Mutual fund performance components: an application to asset allocation mutual funds

2021 ◽  
pp. 1-16
Author(s):  
Kenneth Khang ◽  
Thomas W. Miller
Keyword(s):  
Mutual Funds ◽  
Asset Allocation ◽  
Mutual Fund ◽  
Fund Performance ◽  
Mutual Fund Performance

scholarly journals Performance of Sharia Mutual Fund: The Analysis of Asset Allocation in Indonesia

2017 ◽  
Vol 8 (3) ◽  
pp. 163-169
Author(s):  
Moh. Benny Alexandri ◽  
Meita Pragiwani ◽  
Dhylla Laiela
Keyword(s):  
Stock Market ◽  
Mutual Funds ◽  
Asset Allocation ◽  
Mutual Fund ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Allocation Policy ◽  
Optimum Performance ◽  
The Public ◽  
Lack Of Information

Abstract Mutual fund has already existed in Indonesia since 1995 but it has not been socialized. It was due to lack of information to the public about how to invest in stock market, especially in mutual fund. So that, the public have difficulties in assessing and selecting the mutual fund that can provide optimum performance and has benefits affecting the growth of mutual fund. The purpose of this research is to analyze the effect of asset allocation policy (sharia stocks, sharia bonds (sukuk), and mudharabah deposits) on the performance of mixed sharia mutual fund in Indonesia during 2010-2013. The type of this research is descriptive-verification analysis. The samples used are seven mixed sharia mutual funds in each year. So the total number of samples are twenty eight mixed sharia mutual funds during 2010-2013. The result shows that asset allocation policy for sharia stocks, asset allocation policy for sharia bonds (sukuk), and asset allocation policy for mudharabah deposits are simultaneously affecting mixed sharia mutual fund performance. It is simultaniously indicated 0.522 or approximately 52.2%.

scholarly journals Managerial Tenure And Mutual Fund Performance: Evidence From Index Funds

2011 ◽  
Vol 7 (5) ◽  
Author(s):  
Demissew Diro Ejara ◽  
Raja Nag
Keyword(s):  
North America ◽  
Mutual Funds ◽  
Asset Allocation ◽  
Mutual Fund ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Direct Impact ◽  
Index Funds ◽  
Term Basis ◽  
The Impact

We analyze the impact of managerial tenure on the performance of mutual funds.  We examine different aspects of the mutual funds and relate them to managerial tenure.  We control for risk, asset allocation (North America and Emerging Markets), size, turnover and number of holdings. Based on a sample of index mutual funds, we find that managerial tenure has significant impact of the funds return. The strength of this relation diminishes as performance is measured on longer term basis.  There is no significant direct impact of managerial tenure on expense ratio and rating.   

scholarly journals ANALISIS PERBANDINGAN KINERJA REKSADANA SAHAM MENGGUNAKAN METODE SHARPE DAN TREYNOR PADA REKSADANA SAHAM

Equity ◽  
2019 ◽  
Vol 21 (1) ◽  
pp. 49
Author(s):  
Clara Bella ◽  
Yul Tito Permadhy
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Sampling Method ◽  
Stock Exchange ◽  
Market Performance ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Equity Fund ◽  
Consistent Performance ◽  
Descriptive Method

This study aims to determine the comparison of stock mutual fund performance using sharpe method and treynor method. The research method used in this research is descriptive method with quantitative approach. The object of this study using all mutual fund shares listed on the Indonesia Stock Exchange period 2013-2016. The technique of determining the sample using purposive sampling method so that 66 mutual funds were chosen as research sample. The results of this study explain that there are differences in the results of the performance of stock mutual funds using sharpe method and treynor method on mutual fund shares listed on the Indonesia Stock Exchange (BEI) where each performance value fluctuates in the period 20132016. The results show that only a few stock mutual funds are above market performance by using sharpe method and treynor method during the period 2013-2016. The results show that only one stock mutual fund that has consistent performance above market performance during the period 2013-2016 using the sharpe method of equity fund Sam Equity Fund.

scholarly journals Performance Comparison of Islamic Mutual Funds with Conventional Mutual Funds

2019 ◽  
Vol 3 (1) ◽  
pp. 38-54
Author(s):  
Moch. Amin
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Secondary Data ◽  
Fund Performance ◽  
Statistical Test ◽  
Performance Comparison ◽  
T Test ◽  
Mutual Fund Performance ◽  
Analysis Method ◽  
Report Data

The purpose of this study is to determine whether or not there is a difference in mutual fund performance between sharia mutual funds and conventional mutual funds from 2016 to 2018. The data used is secondary data in the form of NVA report data of 34 mutual funds consisting of 16 sharia mutual funds and 18 conventional mutual funds. The data analysis method used is the Jensen Index, Sharpe index, Treynor Index, MM Index, and TT Index methods and uses the t-test to see whether there are differences in mutual fund performance. The results of this study conclude that quantitatively there is no difference in mutual fund performance between sharia mutual funds and conventional mutual funds. Likewise, the statistical test with the t-test shows that there is no difference in performance in terms of the Jensen Index, Sharpe index, Treynor Index, MM Index, and TT Index.

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 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.

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 Mutual Fund Performance Evaluation and Best Clienteles

2017 ◽  
Vol 52 (4) ◽  
pp. 1577-1604 ◽  
Author(s):  
Stéphane Chrétien ◽  
Manel Kammoun
Keyword(s):  
Performance Evaluation ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Good Deal ◽  
Fund Performance ◽  
Law Of One Price ◽  
Mutual Fund Performance ◽  
Positive Performance ◽  
Clientele Effects ◽  
Investor Disagreement

This paper investigates investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. In an incomplete market under law-of-one-price (LOP) and no-good-deal conditions, we obtain an upper bound on admissible performance measures that identifies the most favorable alpha. Empirically, we find that a reasonable investor disagreement leads to generally positive performance for the best clienteles. Performance disagreement by investors can be significant enough to change the average evaluation of mutual funds from negative to positive, depending on the clienteles.

A new network DEA model for mutual fund performance appraisal: An application to U.S. equity mutual funds

Omega ◽  
2018 ◽  
Vol 77 ◽  
pp. 168-179 ◽  
Author(s):  
Don U.A. Galagedera ◽  
Israfil Roshdi ◽  
Hirofumi Fukuyama ◽  
Joe Zhu
Keyword(s):  
Performance Appraisal ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Network Dea ◽  
Dea Model ◽  
Equity Mutual Funds
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