scholarly journals The resilience of Islamic equity funds during COVID-19: Evidence from risk adjusted performance, investment styles and volatility timing

2022 ◽  
Vol 77 ◽  
pp. 276-295
Author(s):  
Nawazish Mirza ◽  
Syed Kumail Abbas Rizvi ◽  
Irum Saba ◽  
Bushra Naqvi ◽  
Larisa Yarovaya
Keyword(s):  
Equity Funds ◽  
Volatility Timing ◽  
Investment Styles

scholarly journals An Analysis of Mutual Fund Managers’ Timing Abilities - Evidence From Chinese Equity Funds

2020 ◽  
Vol 11 (4) ◽  
pp. 214
Author(s):  
Jun-Hao Li ◽  
Chun-Fan You
Keyword(s):  
Mutual Fund ◽  
Stock Selection ◽  
Mutual Fund Managers ◽  
Fund Managers ◽  
Timing Ability ◽  
Daily Frequency ◽  
Equity Funds ◽  
Volatility Timing ◽  
Investment Styles ◽  
Timing Models

This paper examines Chinese mutual fund managers’ market, volatility, and liquidity abilities. Using a daily frequency sample of Chinese open-end equity funds from 2015 to 2019, we find evidence that mutual fund managers can time the market. Among the funds with different investment styles, the active funds have better market and liquidity timing ability, whereas the steady funds have better volatility timing ability. In different investment periods, there are more funds with timing ability in the fall period than in the rise period. We find the same results in the market (T-M), volatility, and liquidity timing models. It is especially for the active funds, nearly half of which have liquidity timing ability in the fall period. Among the funds with stock selection ability, the funds with market timing ability can outperform than the funds with other timing ability.

scholarly journals The Resilience of Islamic Equity Funds during COVID-19: Evidence from Risk Adjusted Performance, Investment Styles and Volatility Timing

2020 ◽  
Author(s):  
Larisa Yarovaya ◽  
Nawazish Mirza ◽  
Syed Kumail Abbas Rizvi ◽  
Irum Saba ◽  
Bushra Naqvi
Keyword(s):  
Equity Funds ◽  
Volatility Timing ◽  
Investment Styles

scholarly journals Do Managers Of Global Equity Funds Outperform Their Respective Style Benchmarks? Evidence From South Africa

2012 ◽  
Vol 11 (3) ◽  
pp. 269
Author(s):  
Heng-Hsing Hsieh ◽  
Kathleen Hodnett ◽  
Paul Van Rensburg
Keyword(s):  
South African ◽  
Economic Benefits ◽  
Exchange Traded Funds ◽  
The South ◽  
Fund Managers ◽  
Study Results ◽  
Significant Difference ◽  
Equity Funds ◽  
Investment Styles ◽  
Stock Picking

The results of our prior research on internationally-domiciled global equity funds suggest that active managers do not provide economic benefits, in addition to their underlying investment style benchmarks. This finding implies that the performances of global equity funds are derived mainly from the broad investment styles followed by the active managers rather than the stock-picking activities of the managers. We replicate our earlier research to investigate the performances of the six well-established global equity funds in the South African unit trust industry. Our results indicate that four out of the six South African fund managers under examination substantially underperform their passively-replicated style benchmarks. Our prior study results indicate that there is no significant difference between the performances of the internationally-domiciled global equity funds and their respective style benchmarks. By contrast, the stock-picking decisions of the South African fund managers are found to destroy value created by their respective style benchmarks in this study. Our findings suggest that investors who wish to follow particular investment styles would be better off by investing in exchange traded funds (ETF) that passively track the performances of their mandated investment styles in the global equity market with minimal costs.

scholarly journals The persistence of risk levels of general equity funds in an emerging market economy

2013 ◽  
Vol 2 (4) ◽  
pp. 22-28
Author(s):  
Rousseau Lötter
Keyword(s):  
Emerging Market ◽  
Risk And Return ◽  
Adjusted Risk ◽  
Risk Levels ◽  
Fund Managers ◽  
Related Risk ◽  
Equity Funds ◽  
Future Risk ◽  
Investment Styles ◽  
Over Time

The persistence of risk levels of local General Equity unit trusts is evaluated. Variations in absolute and market-adjusted returns are measured to determine whether investors can use historical risk as a proxy for future risk levels. The General Equity funds are fairly homogenous, and different funds should exhibit stable risk levels if the fund managers’ investment mandates and investment styles remain stable over time. The results indicate a degree of absolute and market-adjusted risk stability over time. The market-adjusted risk and return relationship remained stable through the 2008 global crises, indicating that, on average, the fund managers maintained their benchmark-related risk exposures. Both the absolute and market-adjusted results indicate no statistically significant relationship between risk and return for the 2000 to 2012 period.

Bootstrapping and Inflation Hedging Performance of Korean Equity Funds

2017 ◽  
Vol 25 (3) ◽  
pp. 425-449
Author(s):  
Min-Goo Hong ◽  
Jeehye Kim ◽  
Kook-Hyun Chang
Keyword(s):  
Investment Style ◽  
Asset Value ◽  
Bootstrap Approach ◽  
Sample Data ◽  
Equity Funds ◽  
Hedging Performance ◽  
To Come ◽  
Investment Styles ◽  
Inflation Hedging ◽  
Unexpected Inflation

This paper examines the inflation hedging performance separated into expected and unexpected inflation in Korean equity funds. In particular, using the bootstrap approach, we identify whether the inflation hedging performance is based on skill or luck. We use the equity funds of the average net asset value (NAV) over 5 billion Korean won and over the 80% stock position. The sample data cover the period from January 2002 to March 2015. The main findings are as follows. First, most equity funds demonstrate a hedging performance against the unexpected inflation shock and this hedging performance seems to come from the fund manager’s skill. Second, our findings are robust across the sieve bootstrap results for the serial dependence and heteroscedasticity. Third, the equity funds have slightly different inflation hedging performances depending on their investment style. Among the investment styles, small-cap, growth, or small and growth style funds demonstrate more hedging performance against unexpected inflation shock. This hedging performance seems to come from the fund manager’s skill. Finally, in the case of the funds separated by winner and loser, the winner funds have more hedging performance for unexpected inflation shock than the loser funds.

scholarly journals The persistence of risk levels of general equity funds in an emerging market economy

2013 ◽  
Vol 3 (3) ◽  
pp. 85-91
Author(s):  
Rousseau Lötter
Keyword(s):  
Emerging Market ◽  
Risk And Return ◽  
Adjusted Risk ◽  
Risk Levels ◽  
Fund Managers ◽  
Related Risk ◽  
Equity Funds ◽  
Future Risk ◽  
Investment Styles ◽  
Over Time

The persistence of risk levels of local General Equity unit trusts is evaluated. Variations in absolute and market-adjusted returns are measured to determine whether investors can use historical risk as a proxy for future risk levels. The General Equity funds are fairly homogenous, and different funds should exhibit stable risk levels if the fund managers’ investment mandates and investment styles remain stable over time. The results indicate a degree of absolute and market-adjusted risk stability over time. The market-adjusted risk and return relationship remained stable through the 2008 global crises, indicating that, on average, the fund managers maintained their benchmark-related risk exposures. Both the absolute and market-adjusted results indicate no statistically significant relationship between risk and return for the 2000 to 2012 period.

scholarly journals Volatility Timing in CPF Investment Funds in Singapore: Do They Outperform Non-CPF Funds?

Risks ◽  
2019 ◽  
Vol 7 (4) ◽  
pp. 106 ◽  
Author(s):  
Shen ◽  
Tsui ◽  
Zhang
Keyword(s):  
Group Performance ◽  
Factor Models ◽  
Garch Models ◽  
Investment Funds ◽  
Timing Ability ◽  
Risk Effect ◽  
Equity Funds ◽  
Volatility Timing ◽  
Managed Funds ◽  
Country Specific

The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central Provident Fund (CPF) Investment Scheme and non-CPF linked funds by taking into account the currency risk effect on internationally managed funds. In particular, we empirically assess whether the funds under the CPF Investment Scheme outperform non-CPF funds by examining the volatility-timing performance associated with these funds. The volatility-timing ability of CPF funds will provide the CPF board with a new method for risk classification. We employ the GARCH models and modified factor models to capture the response of funds to market abnormal conditional volatility including the weekday effect. The SMB and HML factors for non-US based funds are constructed from stock market data to exclude the contribution of the size effect and the BE/ME effect. The results show that volatility timing is one of the factors contributing to the excess return of funds. However, funds’ volatility-timing seems to be country-specific. Most of the Japanese equity funds and global equity funds under the CPF Investment Scheme are found to have the ability of volatility timing. This finding contrasts with the existing studies on Asian, ex-Japan funds and Greater China funds. Moreover, there is no evidence that funds under the CPF Investment Scheme show a better group performance of volatility timing.

scholarly journals Do Mutual Fund Managers Time Market Sentiment?

2020 ◽  
Vol 11 (5) ◽  
pp. 527
Author(s):  
Jun-Hao Li ◽  
Chun-Fan You ◽  
Chin-Sheng Huang
Keyword(s):  
Mutual Fund ◽  
Market Timing ◽  
Mutual Fund Managers ◽  
Bear Market ◽  
Market Sentiment ◽  
Fund Managers ◽  
Timing Ability ◽  
Equity Funds ◽  
Volatility Timing ◽  
The Impact

This paper examines whether fund managers can adjust the exposure of portfolio to time market sentiment, thus expanding the new dimension of the study of mutual fund managers’ timing ability. Using the data of Chinese open-end equity funds from January 2010 to December 2019, based on the CICSI sentiment index developed by Yi and Mao (2009), we find strong evidence that Chinese mutual fund managers have sentiment ability during the sample period. In addition, the funds with positive sentiment timing ability outperforms those without such by 2.20% per year, and the longer the fund survives, the more likely for it to have sentiment timing ability. Our findings remain robust even after controlling the impact of bull and bear market on China’s A-share market in 2015, market timing, volatility timing and liquidity timing, and after using three new sentiment indicators to verify the finding, three indicators being the net buying amount of northward capital, the net buying amount of financing, and the net ratio of limit up.

scholarly journals Human capital efficiency, performance, market, and volatility timing of asian equity funds during COVID-19 outbreak

2021 ◽  
Author(s):  
Jamila Abaidi Hasnaoui ◽  
Syed Kumail Abbas Rizvi ◽  
Krishna Reddy ◽  
Nawazish Mirza ◽  
Bushra Naqvi
Keyword(s):  
Human Capital ◽  
Equity Funds ◽  
Efficiency Performance ◽  
Capital Efficiency ◽  
Volatility Timing
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