Bootstrapping and Inflation Hedging Performance of Korean Equity Funds

2017 ◽  
Vol 25 (3) ◽  
pp. 425-449
Author(s):  
Min-Goo Hong ◽  
Jeehye Kim ◽  
Kook-Hyun Chang
Keyword(s):  
Investment Style ◽  
Asset Value ◽  
Bootstrap Approach ◽  
Sample Data ◽  
Equity Funds ◽  
Hedging Performance ◽  
To Come ◽  
Investment Styles ◽  
Inflation Hedging ◽  
Unexpected Inflation

This paper examines the inflation hedging performance separated into expected and unexpected inflation in Korean equity funds. In particular, using the bootstrap approach, we identify whether the inflation hedging performance is based on skill or luck. We use the equity funds of the average net asset value (NAV) over 5 billion Korean won and over the 80% stock position. The sample data cover the period from January 2002 to March 2015. The main findings are as follows. First, most equity funds demonstrate a hedging performance against the unexpected inflation shock and this hedging performance seems to come from the fund manager’s skill. Second, our findings are robust across the sieve bootstrap results for the serial dependence and heteroscedasticity. Third, the equity funds have slightly different inflation hedging performances depending on their investment style. Among the investment styles, small-cap, growth, or small and growth style funds demonstrate more hedging performance against unexpected inflation shock. This hedging performance seems to come from the fund manager’s skill. Finally, in the case of the funds separated by winner and loser, the winner funds have more hedging performance for unexpected inflation shock than the loser funds.

scholarly journals Do Managers Of Global Equity Funds Outperform Their Respective Style Benchmarks? Evidence From South Africa

2012 ◽  
Vol 11 (3) ◽  
pp. 269
Author(s):  
Heng-Hsing Hsieh ◽  
Kathleen Hodnett ◽  
Paul Van Rensburg
Keyword(s):  
South African ◽  
Economic Benefits ◽  
Exchange Traded Funds ◽  
The South ◽  
Fund Managers ◽  
Study Results ◽  
Significant Difference ◽  
Equity Funds ◽  
Investment Styles ◽  
Stock Picking

The results of our prior research on internationally-domiciled global equity funds suggest that active managers do not provide economic benefits, in addition to their underlying investment style benchmarks. This finding implies that the performances of global equity funds are derived mainly from the broad investment styles followed by the active managers rather than the stock-picking activities of the managers. We replicate our earlier research to investigate the performances of the six well-established global equity funds in the South African unit trust industry. Our results indicate that four out of the six South African fund managers under examination substantially underperform their passively-replicated style benchmarks. Our prior study results indicate that there is no significant difference between the performances of the internationally-domiciled global equity funds and their respective style benchmarks. By contrast, the stock-picking decisions of the South African fund managers are found to destroy value created by their respective style benchmarks in this study. Our findings suggest that investors who wish to follow particular investment styles would be better off by investing in exchange traded funds (ETF) that passively track the performances of their mandated investment styles in the global equity market with minimal costs.

scholarly journals Evaluation of Mutual Funds Performance And Consistency test over the use of Performance Sizing Methods

2020 ◽  
Vol 5 (6) ◽  
pp. 650-656
Author(s):  
Eka Kusumawati ◽  
Ega Bagja Nugraha
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Sharpe Ratio ◽  
Superior Performance ◽  
Ratio Method ◽  
Surveillance Period ◽  
Consistency Test ◽  
Asset Value ◽  
Equity Funds ◽  
Coefficient Of Concordance

The development of mutual fund industry in Indonesia has increases every year. From those several types of equity funds, the Net Asset Value (NAV) of mutual funds has increased by quite high number from year to year compared to other types. This research was assess the performance of mutual funds and examine those several consistency over the use of performance sizing methods from Sharpe ratio, Treynor index and Jensen's Alpha methods. Current problem who was stumbled was how the performance of stock mutual funds was measured by the Sharpe ratio, Treynor index and Jensen's Alpha methods and whether there has consistency over its performance by using it. The recent sample was 37 mutual funds that were registered at BAPEPAM-LK and still operating in Indonesia from January 2009 to October 2013. Performance evaluations used Sharpe ratio method, Treynor index and Jensen's Alpha. As for assess those consistency of the use performance sizing methods was done by Kendall coefficient of concordance (W) test. The result over this research said that Panin Dana Maksima and Panin Dana Prima are the best mutual funds, this could be seen during these surveillance period which found that mutual fund has superior performance above the market. The result of consistency test over those performance of stock mutual funds using Kendall W's concordance coefficient found that there has consistency or harmony when evaluated the performance of equity funds by using Sharpe Ratio, Treynor Index and Jensen's Alpha methods during those period.

scholarly journals A Factorial Analysis of Information Ratio and Its Causal Effect on Yearly Return of Net Asset Value – A Study of Indian Equity Diversified Mutual Fund Schemes

2018 ◽  
Vol 7 (4.36) ◽  
pp. 707 ◽  
Author(s):  
Suman Chakraborty ◽  
Satish Kumar ◽  
Lumen Shawn Lobo
Keyword(s):  
Interest Rates ◽  
Mutual Fund ◽  
Causal Effect ◽  
Secondary Data ◽  
Information Ratio ◽  
Wide Range ◽  
Asset Value ◽  
Net Asset Value ◽  
Equity Funds ◽  
Sector Funds

Evaluation of performance of mutual fund schemes has gained a wide range of attention from both investors and academicians. The study aims at assessing the returns from equity mutual fund schemes in India by applying risk adjusted performance evaluation techniques. The study is based on secondary data collected for ten years for selected open ended equity diversified mutual funds. A comparative assessment of performance of public sector sponsored equity funds and non-government sponsored  sector funds bring forth with an interesting inference. The present study also constitutes a modest attempt to assess the information ratio and its causal effect on the average yearly return of Net Asset Value (NAV). Based on the previous research findings, this paper puts an honest effort to identify twelve independent variables which affects significantly the performance of NAV. The evaluation relies on the Sharpe, Trenor and Jensen’s technique, which have been applied in conjunction with parametric and non-parametric statistical tools using. The result shows significant relationship exists between the NAV return and fund’s risk, information ratio, macro-economic variables such as inflation, interest rates, market index performance, foreign flow of funds and foreign exchange on the basis of regression analysis. 

Risk Management with KOSDAQ50 Index Futures Markets

2003 ◽  
Vol 11 (2) ◽  
pp. 51-79
Author(s):  
Gyu Hyeon Mun ◽  
Jeong Hyo Hong
Keyword(s):  
Garch Model ◽  
Minimum Variance ◽  
Price Risk ◽  
Risk Minimization ◽  
Index Futures ◽  
Hedging Strategies ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
Sample Data ◽  
Hedging Performance

This paper studies hedging strategies that use the KOSDAQ50 index futures to hedge the price risk of the KOSDAQ50 index spot portfolio. This study uses the minimum variance hedge model and bivariate ECT-GARCH (1,1) model as hedging models, and analyzes their hedging performances. The sample period covers from January 31, 2001 to December 31, 2002. The most important findings may be summarized as follows. First, both the risk-minimization and GARCH model exhibit hedge ratios that are substantially lower than one. Hedge ratios of the risk-minimization tend to be higher than those of GARCH model. Second, for the in-sample data, hedging effectiveness of GARCH model is higher than that of the risk-minimization, while for the out-of-sample data, hedging effectiveness of the risk-minimization with constant hedge ratios is not far behind the GARCH model in its hedging performance. Third, the hedging performance of KOSDAQ50 index futures is lower than that of KOSPI200 index futures, but higher than that of KTB futures. In conclusion, in the KOSDAQ50 index market, investors are encouraged to use the simple risk-minimization model to hedge the price risk of KOSDAQ50 spot portfolios.

scholarly journals International Real Estate Review

2019 ◽  
Vol 22 (1) ◽  
pp. 1-26
Author(s):  
Benedikt Fleischmann ◽  
◽  
Carsten Fritz ◽  
Steffen Sebastian ◽  
◽  
...  
Keyword(s):  
Real Estate ◽  
Arima Model ◽  
Negative Relationship ◽  
Developed Economies ◽  
Consumer Prices ◽  
Inflation Rates ◽  
Asset Value ◽  
Real Estate Prices ◽  
The Relationship ◽  
Inflation Hedging

With inflation rates remaining close to zero in all major developed economies for long periods of time, especially from 1998 - 2015, investors have become increasingly concerned about the potential effects of deflation on asset value. Negative inflation rates were observed between 1998 and 2009 in Hong Kong and Japan, and those economies faced several years of deflation. There is a rich body of literature on the effects of inflation hedging on the returns of stocks, bonds, and real estate. We examine asset returns for these products between 1986 and 2009, and use an ARIMA model to explore whether they offer a deflation hedge. We show that rents and real estate prices are closely linked to consumer prices, which confirms previous findings on inflation hedging. Since the relationship is generally positive and over proportional, we find that real estate is not an effective hedge against deflation. In contrast, we find no relationships between stocks or bonds and inflation. Only for Japanese bonds are we able to find a significantly negative relationship with unexpected deflation.

scholarly journals The persistence of risk levels of general equity funds in an emerging market economy

2013 ◽  
Vol 2 (4) ◽  
pp. 22-28
Author(s):  
Rousseau Lötter
Keyword(s):  
Emerging Market ◽  
Risk And Return ◽  
Adjusted Risk ◽  
Risk Levels ◽  
Fund Managers ◽  
Related Risk ◽  
Equity Funds ◽  
Future Risk ◽  
Investment Styles ◽  
Over Time

The persistence of risk levels of local General Equity unit trusts is evaluated. Variations in absolute and market-adjusted returns are measured to determine whether investors can use historical risk as a proxy for future risk levels. The General Equity funds are fairly homogenous, and different funds should exhibit stable risk levels if the fund managers’ investment mandates and investment styles remain stable over time. The results indicate a degree of absolute and market-adjusted risk stability over time. The market-adjusted risk and return relationship remained stable through the 2008 global crises, indicating that, on average, the fund managers maintained their benchmark-related risk exposures. Both the absolute and market-adjusted results indicate no statistically significant relationship between risk and return for the 2000 to 2012 period.

scholarly journals An Analysis of Mutual Fund Managers’ Timing Abilities - Evidence From Chinese Equity Funds

2020 ◽  
Vol 11 (4) ◽  
pp. 214
Author(s):  
Jun-Hao Li ◽  
Chun-Fan You
Keyword(s):  
Mutual Fund ◽  
Stock Selection ◽  
Mutual Fund Managers ◽  
Fund Managers ◽  
Timing Ability ◽  
Daily Frequency ◽  
Equity Funds ◽  
Volatility Timing ◽  
Investment Styles ◽  
Timing Models

This paper examines Chinese mutual fund managers’ market, volatility, and liquidity abilities. Using a daily frequency sample of Chinese open-end equity funds from 2015 to 2019, we find evidence that mutual fund managers can time the market. Among the funds with different investment styles, the active funds have better market and liquidity timing ability, whereas the steady funds have better volatility timing ability. In different investment periods, there are more funds with timing ability in the fall period than in the rise period. We find the same results in the market (T-M), volatility, and liquidity timing models. It is especially for the active funds, nearly half of which have liquidity timing ability in the fall period. Among the funds with stock selection ability, the funds with market timing ability can outperform than the funds with other timing ability.

Convergence and Diversity in the Hedge Fund and Private Equity Industry

2021 ◽  
pp. 159-190
Author(s):  
Omololu Bajulaiye ◽  
Mark Fenwick ◽  
Ivona Skultetyova ◽  
Erik P. M. Vermeulen
Keyword(s):  
Corporate Governance ◽  
Private Equity ◽  
Hedge Fund ◽  
Investment Decisions ◽  
Profit Sharing ◽  
Investment Style ◽  
Trade Offs ◽  
Structural Differences ◽  
Investment Styles ◽  
Main Factor

This chapter identifies differences in hedge fund and private equity strategies in terms of investments, strategies, and fundamental terms. These underlying structural differences have implications for the type of investor attracted to each investment style. Previously, investment decisions could be made on a set of trade-offs, but increased competition in the hedge fund industry is now the main factor driving the type of fund operating and competing in investment markets. This chapter describes the terms and conditions which address fund formation and operation, fees and expenses, profit sharing and distributions, as well as corporate governance. No matter how appealing the prospects of hedge fund and private equity convergence, there are significant concerns: can both types of fund combine different investment styles without affecting the level of returns?; can the transition toward financial convergence be blocked if hedge fund investors object to valuations based on subjective, and not actual, market trading?;can ‘side pockets’ in a hedge fund be isolated from the costs of accounting for the two streams of capital?

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