Diversification of risk exposure through country mutual funds under alternative investment opportunities

2017 ◽  
Vol 64 ◽  
pp. 215-227 ◽  
Author(s):  
Atsuyuki Naka ◽  
Abdullah Noman
Keyword(s):  
Mutual Funds ◽  
Risk Exposure ◽  
Investment Opportunities ◽  
Alternative Investment

Indonesian Mutual Funds Classification Using Clustering Method

2015 ◽  
Vol 21 (4) ◽  
pp. 826-829
Author(s):  
Ir. Dewi Tamara ◽  
Shintia Revina
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Money Market ◽  
Fixed Income ◽  
Clustering Method ◽  
New Classification ◽  
Asset Value ◽  
Net Asset Value ◽  
Alternative Investment

Mutual funds have existed since 1990 as an alternative investment in Indonesia. The objective of this research is to examine the existing classification of mutual funds database. The data of mutual funds is taken from Bloomberg through Portal Reksadana 2013 which covered 690 mutual funds. The existing classification consists of mutual funds fixed income (reksadana pendapatan tetap), equity (reksadana saham), money market (reksadana pasar uang) and structured (reksadana campuran). The existing financial attributes consists of the net asset value, percentage annualized return the last 6 months, 1 year, 3 years, 5 years and year-to-date. This paper uses K-means clustering to propose new classification of Indonesian mutual funds. The result reveals that mutual funds in equity and fixed income belong to its group. However, mutual funds money market is belong to mutual fund fixed income and mutual funds structures are identified to mutual funds equity. Furthermore, we find that in average 43% of Indonesian mutual funds are misclassified in accordance with their attributes. Finally, it is suggested to re-group the mutual funds into smaller classification, which has lower rates of misclassified mutual funds and possibility to achieve better performances in terms of its percentage annualized return.

International diversification and return differential between the US and the foreign markets

2015 ◽  
Vol 14 (4) ◽  
pp. 382-397 ◽  
Author(s):  
Abdullah Noman
Keyword(s):  
Mutual Funds ◽  
Factor Model ◽  
Foreign Market ◽  
Risk Exposure ◽  
Market Returns ◽  
Foreign Markets ◽  
Content Type ◽  
Conditional Specification ◽  
The Us ◽  
Information Variable

Purpose – This paper aims to examine the impact of the return differential between the domestic and foreign markets on the risk exposure of country mutual funds (CMFs). It is argued that when US market returns are higher than the foreign market returns, the returns chasing investors will tilt their portfolio toward the US market assets, increasing the co-movement between the US market and CMF return. Design/methodology/approach – The sample includes 19 exchange traded funds (ETFs) and 18 closed-end mutual funds (CEFs) over the period between 2001 and 2011. A static two-factor model is used to get the benchmark results. On the other hand, a conditional specification is used, with the return differential as the information variable, to capture the variation in the exposure of the country funds to their underlying risks. Findings – Empirically, the authors find results that partially support their argument. The results of the static two-factor model indicate that the CMFs are exposed to the foreign market risks, whereas the local (US) market risk is not generally priced. The results obtained from the conditional specification, however, shows that the estimated US betas are significant for a number of CMFs. Practical implications – A possible interpretation of this finding is that the return differential encourages return chasing behavior of the US investors documented in the international investment literature. This, in turn, may contribute to the time-varying exposure of the CMF return to their underlying risk factors. The findings of the paper have important implications for the investors as the time variation in risk exposure of CMFs causes fluctuation in diversification benefits over time. Originality/value – To the best of the authors’ knowledge, this is the first paper that uses return differential as the information variable in a conditional factor model.

scholarly journals Chasing returns with high-beta stocks: evidence from tax-privileged mutual funds in Thailand

2021 ◽  
Vol 10 (1) ◽  
pp. 37-44
Author(s):  
Roongkiat Ratanabanchuen ◽  
Kanis Saengchote
Keyword(s):  
Mutual Funds ◽  
Capital Markets ◽  
Public Policies ◽  
Systematic Risk ◽  
Unintended Consequences ◽  
Risk Exposure ◽  
Fund Flows ◽  
Equity Mutual Funds ◽  
Tax Benefits ◽  
High Beta

One proposed explanation for the low-beta anomaly – a puzzling finding that stocks with low systematic risk tend to earn higher returns than the CAPM predicts and vice versa – is that mutual funds drive up demand for high-beta stocks, leading to systematic mispricing. We find evidence that Thai equity mutual funds tend to alter their risk exposure in response to fund flows, but only for incentivized funds where investors receive immediate tax benefits. We argue that the benefits change the way investors make their decisions, raising an issue of how public policies may have unintended consequences in capital markets.

scholarly journals Are Islamic mutual funds exposed to lower risk compared to their conventional counterparts?

2020 ◽  
Vol 12 (1) ◽  
pp. 69-87 ◽  
Author(s):  
Farrukh Naveed ◽  
Idrees Khawaja ◽  
Lubna Maroof
Keyword(s):  
Risk Analysis ◽  
Mutual Funds ◽  
Value At Risk ◽  
Lower Risk ◽  
Risk Measures ◽  
Risk Preferences ◽  
Downside Risk ◽  
Risk Exposure ◽  
Individual Investors ◽  
Content Type

Purpose This study aims to comparatively analyze the systematic, idiosyncratic and downside risk exposure of both Islamic and conventional funds in Pakistan to see which of the funds has higher risk exposure. Design/methodology/approach The study analyzes different types of risks involved in both Islamic and conventional funds for the period from 2009 to 2016 by using different risk measures. For systematic and idiosyncratic risk single factor CAPM and multifactor models such as Fama French three factors model and Carhart four factors model are used. For downside risk analysis different measures such as downside beta, relative beta, value at risk and expected short fall are used. Findings The study finds that Islamic funds have lower risk exposure (including total, systematic, idiosyncratic and downside risk) compared with their conventional counterparts in most of the sample years, and hence, making them appear more attractive for investment especially for Sharīʿah-compliant investors preferring low risk preferences. Practical implications As this study shows, Islamic mutual funds exhibit lower risk exposure than their conventional counterparts so investors with lower risk preferences can invest in these kinds of funds. In this way, this research provides the input to the individual investors (especially Sharīʿah-compliant investors who want to avoid interest based investment) to help them with their investment decisions as they can make a more diversified portfolio by considering Islamic funds as a mean for reducing the risk exposure. Originality/value To the best of the author’s knowledge, this study is the first attempt at world level in looking at the comparative risk analysis of various types of the risks as follows: systematic, idiosyncratic and downside risk, for both Islamic and conventional funds, and thus, provides significant contribution in the literature of mutual funds.

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