A performance evaluation of Chinese mutual funds

2015 ◽  
Vol 10 (4) ◽  
pp. 820-836 ◽  
Author(s):  
Halil Kiymaz
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Emerging Market ◽  
High Price ◽  
Chinese Market ◽  
Information Ratio ◽  
Cross Sectional ◽  
Content Type ◽  
Management Fees ◽  
Wide Range

Purpose – The purpose of this paper is to examine the performance of Chinese mutual funds during the period of January 2000 to July 2013. Emerging market funds provide investors with alternative risk exposure for their portfolios. The Chinese market has developed rapidly and differs from developed markets regarding wide range of market and economic characteristics, including size, liquidity, and regulation. The performance of these funds is investigated by using various risk adjusted measures. The study also compares performances of mutual fund subgroups and explains the factors influencing their performances. Design/methodology/approach – This is an empirical paper using various risk performance measures. These measures include the Sharpe ratio, Information ratio, Treynor ratio, M-squared and Jensen’s α. The data comprises 1,037 funds. These funds are further divided into ten subgroup of funds based on their classification: equity (484); aggressive allocation (95 funds); conservative allocation (18 funds); moderate allocation (85 funds); aggressive bond (92 funds); normal bond (52 funds); guaranteed (29 funds); money market (53 funds); and QDII funds (119 funds). A cross-sectional analysis of fund performance is performed using Sharpe and Jensen’s measures as dependent variables and fund-specific variables (Age, Turnover, Tenure, Frontload, Redemption fees, and Management fees), market-specific variables (P/E ratio, P/B ratio, Market capitalization), and fund types as independent variables. Findings – The findings show that Chinese funds generate positive αs for their investors. The highest return is provided with aggressive allocation funds followed by moderately aggressive allocation funds. The average Jensen’s α is the highest in aggressive allocation funds. QDII funds do not provide significant positive αs; in several instances αs are negative. Further analysis of sub-periods show that Chinese funds do not consistently provide excess returns and show great variations. The study also finds that older funds, funds with higher fees, high price to book ratio, and smaller funds continue to perform better than other funds. Originality/value – This study adds value by focussing on Chinese funds and risk/return characteristics of these funds. The research will further explore factors explaining these returns.

scholarly journals The performance of US-based emerging market mutual funds

2017 ◽  
Vol 1 (1) ◽  
pp. 58-73 ◽  
Author(s):  
Halil Kiymaz ◽  
Koray D. Simsek
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Emerging Market ◽  
Alternative Source ◽  
Content Type ◽  
Wide Range ◽  
Bull Markets ◽  
Bond Mutual Funds ◽  
Period Performance

Purpose The purpose of this paper is to examine the performance of US mutual funds that invest primarily in emerging market equities and bonds. Design/methodology/approach The study adopts the Morningstar classification of mutual funds and uses the Lipper US Mutual Fund Database through FactSet to obtain monthly returns and various metrics for emerging market equity and bond mutual funds covering the period from January 2000 to May 2017. Several descriptive statistics for these funds are reported as well as various risk-adjusted performance measures. Alphas are computed for different sub-periods using different factor models to mitigate potential biases. Findings The results show that diversified emerging market funds generate some significant alphas for their investors during the study period. Emerging market bond funds, on the other hand, do not provide any significant positive alphas; mostly alphas are negative. An analysis of sub-period performance suggests that these funds do not consistently provide excess returns, showing great variations from one period to another. Originality/value The emerging market funds provide US investors with an alternative source of exposure for their portfolios. Emerging markets differ from developed markets on a wide range of market and economic characteristics, including size, liquidity, and regulation. This study contributes to the scarce literature on these types of funds and provides a comprehensive performance assessment against various benchmarks during a period that encompasses significant bear and bull markets across the world.

scholarly journals The Case For Emerging Market Funds

2011 ◽  
Vol 6 (11) ◽  
Author(s):  
Stuart Michelson ◽  
Elena Philipova ◽  
Petra Srotova
Keyword(s):  
Emerging Markets ◽  
Mutual Funds ◽  
Performance Studies ◽  
Emerging Market ◽  
Negative Relationship ◽  
Font Size ◽  
Cross Sectional ◽  
Market Index ◽  
Time Period ◽  
Wide Range

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">This study investigates the performance of open-end actively managed emerging market mutual funds during the time period 1999 to 2005. Our analysis is cross-sectional and time series across a wide range of emerging markets. Previous research includes performance studies of international mutual funds and emerging market funds, but none of the previous studies were as broad nor as specific as the current study. Monthly fund returns are compared to three indices (emerging markets, MSCI, and S&amp;P 500 Index), using annualized returns, Sharpe ratio and Treynor ratio. The results show that the emerging market funds outperform the MSCI Index and the S&amp;P 500 Index, but not the emerging market index. During the study period, an investor would have benefited by either investing in emerging market funds or the emerging market index. There is also a negative relationship between emerging market fund returns and turnover, and a positive relationship between fund returns and size.</span></span></p>

Testing the skill of mutual fund managers: evidence from India

2015 ◽  
Vol 41 (8) ◽  
pp. 806-824 ◽  
Author(s):  
Prateek Sharma ◽  
Samit Paul
Keyword(s):  
Mutual Funds ◽  
Cross Section ◽  
Mutual Fund ◽  
Statistical Tests ◽  
Emerging Market ◽  
Performance Measure ◽  
Mutual Fund Managers ◽  
Content Type ◽  
Fund Managers ◽  
Investor Expectations

Purpose – The purpose of this paper is to utilize a constrained random portfolio-based framework for measuring the skill of a cross-section of Indian mutual fund managers. Specifically, the authors test whether the observed performance implies superior investment skill on the part of mutual fund managers. Additionally, the authors investigate the suitability of mutual fund investments under diverse investor expectations. Design/methodology/approach – The authors use a new skill measurement methodology based on a cross-section of constrained random portfolios (Burns, 2007). Findings – The authors find no evidence of superior investment skill in the sample of Indian equity mutual funds. Using a series of statistical tests, the authors conclude that the mutual funds fail to outperform the random portfolios. Furthermore, mutual funds show no persistence in their performance over time. These results are robust to choice of performance measure and the investment horizon. However, mutual funds provide lower downside risks and may be suitable for investors with high degree of risk aversion. Originality/value – The authors extend Burns’ (2007) methodology in several aspects, especially by using a much wider range of performance and downside risk measures to address diverse investor expectations. To the best of the authors’ knowledge, this is first study to apply the constrained random portfolios-based skill tests in an emerging market.

Look for people, not for alpha: mutual funds success and managers intellectual capital

2015 ◽  
Vol 19 (4) ◽  
pp. 57-71 ◽  
Author(s):  
Iuliia Naidenova ◽  
Petr Parshakov ◽  
Marina Zavertiaeva ◽  
Eduardo Tomé
Keyword(s):  
Mutual Funds ◽  
Intellectual Capital ◽  
Mutual Fund ◽  
Personal Information ◽  
Fund Performance ◽  
Economic Education ◽  
Individual Characteristics ◽  
Cross Sectional ◽  
Content Type ◽  
Fund Managers

Purpose – This paper aims to explore whether individual intellectual capital of a fund manager allows mutual fund to outperform market. Design/methodology/approach – The sample includes 85 Russian equity funds for the period of 2013. First, Jensen’s alpha for each fund has been calculated, and then cross-sectional regression analysis has been used. While only a part of fund managers publish biographic sketches, the authors use the Heckman procedure to control for self-selection issues. Findings – The results support the idea that the individual characteristics indicate the possibility to earn abnormal alpha. Managers with economic education and with Moscow education perform better than others. Relationship between both fund performance measures and manager’s experience has inverted U-shape. Jensen’s alpha reaches its highest level at the point of 9 years, whereas beta – at 10 years of manager’s experience. Research limitations/implications – Investigation can be improved by including more variables that influence the disclosure of managers’ personal information, for example, by conducting surveys. Additionally, cross-sectional data restrict the analysis. Practical implications – The discovered characteristics of managers’ intellectual capital can be used as additional screening tool for the investor who is deciding on mutual fund choice in Russia. While individual intellectual capital is observable and more persistent in time in comparison with the past fund performance, such tool allows better decision-making. Originality/value – This is the first paper that explores which characteristics of Russian fund managers are connected with higher abnormal return (measured by Jensen’s alpha) and risk (beta) of mutual funds.

Fashion designers' attitude-behaviour inconsistencies towards a sustainable business model: a neutralisation theory perspective

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Asphat Muposhi ◽  
Brighton Nyagadza ◽  
Chengedzai Mafini
Keyword(s):  
South Africa ◽  
Online Survey ◽  
Emerging Market ◽  
Survey Study ◽  
Future Research ◽  
Cross Sectional ◽  
Content Type ◽  
Study Results ◽  
Sustainable Fashion ◽  
Fashion Designers

PurposeFashion designers in South Africa remain ambivalent in embracing sustainable fashion. This study examines the role of neutralisation techniques on attitude towards sustainable fashion. The study was conducted in South Africa, an emerging market known for water scarcity and pollution emanating from the textile industry.Design/methodology/approachA structured questionnaire was used to collect cross-sectional data from a sample of 590 fashion designers using a web-based online survey. Study constructs were drawn from the neutralisation theory and theory of planned behaviour.FindingsStandard multiple regression analysis results identified denial of injury, appeal to higher loyalties and external locus of control as the major rationalisation techniques influencing South African designers' negative attitudes towards sustainable fashion.Research limitations/implicationsResearch was conducted in South Africa where the concept of sustainable fashion is still at developmental stages. The generalisation of the study findings may be enhanced by extending the study to other markets with a fully developed market for sustainable fashion.Practical implicationsThe study results underscore the necessity of reducing social, structural and institutional barriers associated with the adoption of sustainable fashion. This study provides input towards efforts to develop attitude change strategies to stimulate designers to embrace sustainable fashion.Originality/valueThe research study contributes to theory, practice and future research.

Development of empirically based customer-derived positioning taxonomy for consumer electronics sector in the Indian emerging market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Natasha Saqib ◽  
Mir Shahid Satar
Keyword(s):  
Emerging Market ◽  
Consumer Electronics ◽  
Second Phase ◽  
Measurement Scales ◽  
Cross Sectional ◽  
Market Positioning ◽  
Content Type ◽  
Customer Perceptions ◽  
Visual Aesthetics ◽  
Practical Implications

PurposeAn Indian emerging market positioning taxonomy has been developed in response to the literature review's findings that existing positioning typologies/taxonomies are based on managerial perspectives rather than consumer/customer perceptions and are only developed for advanced countries.Design/methodology/approachThis study employs a three-step process for developing and validating a scale in order to conduct its research. In the first phase, items are generated and selected based on a literature review, focus groups and expert opinion. Exploratory factor analysis is used to fine-tune the scale in the second phase. Phase 3 uses CFA to establish convergent, discriminant and nomological validity through the use of CFA.FindingsA consumer-based taxonomy of positioning strategies were developed as a result of the research. Six distinct positioning strategies emerged that was named (1) Value for Money, (2) Functional (3) Premiumisation, (4) Promotional Campaign, (5) Brand Name (6) Visual Aesthetics.Research limitations/implicationsDeveloping and validating measurement scales will be made easier with the help of this paper. Target populations, industry and geography selection and a cross-sectional time horizon are just a few of the study's drawbacks.Practical implicationsThe study's practical implications include six factors/strategies that managers, advertising executives and marketing experts of consumer electronics companies in the Indian emerging market could use to position their products, resulting in the overall success of their organisations.Originality/valueThis study adds to the marketing literature by providing a solid theoretical foundation and a validated instrument for operationalising positioning strategies.

scholarly journals PENGUKURAN METODE RASIO INFORMASI, RASIO SORTINO DAN ROY SAFETY FIRST RATIO PADA KINERJA REKSADANA SAHAM SYARIAH PERIODE 2015-2017

2020 ◽  
Vol 6 (8) ◽  
pp. 1644
Author(s):  
Nur Rohman Azis ◽  
Atina Shofawati
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Information Ratio ◽  
Performance Result ◽  
Positive Performance ◽  
Qualitative Descriptive ◽  
Level Performance ◽  
Safety First ◽  
One Way Anova ◽  
Sortino Ratio

The Objective of this research is to identify whether there is a different level performance of mutual funds in syariah shares among Information Ratio, Sortino Ratio, and Roy Safety First Ratio. This analysis using qualitative descriptive. In this case, the authority of money service website mentions there are 21 mutual funds in syariah shares could be taken as the sample of the analysis by using purposive sampling method. Verification result is done by One-way Anova test. The measurement result of the mutual fund in syariah shares uses the method Information Ratio provides 3 mutual funds in syariah shares are in positive performance in 2015 and 2017 and 5 mutual funds in syariah shares are in negative performance in 2016. It means there is a different performance result of mutual fund in syariah shares. The result Sortino ratio provides all of mutual fund share are in negative performance in all of year. It means there is no different performance result of mutual fund in syariah shares. The result Roy Safety First Ratio provides all of mutual funds in syariah shares are in negative performance in 2015, 2 mutual funds in syariah shares are in negative performance in 2016 and 4 mutual funds in syariah shares are in positive performance in 2017. It means there is no different performance result of mutual fund in syariah shares.Keywords: Performace of mutual funds, Information Ratio, Sortino Ratio, Roy Safety First Ratio, Mutual Funds in Syariah Shares

scholarly journals FACTORS INFLUENCING THE INVESTORS TO INVEST IN MUTUAL FUNDS: AN EMPIRICAL ANALYSIS

2020 ◽  
Vol 6 (9) ◽  
pp. 45-52
Author(s):  
Bishwajit Rout ◽  
Sangeeta Mohanty
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Exchange Traded Funds ◽  
Equity Fund ◽  
Index Funds ◽  
Money Market Funds ◽  
Wide Range ◽  
Different Types ◽  
Fund Industry ◽  
Mutual Fund Industry

Indian mutual fund industry started with traditional products like equity fund, debt fund and balanced fund and later significantly increased it’s product base. Today, the industry has introduced a wide range of products such as money market funds, sector specific funds, index funds, gilt funds, insurance linked funds, exchange traded funds, and marching towards reality funds. The different types of schemes offered by the Indian mutual fund industry provide several options of investment to common man. What is noteworthy is that bulk of the mobilization has been by the private sector mutual funds rather than bank sponsored mutual funds. Through this paper the author has attempted to focus on the the factors that motivate the investors to invest in mutual funds.

scholarly journals A comparative study of the performance of Saudi mutual funds

2016 ◽  
Vol 13 (4) ◽  
pp. 89-102 ◽  
Author(s):  
Ahmed El-Masry ◽  
Dalia A. El-Mosallamy
Keyword(s):  
Emerging Markets ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Emerging Market ◽  
Explanatory Power ◽  
Fund Performance ◽  
The Other ◽  
Equity Fund ◽  
Evaluation Measures ◽  
Market Portfolio

This study examines the performance of 21 Saudi mutual funds using the CAPM and downside CAPM D-CAPM models over the period 2005-2011. Initially equity fund performance is examined against two benchmarks TASI and the GCCI Islamic index utilizing the traditional beta and CAPM performance evaluation measures. The evaluation is then replicated utilizing the downside beta and other tests of funds’ performance derived from the CAPM in the down side framework. The results indicate that the downside beta could be more relevant in terms of its higher explanatory power than the traditional beta and thus CAPM in the downside framework could be more relevant to report on funds’ performance in this emerging market. After exploring the aggregate performance by forming two fund portfolios; one representing the average Islamic mutual fund and the other is the average conventional fund, to examine the performance of the Islamic mutual funds portfolio compared to its conventional peers and to the overall market, the study finds, on average, Islamic mutual funds in outperform conventional mutual funds and the market portfolio. The study concludes that it is equally important for practitioners in emerging markets, to report performance using both CAPM measures and D-CAPM measures and if differences exist, then the D-CAPM could be the superior measure because of its suitability to the asymmetrical distribution of returns existing in emerging markets in general.

Affordable luxury consumption: an emerging market's perspective

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Shadma Shahid ◽  
Jamid Ul Islam ◽  
Rahela Farooqi ◽  
George Thomas
Keyword(s):  
Psychological Factors ◽  
Purchase Intention ◽  
Structural Equation ◽  
Emerging Market ◽  
Consumer Attitude ◽  
Luxury Brands ◽  
Cross Sectional ◽  
Luxury Consumption ◽  
Content Type ◽  
Need For Uniqueness

PurposeThis study aims to focus on proposing and empirically validating a model that captures certain critical socio-psychological factors that nurture consumers' attitude towards affordable luxury brands in an emerging market context of India.Design/methodology/approachThe data were collected via a cross-sectional questionnaire survey from 491 customers of different fashion accessory luxury products in India. The data were analyzed through structural equation modelling (SEM) using AMOS 23.0 SEM software.FindingsThe findings of this study reveal that conspicuousness, status consumption, brand name consciousness, need for uniqueness and hedonism positively affect consumer attitude towards affordable luxury, which consequently affects consumers' purchase intention. The findings further reveal that age acts as a moderator in driving consumers' neo-luxury consumption.Originality/valueBy uniting various socio-psychological factors with consumer attitude and purchase intention in a conceptual model, along with studying the moderating role of age, this study responds to the calls for further research regarding affordable luxury and offers a more granular understanding of specific consumer motivations that guide Indian consumers' affordable luxury consumption.

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