The level of sustainability and mutual fund performance in Europe: An empirical analysis using ESG ratings

2021 ◽  
Author(s):  
Guido Abate ◽  
Ignazio Basile ◽  
Pierpaolo Ferrari
Keyword(s):  
Empirical Analysis ◽  
Mutual Fund ◽  
Fund Performance ◽  
Mutual Fund Performance

Multi-Index Conditional Investment Performance Measure: An Empirical Analysis

2016 ◽  
Vol 6 (3) ◽  
Author(s):  
Subrata Roy
Keyword(s):  
Empirical Analysis ◽  
Mutual Fund ◽  
Public Information ◽  
Fund Performance ◽  
Performance Measure ◽  
Mutual Fund Performance ◽  
Investment Performance ◽  
Multi Index ◽  
Time Lagged ◽  
Index Measure

The present study seeks to examine the mutual fund performance of the open-ended selected equity schemes of UTI based on multi-index measures as well as conditional multi-index measure. It is observed from the analysis that multi-index measure is able to capture the beta and alpha effects on market adjusted basis and the estimated coefficients is a better representative as compared to the single index measure. When time lagged (lagged at 1 month, 2 months, quarterly and yearly) multi-index measures are applied then the estimated coefficients (alpha & beta) which are market adjusted and time adjusted look more representative than the multi-index measure (without lagged effect). Finally, when we extended the time lagged multi-index measure on a conditional way (conditional on public information variables) then we observe that conditional multi-index lagged measure provides much more representative results in all respects as compared to the all measures after conditioning public information effects.

Multi-Index Conditional Investment Performance Measure: An Empirical Analysis

GIS Business ◽  
2017 ◽  
Vol 12 (1) ◽  
pp. 14-31
Author(s):  
Subrata Roy
Keyword(s):  
Empirical Analysis ◽  
Mutual Fund ◽  
Public Information ◽  
Fund Performance ◽  
Performance Measure ◽  
Mutual Fund Performance ◽  
Investment Performance ◽  
Multi Index ◽  
Time Lagged ◽  
Index Measure

The present study seeks to examine the mutual fund performance of the open-ended selected equity schemes of UTI based on multi-index measures as well as conditional multi-index measure. It is observed from the analysis that multi-index measure is able to capture the beta and alpha effects on market adjusted basis and the estimated coefficients is a better representative as compared to the single index measure. When time lagged (lagged at 1 month, 2 months, quarterly and yearly) multi-index measures are applied then the estimated coefficients (alpha & beta) which are market adjusted and time adjusted look more representative than the multi-index measure (without lagged effect). Finally, when we extended the time lagged multi-index measure on a conditional way (conditional on public information variables) then we observe that conditional multi-index lagged measure provides much more representative results in all respects as compared to the all measures after conditioning public information effects.

Multi-Index Conditional Investment Performance Measure: An Empirical Analysis

GIS Business ◽  
2016 ◽  
Vol 11 (3) ◽  
pp. 14-31
Author(s):  
Subrata Roy
Keyword(s):  
Empirical Analysis ◽  
Mutual Fund ◽  
Public Information ◽  
Fund Performance ◽  
Performance Measure ◽  
Mutual Fund Performance ◽  
Investment Performance ◽  
Multi Index ◽  
Time Lagged ◽  
Index Measure

The present study seeks to examine the mutual fund performance of the open-ended selected equity schemes of UTI based on multi-index measures as well as conditional multi-index measure. It is observed from the analysis that multi-index measure is able to capture the beta and alpha effects on market adjusted basis and the estimated coefficients is a better representative as compared to the single index measure. When time lagged (lagged at 1 month, 2 months, quarterly and yearly) multi-index measures are applied then the estimated coefficients (alpha & beta) which are market adjusted and time adjusted look more representative than the multi-index measure (without lagged effect). Finally, when we extended the time lagged multi-index measure on a conditional way (conditional on public information variables) then we observe that conditional multi-index lagged measure provides much more representative results in all respects as compared to the all measures after conditioning public information effects.

Multi-Index Conditional Investment Performance Measure: An Empirical Analysis

GIS Business ◽  
2017 ◽  
Vol 12 (2) ◽  
pp. 14-31
Author(s):  
Subrata Roy
Keyword(s):  
Empirical Analysis ◽  
Mutual Fund ◽  
Public Information ◽  
Fund Performance ◽  
Performance Measure ◽  
Mutual Fund Performance ◽  
Investment Performance ◽  
Multi Index ◽  
Time Lagged ◽  
Index Measure

The present study seeks to examine the mutual fund performance of the open-ended selected equity schemes of UTI based on multi-index measures as well as conditional multi-index measure. It is observed from the analysis that multi-index measure is able to capture the beta and alpha effects on market adjusted basis and the estimated coefficients is a better representative as compared to the single index measure. When time lagged (lagged at 1 month, 2 months, quarterly and yearly) multi-index measures are applied then the estimated coefficients (alpha & beta) which are market adjusted and time adjusted look more representative than the multi-index measure (without lagged effect). Finally, when we extended the time lagged multi-index measure on a conditional way (conditional on public information variables) then we observe that conditional multi-index lagged measure provides much more representative results in all respects as compared to the all measures after conditioning public information effects.

Multi-Index Conditional Investment Performance Measure: An Empirical Analysis

GIS Business ◽  
2016 ◽  
Vol 11 (4) ◽  
pp. 14-31
Author(s):  
Subrata Roy
Keyword(s):  
Empirical Analysis ◽  
Mutual Fund ◽  
Public Information ◽  
Fund Performance ◽  
Performance Measure ◽  
Mutual Fund Performance ◽  
Investment Performance ◽  
Multi Index ◽  
Time Lagged ◽  
Index Measure

The present study seeks to examine the mutual fund performance of the open-ended selected equity schemes of UTI based on multi-index measures as well as conditional multi-index measure. It is observed from the analysis that multi-index measure is able to capture the beta and alpha effects on market adjusted basis and the estimated coefficients is a better representative as compared to the single index measure. When time lagged (lagged at 1 month, 2 months, quarterly and yearly) multi-index measures are applied then the estimated coefficients (alpha & beta) which are market adjusted and time adjusted look more representative than the multi-index measure (without lagged effect). Finally, when we extended the time lagged multi-index measure on a conditional way (conditional on public information variables) then we observe that conditional multi-index lagged measure provides much more representative results in all respects as compared to the all measures after conditioning public information effects.

Explaining Persistence in Mutual Fund Performance

CFA Digest ◽  
1999 ◽  
Vol 29 (2) ◽  
pp. 79-81
Author(s):  
Bruce D. Phelps
Keyword(s):  
Mutual Fund ◽  
Fund Performance ◽  
Mutual Fund Performance

Mutual Fund Performance and Seemingly Unrelated Assets

CFA Digest ◽  
2002 ◽  
Vol 32 (4) ◽  
pp. 56-58
Author(s):  
Daren E. Miller
Keyword(s):  
Mutual Fund ◽  
Fund Performance ◽  
Mutual Fund Performance

Short-Term Persistence in Greek Mutual Fund Performance

2008 ◽  
Author(s):  
Daniel Giamouridis ◽  
Konstantinos Sakellariou
Keyword(s):  
Mutual Fund ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Short Term

Mutual Fund Performance and Embedded Currency Risk

2011 ◽  
Author(s):  
Massimo Massa ◽  
Yanbo Wang ◽  
Hong Zhang
Keyword(s):  
Mutual Fund ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Currency Risk
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