scale, turnover rate are also significant factors affecting the performance of the fund. The empirical results of this thesis can also available for theoretical or practical operation reference.
12
Neto, Nuno Manuel Veloso. « Do Portuguese mutual funds display forecasting skills ? A study of selectivity and market timing ability ». Master's thesis, 2014. https://repositorio-aberto.up.pt/handle/10216/77438.
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13
Neto, Nuno Manuel Veloso. « Do Portuguese mutual funds display forecasting skills ? A study of selectivity and market timing ability ». Dissertação, 2014. https://repositorio-aberto.up.pt/handle/10216/77438.
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14
Arcicasa, Matteo. « Drivers of neutrality and performance in equity market-neutral mutual funds ». Master's thesis, 2021. http://hdl.handle.net/10362/133422.
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The article examines the determinants of the divergence in market exposure experienced by Equity Market-Neutral Mutual Funds. Although more recent and diversified, EMN funds have been rarely studied in the literature. This paper evaluates the Market-Neutral category focusing on strategies that EMN managers construct upon cash holdings. The first assessment finds considerable differences between self-labeled EMN funds and the industry. Secondly, meaningful relation between cash and the variation in beta is found. However, the lack of market-timing skills disproves the presence of beneficial shared cash strategies. Final hypotheses sustain the findings, paving the way for additional research.
15
Chou, Kung-Yin, et 周冠印. « An Empirical Study between Active Market Timing Ability and Characteristic Factors of Open-End Mutual Funds ». Thesis, 1999. http://ndltd.ncl.edu.tw/handle/76386159874137908021.
Texte intégralRésumé :
碩士國立高雄第一科技大學
金融營運系碩士班
87
The performance of mutual fund has been extensively examined in the finance literature, but the focus of many studies seems to be on the selection ability, paying less emphasis on the market timing ability. In this way, one can be confused with these two abilities, and may get some misunderstanding about that the selection ability is more important than market timing ability. So, it is necessary to be concerned with the issues of the market timing ability more specifically and more thoroughly. The market timing ability can be divided into active market timing ability and passive market timing ability. We will calculate a portfolio''s active market timing ability at each time period based on the security holdings within the portfolio. Besides, we will examine a number of factors that may affect a fund manager''s active market timing ability, these factors are expense ratio, size of fund measured by total assets, fund''s turnover rate and fund''s age. The study consists 38 mutual funds during the period 1996-1998, and the empirical results are summarized as follows: （1）Regardless of the market risk premium , mutual fund managers have active market timing ability. （2）Mutual fund managers have active market timing ability only during the bull market, but not during the bear market. （3）Fund''s turnover rate and fund''s age may affect active market timing ability.
16
CHIEN, YUN-JU, et 簡妘如. « The Investment Concentration, Stock Picking, and Market Timing Abilities : Evidence from Equity Mutual Funds in Taiwan ». Thesis, 2019. http://ndltd.ncl.edu.tw/handle/ypyzye.
Texte intégralRésumé :
碩士國立暨南國際大學
財務金融學系
107
This study uses comprehensive index as a measure of the concentration of equity funds, and examines stock picking and market timing abilities for concentrated equity funds. Furthermore, we investigate whether picking and timing abilities of concentrated equity funds affect fund performance and whether these funds have performance persistence. The main results are as follows. Funds with smaller size, higher expense rate, lower flow, lower turnover rate, younger fund age or younger fund companies’ age, their portfolios are more concentrated. Managers that have picking and timing abilities, have greater fund performance. Compared with diversified equity funds, concentrated equity funds have superior timing abilities, and these abilities has more positive influence on fund performance. Concentrated funds have superior picking abilities only in current month, and these abilities has positive influence on fund performance. In addition, people have superior picking abilities when they are optimistic, but fund managers have superior market timing abilities when they are pessimistic or in recessions. Concentrated equity funds have more positive performance persistence.
17
Govan, Chandni. « Market timing and selectivity : evaluating both contributions towards the performance of portuguese equity funds ». Master's thesis, 2011. http://hdl.handle.net/10071/4314.
Texte intégralRésumé :
This study attempts to understand the selectivity and market timing abilities of the Portuguese mutual fund managers. Therefore, the focus of the present investigation will be the evaluation of the performance of 51 Portuguese Equity Funds between January 2001 and December 2010. In order to achieve this, the methodology developed by Merton and Henriksson in 1981 will be used. The Jensen measure (1968) will also be applied in order to compare the results. Additionally, the problem of heteroscedasticity and autocorrelation of the errors will also be addressed, where the following methods will be used: the method of White (1980), the method of Newey-West (1987) and the method of Cochrane-Orcutt (1949).
The results of this study shows that there is neither clever selectivity (security selection) nor skillful market timing abilities evidenced by most of the analyzed Equity Fund managers which is consistent with prior studies realized by Romacho (2004) and Afonso (2010). Other finding is regarding the negative correlation between the both abilities which is more evident in the international group of funds.O presente estudo pretende analisar as capacidades de selectividade e de market timing dos gestores de fundos de investimento Portugueses. Neste sentido o foco da investigação incide sobre o desempenho de 51 Fundos de Acções Portugueses durante o período de Janeiro de 2001 a Dezembro de 2010. Para tal foi aplicada a metodologia de Henriksson e Merton (1981). Também foi utilizada a medida de Jensen (1968), como forma de comparar os resultados. Adicionalmente, foram considerados os problemas da heteroscedasticidade e da auto-correlação dos erros, sendo que foram aplicados os seguintes métodos: o método de White (1980), o método de Newey-West (1987) e o método de Cochrane-Orcutt (1949). Os resultados obtidos não evidenciam capacidades significativas de selectividade e de market timing por parte da maior parte dos gestores de fundos de acções analisados. Na verdade estes resultados estão de acordo com conclusões de estudos anteriormente realizados por Romacho (2004) e Afonso (2010). A presente investigação também demonstra a existência de uma correlação negativa entre ambas capacidades, estando esta mais patente nos grupos de fundos internacionais.
18
Lee, Hsiu-Jung, et 李秀蓉. « The Evaluation of Market Timing Ability, Stock Selection Ability and Performance Persistence of ASEAN Stock Mutual Funds ». Thesis, 2016. http://ndltd.ncl.edu.tw/handle/03346212034348105951.
Texte intégralRésumé :
碩士淡江大學
財務金融學系碩士在職專班
104
There were only eight ASEAN Stock Mutual Funds before the financial crisis in 2008 but have been expanded since investors found the ASEAN was the only region, where its economy continued to grow comparing to other regions. The purposes of this study were to explore fund managers’ market timing ability and stock selection ability and to evaluate the performance of ASEAN Stock Mutual Funds issued for over four years. The author analyzed data from one-year, two-year and four-year periods of ASEAN Funds and used Sharpe, Treynor, Jensen and IR to evaluate their performance. The study also examined their performance persistence by using Spearman and adopted the traditional T-M model, H-M model and modified T-M-GARCH and H-M-GARCH to explore the fund managers’ abilities of market timing and stock selection and compare the systematic risk. The empirical study revealed that performance indicator was better at four-year period of ASEAN Mutual Fund and performance persistence at most of ASEAN Mutual Fund was statistically significant. In terms of market timing ability and stock selection ability for fund managers, the study showed that, overall, they were better than that of market benchmark but were lack of stock selection ability. The results of this study can also be a reference as investors’ practical operation.
19
Azimi-Zonooz, Aydeen. « A power comparison of mutual fund timing and selectivity models under varying portfolio and market conditions ». Thesis, 1992. http://hdl.handle.net/1957/36490.
Texte intégralRésumé :
The goal of this study is to test the accuracy of
various mutual fund timing and selectivity models under a
range of portfolio managerial skills and varying market
conditions. Portfolio returns in a variety of skill
environments are generated using a simulation procedure. The
generated portfolio returns are based on the historical
patterns and time series behavior of a market portfolio proxy
and on a sample of mutual funds.
The proposed timing and selectivity portfolio returns
mimic the activities of actual mutual fund managers who
possess varying degrees of skill. Using the constructed
portfolio returns, various performance models are compared in
terms of their power to detect timing and selectivity
abilities, by means of an iterative simulation procedure.
The frequency of errors in rejecting the null hypotheses
of no market timing and no selectivity abilities shape the
analyses between the models for power comparison. The
results indicate that time varying beta models of Lockwood-
Kadiyala and Bhattacharya-Pfleiderer rank highest in tests of
both market timing and selectivity. The Jensen performance
model achieves the best results in selectivity environments
in which managers do not possess timing skill. The
Henriksson-Merton model performs most highly in tests of
market timing in which managers lack timing skill.
The study also investigates the effects of
heteroskedasticity on the performance models. The results of
analysis before and after model correction for nonconstant
error term variance (heteroskedasticity) for specific
performance methodologies do not follow a consistent pattern.Graduation date: 1992
20
Huang, Feiyu. « An Investigation of the risk-adjusted performance of Canadian REIT mutual funds and the market timing skills of fund managers ». Thesis, 2012. http://spectrum.library.concordia.ca/974714/8/Huang_feiyu_MSc_F2012.pdf.
Texte intégralRésumé :
I investigate the performance of Canadian REIT mutual funds over the period March 24, 2006 through March 5, 2012, focusing on their timing skills. Firstly, using standard, conditional and modified Value at Risk measures, I investigate the risk-adjusted-performance of the universe of 18 Canadian REIT mutual funds, as well as that of an equal weighted portfolio of these funds. In my analysis, I investigate the performance of the funds over different stages of a business cycle, as identified by recession indicators developed and made available by the Organization of Economic Development. Secondly, I extend Treynor and Mazuy’s model using Markov regime switching, to examine the market timing ability of Canadian REIT mutual fund managers and further determine if their timing ability can explain the variation in performance of REIT mutual funds over the business cycle. The results indicate that Canadian REIT mutual funds have positive risk-adjusted performance in recession periods and negative performance in bull markets. In addition, using the regime switching Treynor and Mazuy’s model, I find that fund managers exhibit negative market timing skills, particularly in a falling market.
21
Kao, Chia-mei, et 高嘉鎂. « A Reexamination of Stock Selection and Market Timing Ability of Taiwanese Mutual Funds : The Significance of Conditional α and β ». Thesis, 2009. http://ndltd.ncl.edu.tw/handle/91123485909993639661.
Texte intégralRésumé :
碩士義守大學
財務金融學系碩士班
97
We study the stock selection and market timing ability of Taiwan mutual fund managers. The sample of Taiwan open-end equity mutual funds covers the period from February 1998 to December 2008. Following past research, we use conditional α and β model as the working horse for our study. Unlike past research, we further separate the influence of macroeconomic factors into expected and unexpected changes to ascertain the respective impact of each component. We use the modified model to study whether fund managers exhibit stock selection and market timing ability. Moreover, we are interested in leaning which macroeconomic factor would affect mutual fund performance. The findings of the study are as follows: our modified model explains time-series variation in fund returns better than traditional models. The α of most mutual funds appears to change unexpectedly under different economic states, but β remains fairly stable.
22
Coutinho, Cátia Andreia Gaspar. « Avaliação do Timing e Seletividade de fundos de investimento socialmente responsáveis : uma análise com uma amostra comparativa ». Master's thesis, 2015. http://hdl.handle.net/1822/36226.
Texte intégralRésumé :
Dissertação de mestrado em FinançasNesta dissertação foi avaliado o desempenho dos fundos de investimento socialmente responsáveis e as capacidades dos gestores deste tipo de fundos, implementando uma análise comparativa com fundos de investimento convencionais com características semelhantes. Foram utilizados o modelo de Jensen (1968), Carhart (1997), Christopherson et al. (1998), Treynor e Mazuy (1966) e a sua versão condicional, e ainda todas as suas especificações multifator, incluindo o novo modelo de 5 fatores de risco de Fama e French (2015). A amostra é composta por 86 fundos socialmente responsáveis dos EUA, de ações e domésticos, para o período de Janeiro de 2001 a Dezembro de 2013. O desempenho destes fundos foi estimado relativamente a um índice convencional e um socialmente responsável. Construímos, também, uma amostra de fundos convencionais através da abordagem matchedpaired analysis, de modo a podermos comparar os resultados obtidos para ambos os tipos de investimento. Os resultados referentes aos fundos socialmente responsáveis constam que, de uma maneira geral, as estimativas de desempenho destes fundos não superam o mercado. Contudo, quando comparados ao benchmark social apresentam ligeiramente melhor desempenho. No entanto é o índice de mercado convencional que possui o maior poder explicativo. Quanto às capacidades dos gestores, principalmente para o benchmark convencional, os gestores não conseguem superar o mercado selecionando as suas ações ou alterar o seu nível de risco antecipando os movimentos do mercado. Quando se utiliza o benchmark social, há alguma existência de seletividade positiva e, pelo contrário, existe também alguma evidência de timing negativo. Comparando o desempenho dos fundos socialmente responsáveis com os fundos convencionais, conclui-se que não há diferenças estatisticamente significativas. Relativamente às capacidades dos gestores, os resultados sugerem-nos que os gestores dos fundos socialmente responsáveis tendem a ser melhores a selecionar os seus ativos, o que poderá ser explicado pelo universo mais restrito e consequente melhor conhecimento deste, facilitando a seleção de ações. Contudo, tendem a ser piores ao tentar alterar o seu nível de risco, antecipando os movimentos do mercado (embora também haja evidência de timing negativo para os convencionais). Para os dois tipos de fundos há evidência de betas variáveis, mas não alfas, ao longo do tempo.
This dissertation performs an evaluation of the timing and selectivity ability of socially responsible mutual funds and of a matched sample of conventional funds. It considers several models namely: Jensen (1968), Carhart (1997), Christopherson et al. (1998), Treynor e Mazuy (1966) and its conditional specification, and also the multi-factor specifications of those models, including the new 5 factor model of Fama and French (2015). The sample size comprises 86 US equity domestic socially responsible funds from January 2001 to December 2013. The performance was measured using a conventional index as well as a socially responsible (SR) benchmark. A matched sample of conventional funds was also considered and the results of the two samples was compared. The results show that socially responsible funds have neutral performance, although it is slightly better when the performance is measured against a SR benchmark. The SR benchmark has a better explanatory power of the SR mutual funds. There is no evidence of timing or stockpicking ability among either group of funds when the conventional benchmark is used. However, when using the SR benchmark there is some evidence of positive selectivity and negative timing ability. There are no statistically significant differences in the performance of the sample of SR mutual funds against the conventional funds sample. The results suggest that SR mutual funds managers are better at selecting stocks, which can be explained by the smaller universe of stocks that they can choose from, and consequently they might be more knowledgeable about those stocks. They have, however, a negative timing ability, like their conventional counterparts. For both samples there is evidence of time-varying betas but not of time-varying alphas.
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Antunes, Ricardo Manuel Fernandes. « Avaliação do desempenho de fundos de investimento de ouro nos EUA : influência dos diferentes regimes de mercado na seletividade e market-timing ». Master's thesis, 2015. http://hdl.handle.net/1822/38276.
Texte intégralRésumé :
Dissertação de mestrado em FinançasEsta dissertação pretende avaliar o desempenho de fundos de investimento em acções de empresas de extração e comercialização de ouro, e também em ouro nos Estados Unidos da América e analisar a influência dos diferentes regimes de mercado nas capacidades dos gestores. Neste estudo são analisados todos os fundos de investimento da categoria ouro do mercado norte-americano existentes há pelo menos três anos, entre janeiro de 1991 e setembro de 2014. São utilizadas metodologias de avaliação do desempenho através de modelos não condicionais e modelos que têm em conta a informação disponível acerca do regime do mercado económico e informação disponível sobre o regime do mercado financeiro. É possível concluir através dos resultados obtidos neste estudo, que os gestores destas carteiras não conseguem superar o mercado. No entanto, é possível demonstrar que quando o regime financeiro passa do estado bull para bear, o estudo mostra que existe evidência estatística que o gestor da carteira VW consegue melhorar o seu desempenho em aproximadamente 3% (para um nível de significância de 5%). Mostrase também que há alguma evidência de betas condicionais. Por fim, é possível demonstrar também que os gestores de ambas as carteiras geradas neste trabalho possuem capacidades de market-timing.
This dissertation intends to evaluate the performance of gold mutual funds in the United States of America, namely funds invest primarily in shares of gold mines, goldoriented mining finance houses, gold coins, or bullion and assess the influence of different market regimes in the manager’s ability. This study analyzes all mutual funds in the Gold category on the North American market existing for at least three years, between January 1991 and September 2014. Performance evaluation methodologies are used through non conditional models and models that account the available information on the economic market regimes and available information on the financial market regimes. It can be concluded based on results obtained in this study, that managers of these portfolios can not outperform the market. However, it can be shown by the study that when financial maket regimes pass from the bull state to bear state, there is statistical evidence that the manager of the VW portfolio can improve its performance in approximately 3% (with 5% significance level). There are also indications of some evidence of conditional betas. Finally, it is also possible to demonstrate that managers of both portfolios generated in this study possess market-timing capabilities.