Performance Attribution in Emerging Markets an Application to Chinese Open-End Active Mutual Funds

2014 ◽  
pp. 363-375
Author(s):  
Valerio Potì ◽  
Dengli Wang
Keyword(s):  
Emerging Markets ◽  
Mutual Funds ◽  
Performance Attribution

scholarly journals A comparative study of the performance of Saudi mutual funds

2016 ◽  
Vol 13 (4) ◽  
pp. 89-102 ◽  
Author(s):  
Ahmed El-Masry ◽  
Dalia A. El-Mosallamy
Keyword(s):  
Emerging Markets ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Emerging Market ◽  
Explanatory Power ◽  
Fund Performance ◽  
The Other ◽  
Equity Fund ◽  
Evaluation Measures ◽  
Market Portfolio

This study examines the performance of 21 Saudi mutual funds using the CAPM and downside CAPM D-CAPM models over the period 2005-2011. Initially equity fund performance is examined against two benchmarks TASI and the GCCI Islamic index utilizing the traditional beta and CAPM performance evaluation measures. The evaluation is then replicated utilizing the downside beta and other tests of funds’ performance derived from the CAPM in the down side framework. The results indicate that the downside beta could be more relevant in terms of its higher explanatory power than the traditional beta and thus CAPM in the downside framework could be more relevant to report on funds’ performance in this emerging market. After exploring the aggregate performance by forming two fund portfolios; one representing the average Islamic mutual fund and the other is the average conventional fund, to examine the performance of the Islamic mutual funds portfolio compared to its conventional peers and to the overall market, the study finds, on average, Islamic mutual funds in outperform conventional mutual funds and the market portfolio. The study concludes that it is equally important for practitioners in emerging markets, to report performance using both CAPM measures and D-CAPM measures and if differences exist, then the D-CAPM could be the superior measure because of its suitability to the asymmetrical distribution of returns existing in emerging markets in general.

scholarly journals The Role of Mature Market Mutual Funds in Emerging Markets: Myth or Mayhem?

2004 ◽  
Vol 04 (133) ◽  
pp. 1 ◽  
Author(s):  
Amadou N. R. Sy ◽  
Li L. Ong ◽  
◽  
Keyword(s):  
Emerging Markets ◽  
Mutual Funds ◽  
Mature Market

scholarly journals Investor confidence and mutual fund performance in emerging markets

2018 ◽  
Vol 45 (6) ◽  
pp. 1288-1310 ◽  
Author(s):  
Ann-Ngoc Nguyen ◽  
Muhammad Sadiq Shahid ◽  
David Kernohan
Keyword(s):  
Emerging Markets ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Unobserved Heterogeneity ◽  
Generalized Method Of Moments ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Content Type ◽  
Investor Confidence ◽  
The Impact

Purpose The purpose of this paper is to investigate the impact of investor confidence on mutual fund performance in two relatively vulnerable but leading emerging markets, India and Pakistan. Design/methodology/approach A pooled ordinary least squared (OLS) model is used to look at two alternative measures of investor confidence and test for the relationship between investor confidence and mutual fund returns. To check the robustness of the findings, the authors also implement two-stage least squares and generalized method of moments techniques to control for unobserved heterogeneity, simultaneity and dynamic endogeneity problems in the regressors. Findings The paper finds that the returns of mutual funds are positively associated with investor confidence and an interaction effect exists between investor confidence and persistence in performance. The paper also confirms that returns from mutual funds are associated with different fund characteristics such as fund size, turnover, expense, liquidity, performance persistence and the fund’s age. These findings remain robust to alternative model specifications and measures of investor confidence. Originality/value While the previous literature mainly focuses on mutual fund characteristics and the macroeconomic determinants of mutual fund returns, this paper demonstrates that investor confidence plays an important role in determining mutual fund performance. The authors attribute this finding to two relatively unique features of the emerging markets in the study. A lack of awareness of mutual funds as being a low-cost investment vehicle and the interplay of cultural and behavioral changes have prevented investor’s savings from being channeled into investment products, away from gold or property.

scholarly journals The Case For Emerging Market Funds

2011 ◽  
Vol 6 (11) ◽  
Author(s):  
Stuart Michelson ◽  
Elena Philipova ◽  
Petra Srotova
Keyword(s):  
Emerging Markets ◽  
Mutual Funds ◽  
Performance Studies ◽  
Emerging Market ◽  
Negative Relationship ◽  
Font Size ◽  
Cross Sectional ◽  
Market Index ◽  
Time Period ◽  
Wide Range

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">This study investigates the performance of open-end actively managed emerging market mutual funds during the time period 1999 to 2005. Our analysis is cross-sectional and time series across a wide range of emerging markets. Previous research includes performance studies of international mutual funds and emerging market funds, but none of the previous studies were as broad nor as specific as the current study. Monthly fund returns are compared to three indices (emerging markets, MSCI, and S&amp;P 500 Index), using annualized returns, Sharpe ratio and Treynor ratio. The results show that the emerging market funds outperform the MSCI Index and the S&amp;P 500 Index, but not the emerging market index. During the study period, an investor would have benefited by either investing in emerging market funds or the emerging market index. There is also a negative relationship between emerging market fund returns and turnover, and a positive relationship between fund returns and size.</span></span></p>

scholarly journals Portfolio Preferences Across Markets: Evidence from Mutual Fund Ownership

2012 ◽  
Author(s):  
Wen-Hsiu Chou
Keyword(s):  
Economic Development ◽  
Emerging Markets ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Investment Decisions ◽  
Firm Characteristics ◽  
Fund Managers ◽  
Portfolio Holdings ◽  
Fund Investment

This paper is about evaluating and comparing the portfolio preferences of domestic and foreign mutual funds in developed and emerging markets over the period 1998-2007. We find that foreign and domestic mutual funds have some different preferences toward firm characteristics and firm’s information enviroments, and economic development affects the preferences for both types of funds. A country’s characteristics and institutions also influence mutual fund investment decisions when fund managers from their portfolio holdings. Results further show that foreign and domestic mutual funds play a monitoring role in their portfolio firms, but foreign mutual funds cannot monitor firms effectively in emerging markets.  

scholarly journals PERFORMANCE OF SHARIAH VERSUS CONVENTIONAL FUNDS: LESSONS FROM EMERGING MARKETS

2019 ◽  
Vol 4 (2) ◽  
pp. 193-218
Author(s):  
Ruzita Abdul-Rahim ◽  
Aisyah Abdul-Rahman ◽  
Pick-Soon Ling
Keyword(s):  
South Africa ◽  
Emerging Markets ◽  
Mutual Funds ◽  
Market Timing ◽  
Stock Selection ◽  
Fund Managers ◽  
Merton Model ◽  
Cross Country

This study compares the performance of Shariah and conventional mutual funds in emerging markets. The performance of 833 Shariah and conventional funds in 6 emerging markets from 2000 to 2015 was analyzed. We analyzed the Sharpe index, Treynor index, and Jensen’s alpha to compare the performance of Shariah and conventional funds. Jensen's alpha results conform to those of Sharpe’s in indicating that Shariah funds slightly outperform their conventional counterparts particularly in the case of Malaysia, Pakistan, and South Africa. Conventional funds perform exceptionally well in Egypt. Further investigation using the Henriksson–Merton model shows that fund managers’ performance relies nearly completely on their stock selection skills because they have either inferior or ineffective ability in timing the market. This study is the first cross-country attempt to compare the performance of Shariah and conventional funds in emerging markets in terms of risk-adjusted returns, security selectivity, and market timing capability.   Keywords: Emerging markets, Jensen’s alpha, mutual funds, risk-adjusted performances, Shariah mutual funds   Cite as:   Abdul-Rahim, R. Abdul-Rahman, A., & Ling, P-S. (2019). Performance of Shariah versus conventional funds: Lessons from emerging markets.  Journal of Nusantara Studies, 4(2), 193-218. http://dx.doi.org/10.24200/jonus.vol4iss2pp193-218

Persistence in Mutual Funds in Latin American Emerging Markets

2007 ◽  
Vol 6 (1) ◽  
pp. 1-37 ◽  
Author(s):  
Luis Muga ◽  
Adriana Rodriguez ◽  
Rafael Santamaría
Keyword(s):  
Emerging Markets ◽  
Mutual Funds ◽  
Latin American
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