Are behavioural finance equity funds a superior investment? A note on fund performance and market efficiency

2013 ◽  
Vol 14 (2) ◽  
pp. 111-119 ◽  
Author(s):  
Christiane Goodfellow ◽  
Dirk Schiereck ◽  
Steffen Wippler
Keyword(s):  
Market Efficiency ◽  
Fund Performance ◽  
Behavioural Finance ◽  
Finance Equity ◽  
Equity Funds

Equity fund performance

2016 ◽  
Vol 33 (3) ◽  
pp. 359-376 ◽  
Author(s):  
Bin Liu ◽  
Amalia Di Iorio ◽  
Ashton De Silva
Keyword(s):  
Explanatory Power ◽  
Fund Performance ◽  
Idiosyncratic Volatility ◽  
Size Factor ◽  
Momentum Effect ◽  
Content Type ◽  
Fund Managers ◽  
Equity Funds ◽  
Fama And French ◽  
Fund Size

Purpose This paper aims to investigate whether idiosyncratic volatility is priced in returns of equity funds while controlling for fund size and return momentum. Design/methodology/approach Following Fama and French (1993), an idiosyncratic volatility mimicking factor and a fund-size factor are constructed. The pricing ability of this idiosyncratic volatility mimicking factor is investigated in the context of Carhart (1997). Findings Idiosyncratic volatility is an important pricing factor even when controlling for fund size and momentum. In addition, idiosyncratic volatility is strongly and positively associated with the momentum effect. Further, when controlling for the association between the momentum effect and idiosyncratic volatility, the explanatory power of the momentum factor almost disappears, which suggests the pricing of idiosyncratic volatility mediates momentum and returns. Originality/value These findings imply that both the idiosyncratic volatility factor and the fund-size factor should not be ignored by fund managers when evaluating the performance of the equity funds.

scholarly journals Mutual fund performance: Some recent evidence from European equity funds

2021 ◽  
Vol 66 (230) ◽  
pp. 7-33
Author(s):  
Milos Bozovic
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
The United States ◽  
Fund Performance ◽  
Equity Investment ◽  
Asset Pricing Anomalies ◽  
Pricing Anomalies ◽  
Equity Funds ◽  
European Equity ◽  
Passive Strategy

This paper studies the performance of mutual funds that specialise in equity investment. We use a sample of the top sixteen actively managed European equity funds operating in the United States between July 1990 and November 2020. Using standard factor models, we show that none of our sample funds generated a positive and significant alpha. The observed funds could not outperform a simple passive strategy that involves tradeable European benchmark portfolios in the longer run. As a rule, the funds in our sample did not exploit the known asset pricing anomalies.

scholarly journals The Calendar Impact And Trading Behavior: An Empirical Evidence From Around The Globe

2014 ◽  
Vol 13 (5) ◽  
pp. 1025 ◽  
Author(s):  
Faleh Alrashidi ◽  
Manzoor Ahmed ◽  
Fahad Beneid
Keyword(s):  
Stock Returns ◽  
Fund Performance ◽  
Supporting Evidence ◽  
Trading Behavior ◽  
Economic Activities ◽  
Equity Fund ◽  
Monthly Data ◽  
Stock Return Volatility ◽  
Dummy Variable ◽  
Equity Funds

This paper is aimed to determine a change in the stock markets returns or its volatility from the globally selected Islamic mutual funds during the month of Ramadan, as all Muslims around the world eagerly and enthusiastically follow the rituals of the holy month of Ramadan. The paper uses monthly data of equity funds for those which are domiciled and those which operate globally within the period of January 2004 until December 2009. It is interesting to note that the empirical results provide no supporting evidence for the effect of the Ramadan month on the Islamic equity fund performance when examined using a dummy variable for the Ramadan month. Nevertheless, the evidence reveals that the volatility of stock returns remarkably decreases during this month. The reason for the decrease in volatility may be the result of the speed of economic activities during that month. Although, there is a decline in stock return volatility in the month of Ramadan, the return indicates no significant change.

Private Equity Fund Performance and Persistency by Fund Type

2014 ◽  
Vol 22 (3) ◽  
pp. 531-564
Author(s):  
IK Song ◽  
Ji Eun Kang ◽  
Chang Hyun Yun
Keyword(s):  
Private Equity ◽  
Fund Performance ◽  
Equity Fund ◽  
Private Equity Fund ◽  
Fund Managers ◽  
Stock Market Performance ◽  
Equity Funds ◽  
Performance Persistency ◽  
Private Equity Funds ◽  
Fund Size

This study investigates the private equity funds’ performances and persistence by fund type. Diversification benefit exists between public equity and private equity and among different types of private equity funds. The net IRR of private equity funds depends on fund type, economic growth, stock market performance, inflation and interest rate. Fund performance was negatively correlated with capital inflow to private equity market and fund size. Fund size and series are positively correlated. Performance persistency exists in private equity fund managers. Fund type is very important factor in analyzing private equity fund performance and persistency.

Pittinos Financial Advisers, LLC

2017 ◽  
pp. 1-10
Author(s):  
Marc L. Lipson ◽  
Richard B. Evans
Keyword(s):  
Market Efficiency ◽  
Mutual Fund ◽  
Financial Services ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Selection Of

The owner of a small financial services firm is evaluating the performance of four funds to determine whether to offer them to his clients. The funds span a variety of objectives and include a recently initiated fund. The case explores issues related to the evaluation of mutual fund performance, including the selection of benchmarks and the effect of fees. The case provides a natural and compelling context in which to discuss market efficiency.

MUTUAL FUND PERFORMANCE IN DEVELOPING AND ADVANCED WORLD NETWORKS

2019 ◽  
Vol 64 (02) ◽  
pp. 399-421 ◽  
Author(s):  
KEYI ZHANG ◽  
RAMAZAN GENÇAY
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Complete Information ◽  
Fund Performance ◽  
Performance Persistence ◽  
Mutual Fund Performance ◽  
Market Information ◽  
Fund Manager ◽  
Equity Funds

We propose a new determinant of mutual fund performance persistence. We argue that different funds have different abilities to generate persistent performance and that such heterogeneity across funds can be explained by fund manager access to market information. To justify this hypothesis, we construct a network of mutual funds based on the commonality of their stock holdings and use network features to characterize how well a fund acquires and utilizes market information. Based on a sample of U.S. equity funds from 2001 to 2014, we find that a mutual fund with more complete information is more likely to possess momentum in performance.

scholarly journals Evaluation of investment funds through different performance measures

2021 ◽  
Vol 16 (04) ◽  
pp. 39-58
Author(s):  
Dermeval Martins Borges Júnior
Keyword(s):  
Performance Measures ◽  
Fund Performance ◽  
Investment Funds ◽  
Performance Indexes ◽  
Monthly Return ◽  
Equity Funds ◽  
The Subject ◽  
Analysis Of Performance ◽  
Performance Research ◽  
Sortino Ratio

Purpose - The aim of this study is to examine the evaluation of Brazilian equity funds from different performance measures. Theoretical framework - In the literature, several indexes are available that can be used to evaluate the performance of investment funds. Design/methodology/approach - Monthly return data were collected from 1,901 Brazilian equity funds. Fund performance was estimated using four indexes: the Sharpe ratio, the Sortino ratio, Jensen’s alpha, and the Treynor ratio. Findings - The results showed that all four performance measures are positively associated. This means that there are no significant differences in the ranking of Brazilian equity funds in terms of performance. Research, Practical & Social implications - The comparison of different performance indexes contributes to the literature on the subject by providing further data for researchers to adequately define the indexes considered in studies on the performance of funds. Originality/value - This study fills a gap in the literature regarding the analysis of performance measures of investment funds. Keywords - Mutual funds. Equity funds. Performance.

scholarly journals Factors influencing equity fund performance: evidence from Indonesia

2020 ◽  
Vol 17 (1) ◽  
pp. 156-164
Author(s):  
Sigit Sanjaya ◽  
Yosi Yulia ◽  
Elfiswandi ◽  
Zerni Melmusi ◽  
Faradilla Suretno
Keyword(s):  
Market Timing ◽  
Composite Index ◽  
Fund Performance ◽  
Stock Selection ◽  
Past Performance ◽  
Equity Fund ◽  
Significance Level ◽  
Timing Ability ◽  
Equity Funds ◽  
Fund Size

This study aims to discover the factors that affect equity fund performance in companies listed on the Indonesia Stock Exchange (IDX) during 2015–2018. This research is quantitative. Past performance, stock selection skills, market timing abilities, fund size, fund age are independent variables, while fund performance is the dependent variable. The population in this study was 73 equity funds. A total of 21 equity funds were selected as the sample by the purposive sampling method. The analytical method used is panel data regression analysis using the EViews program. Hypotheses were tested using a t-test with a significance level of alpha 0.05. The results show that equity fund past performance, stock selection skill, market timing ability, fund size, fund age and IDX composite index simultaneously have a significant effect on equity fund performance. Stock selection skill and IDX composite index partially have a positive and significant effect on equity fund performance. However, past performance, market timing ability, fund size and fund age have no positive and significant effect on equity fund performance. AcknowledgmentAll authors would like to thank Universitas Putra Indonesia YPTK Padang and Yayasan Perguruan Tinggi Komputer for financial support. Any remaining errors are our own.

scholarly journals ANALISIS UMUR REKSADANA, EXPENSE RATIO DAN KINERJA REKSADANA SAHAM DI PERUSAHAAN MANDIRI INVESTASI PERIODE 2014-2019

2021 ◽  
Vol 6 (1) ◽  
pp. 1-12
Author(s):  
Muhammad Helmi ◽  
Jumali Jumali
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Expense Ratio ◽  
Equity Mutual Funds ◽  
Asset Value ◽  
Net Asset Value ◽  
Equity Funds ◽  
One Year

Mutual funds are investment facilities that are used to raise funds from the investor community for further investment in securities portfolios by investment managers, and subsequently invested in stocks, bonds, time deposits, money market, and so on. Mutual fund performance is influenced by the determining factors of whether a mutual fund performs well or poorly, the mutual fund performance factor, namely the first is the age / age of the mutual fund (Fund Age), the second is the comparison between operating costs in one year and the average net asset value in one year (Expense Ratio) and the third is Net Asset Value (NAV). The formulation of the problems in this research are (1) How is the development of the age of equity funds in Mandiri Investasi for the 2014-2019 period? (2) How is the development of the stock mutual fund expense ratio at the Mandiri Investasi period of 2014-2019? net assets (NAV) of equity mutual funds performance at Mandiri Investasi for the 2014-2019 period. This study aims to determine the development of mutual funds age, expense ratio and net asset value (NAV) of the performance of Mandiri Investa Attractive (MITRA) equity funds in Mandiri Investasi for the period 2014-2019. The objects examined in this study are variables in the form of mutual funds age, expense ratio, and mutual fund performance (NAV). Methods of data analysis in this study using descriptive analysis methods. The results of the research conducted were the age development of Mandiri Investa Attraktf (MITRA) equity funds at the Mandiri Investasi company, which experienced an increase in age in 2014-2019. Expense ratio development in 2014-2019 has decreased. And in the development of equity mutual funds performance, namely the net asset value (NAV) in 2014-2019 experienced fluctuations.

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