scholarly journals New Evidence on Mutual Fund Performance: A Comparison of Alternative Bootstrap Methods

2017 ◽  
Vol 52 (3) ◽  
pp. 1279-1299 ◽  
Author(s):  
David Blake ◽  
Tristan Caulfield ◽  
Christos Ioannidis ◽  
Ian Tonks
Keyword(s):  
Confidence Intervals ◽  
Mutual Fund ◽  
Cross Correlation ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Bootstrap Methods ◽  
Fund Managers ◽  
Mutual Fund Manager ◽  
New Evidence ◽  
Over Time

We compare two bootstrap methods for assessing mutual fund performance. The first produces narrow confidence intervals due to pooling over time, whereas the second produces wider confidence intervals because it preserves the cross correlation of fund returns. We then show that the average U.K. equity mutual fund manager is unable to deliver outperformance net of fees under either bootstrap. Gross of fees, 95% of fund managers on the basis of the first bootstrap and all fund managers on the basis of the second bootstrap fail to outperform the luck distribution of gross returns.

scholarly journals Mutual Fund Performance: Evidence from India

2019 ◽  
Vol 8 (4) ◽  
pp. 11714-11723
Keyword(s):  
Portfolio Management ◽  
Mutual Fund ◽  
Market Timing ◽  
Investment Strategy ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Stock Selection ◽  
Multifactor Models ◽  
Fund Managers ◽  
Timing Ability

We empirically examine fund managers’ stock selection and market timing ability using various risk-adjusted measures such as CAPM and multifactor models of FamaFrench (1993) and Carhart (1997) to gauge mutual fund performance in India. The sample consists of 183 actively managed equity-oriented funds and covers the period from April 2000 to March 2018. The study, on the whole, documents some evidence of positive and significant stock selection ability but fails to yield any notable evidence of market timing ability of fund managers. Our results are robust according to various riskadjusted performance evaluation techniques, sub-period analysis, excluding the crisis period and at the individual fund level. The findings of our study are in line with the previous studies that report limited selectivity skill and market timing ability among fund managers. The main implication of the study is that active portfolio management may not be very rewarding in comparison to a passive investment strategy.

scholarly journals Mutual Fund Performance in Slovenia: An Analysis of Mutual Funds with Investment Policies in Europe and the Energy Sector

2011 ◽  
Vol 6 (1) ◽  
pp. 61-69 ◽  
Author(s):  
Tanja Hribernik ◽  
Uroš Vek
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Performance ◽  
Energy Sector ◽  
Mutual Fund Performance ◽  
International Studies ◽  
Information Ratio ◽  
Risk And Return ◽  
Investment Policies ◽  
Fund Managers

Mutual Fund Performance in Slovenia: An Analysis of Mutual Funds with Investment Policies in Europe and the Energy Sector This paper examines the risk and return performance of mutual funds in Slovenia from 2005 until August 2009. The research is limited to the regional investment policies in Europe and the energy sector. Using monthly returns, we analyzed different risk-adjusted measures such as: the Treynor ratio, the Sortino ratio and the Information ratio. We also studied selections and timing ability using the Treynor-Mazuy model. The risk and return performance of mutual funds in the Slovenian market does not deviate from those in developed markets. We also found out that the selection ability of fund managers is better than market timing and that the findings of this paper are in accordance with other international studies.

scholarly journals The Ethical Mutual Fund Performance Debate: New Evidence from Canada

2006 ◽  
Vol 70 (2) ◽  
pp. 111-124 ◽  
Author(s):  
Rob Bauer ◽  
Jeroen Derwall ◽  
Rogér Otten
Keyword(s):  
Mutual Fund ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
New Evidence

scholarly journals Improved inference in the evaluation of mutual fund performance using panel bootstrap methods

2014 ◽  
Vol 183 (2) ◽  
pp. 202-210 ◽  
Author(s):  
David Blake ◽  
Tristan Caulfield ◽  
Christos Ioannidis ◽  
Ian Tonks
Keyword(s):  
Mutual Fund ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Bootstrap Methods

scholarly journals THE EVALUATION OF MUTUAL FUND PERFORMANCE IN LITHUANIA CONSIDERING RISK AND TIMING ABILITY / LIETUVOS INVESTICINIŲ FONDŲ VEIKLOS VERTINIMAS, ATSIŽVELGIANT Į RIZIKĄ IR SAVALAIKIŠKUMĄ

2011 ◽  
Vol 3 (4) ◽  
pp. 5-12 ◽  
Author(s):  
Irma Gavrilova
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Performance ◽  
Sharpe Ratio ◽  
Mutual Fund Performance ◽  
Specific Knowledge ◽  
Fund Managers ◽  
Investment Return ◽  
Timing Ability

Over the last decade, Lithuania has witnessed a growing interest in investment promoted by the need to successfully manage available funds. Direct investments (e. g. buying and selling stocks) require a specific knowledge of investment instruments. Therefore, an ordinary investor finds investment in mutual funds easier and cheaper. Usually the most important questions to the investor include measuring the results of a fund and the quality of the actions performed by the fund managers. The article evaluates the rates of mutual fund performance and identifies their shortages. The methods for evaluating investment return according to the level of risk and timing ability of the fund managers are presented using the Sharpe ratio and Treynor-Mazuy model on the basis of which mutual funds in Lithuania are analyzed. Santrauka Paskutinįjį dešimtmetį Lietuvoje pastebimas žmonių susidomėjimo investavimu augimas – tai skatina poreikis sėkmingai „įdarbinti“ turimas laisvas lėšas. Investuoti tiesiogiai (perkant atskirų įmonių akcijas ir pan.) daug kam yra pernelyg sudėtinga (reikia specialių žinių apie įvairius investavimo objektus, gilios rinkos analizės), be to, dažnai tiesiogiai investuoti yra gana brangu, todėl ne vienas žmogus pasirenka sprendimą – investuoti į fondus. Fondų dalyviams aktualiausia, kaip tinkamai vertinti fondų rezultatus. Straipsnyje identifikuojami investicinių fondų valdymo įmonių naudojami veiklos vertinimo rodikliai bei jų trūkumai. Pateikiamas investicinių fondų veiklos vertinimo, atsižvelgiant į riziką ir savalaikiškumą, metodas naudojant Šarpo bei Treynoro ir Mazuy rodiklius. Remiantis rodikliais atlikta Lietuvos investicinių fondų grąžos bei fondų valdytojų efektyvumo analizė.

scholarly journals Is It Who You Know or What You Know? Evidence from IPO Allocations and Mutual Fund Performance

2018 ◽  
Vol 53 (6) ◽  
pp. 2491-2523 ◽  
Author(s):  
Chuan-Yang Hwang ◽  
Sheridan Titman ◽  
Yuxi Wang
Keyword(s):  
Mutual Funds ◽  
Initial Public Offerings ◽  
Mutual Fund ◽  
Abnormal Returns ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Mutual Fund Managers ◽  
Public Offerings ◽  
Fund Managers ◽  
Elite Universities

Mutual fund managers with degrees from elite universities tend to outperform their counterparts from less elite universities. We show that the better performance of elite graduates is generated from their better connections with underwriters that facilitate allocations to underpriced initial public offerings (IPOs). Indeed, we find that the funds outperformonlyin months when they are connected to underwriters issuing IPOs. A strategy of buying mutual funds in months when they are connected to underwriters scheduled to issue IPOs generates significant abnormal returns, as high as 4.08% per annum in hot markets.

scholarly journals Performance Evaluation: A Review Article And An Empirical Investigation Of Greek Mutual Fund Managers

2011 ◽  
Vol 1 (6) ◽  
Author(s):  
Nikolaos Philippas ◽  
Efthymios Tsionas
Keyword(s):  
Performance Evaluation ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Empirical Investigation ◽  
Random Variable ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Fund Managers ◽  
Evaluation Models ◽  
Manager Performance

This paper surveys several mutual fund performance evaluation models. The models are applied to examine the performance of Greek equity and balanced mutual funds. Specifically, the Henriksson and Merton (1981), Bhattacharya and Pfleiderer (1983) and Lockwood and Kadiyala (1988) models are applied and compared. Empirical results show that models in which beta is treated as random variable imply superior manager performance in terms of selectivity, contrary to models based on the assumption of binary betas. All models are in agreement that fund managers do not exhibit superior macro-forecasting abilities.

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