scholarly journals Lipper’s rating and the performance of unit trusts in Malaysia

2015 ◽  
Vol 32 (3) ◽  
pp. 322-339 ◽  
Author(s):  
Ahmad Ridhuwan Abdullah ◽  
Nur Adiana Hiau Abdullah
Keyword(s):  
Performance Measures ◽  
Asset Allocation ◽  
Factor Model ◽  
Emerging Market ◽  
Performance Comparison ◽  
Content Type ◽  
Trust Funds ◽  
Significant Difference ◽  
Unit Trust ◽  
Risk Free Rate

Purpose – The purpose of this paper is to examine the risk-adjusted performance of rated funds and determine the usefulness of Lipper Leader rating of unit trusts in Malaysia during the period 2000 to 2010. Design/methodology/approach – The paper utilizes the Sharpe ratio, Treynor ratio, Jensen’s alpha and Fama-French three-factor model to measure performance. Findings – During the period of study, the performance of the market index and risk-free rate outperformed that of 68 equity unit trust funds in the 3-year, 5-year and 10-year investment horizons. The ranking, based on four performance measures, corresponds to Lipper rating for the lowest rated and leader funds, but not for the three- and four-key rated funds. Further, there is a significant difference in the performance of the five-key, four-key and three-key rated funds which outperform the lowest rated funds, indicating that Lipper rating is able to distinguish superior and inferior unit trust funds. Research limitations/implications – Some of the limitations in this study are that the indexes could be self-constructed. The existing index might not represent the asset allocation of the funds concerned. Additional variables might have to be considered when examining fund performance as they should correspond to the characteristics of a fund. Practical implications – The results indicate that Lipper rating classification could identify the highest and lowest performing funds. Therefore, investors could use this rating to make informed investment decisions without undertaking time-consuming analysis to ascertain the good- and bad-quality funds in the market. Social implications – The findings of this study could be used by the academia as another source of reference to enhance their understanding of the applicability of Lipper rating for unit trust funds in an emerging market. Originality/value – The contribution of this study is that it analyzes the effectiveness and capability of Lipper Leader rating in identifying quality funds in the context of an emerging market. Performance comparison between Lipper Leader rating and methods used in the portfolio theory bridges the theory-practice gap between practitioners and academics. To date, there have been no attempts to study and compare the ratings of advisory firms with theoretical performance measures, particularly in the context of Malaysia.

Flexibility decision pathways in the management of uncertainty in property development: experience from an emerging market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Timothy Oluwafemi Ayodele ◽  
Abel Olaleye
Keyword(s):  
Emerging Market ◽  
Survey Method ◽  
Property Development ◽  
Content Type ◽  
Significant Difference ◽  
Development Experience ◽  
High Level ◽  
Stratified Analysis ◽  
Management Of Uncertainty ◽  
Practical Implications

Purpose This paper aims to investigate the flexible decision pathways adopted by development advisors in the management of uncertainty in property development. Specifically, the study examines the quantitative techniques adopted by development advisors, the level of adoption of real options analysis (ROA) vis-à-vis the level of adoption of heuristics. Finally, the types of options exercised in property development were analysed. This was with a view to providing information that could mitigate the challenges of risk and uncertainty and increasing investment failure associated with property development in Nigeria, an emerging market. Design/methodology/approach The study adopted a survey method and was conducted on development advisors in property development companies/estate surveying and valuation firms in Nigeria. A total of 195 development advisors participated in the survey. The respondents were required to rate, on a five-point Likert scale, the level of adoption of the quantitative models, heuristics and the types of flexibility exercised during development. The data were analysed using mean rating, one-sample t-test and analysis of variance. Findings The results revealed that there was a preference for the use of traditional techniques, while probabilistic appraisal models and other contemporary methods such as ROA are seldom adopted by development advisors. While there was a significantly high level of adoption of heuristics, the stratified analysis examining the profile of the respondents and the level of adoption of ROA and heuristics suggests that years of experience influenced the level of adoption of both the ROA and heuristics by the development advisors. The analysis of the types of flexibility showed that staging/phasing and changing the initial use/design were the most prevalent flexibility pathways adopted during the development. However, the study found that there was no significant difference concerning the choice of flexibility being adopted by development advisors who used ROA and those who did not. Practical implications The study provides an understanding of the decision pathways adopted by development advisors in an emerging market like Nigeria. Originality/value The paper contributes to studies on decision-making pathways in the management of uncertainty under dynamic conditions by development advisors in emerging markets.

Are covered calls the right option for Australian investors?

2018 ◽  
Vol 35 (2) ◽  
pp. 222-243
Author(s):  
Scott J. Niblock ◽  
Elisabeth Sinnewe
Keyword(s):  
Performance Measures ◽  
Asset Allocation ◽  
Market Volatility ◽  
Risk Exposure ◽  
Content Type ◽  
Fund Managers ◽  
Option Strategies ◽  
Covered Call ◽  
The Right ◽  
Covered Call Strategies

Purpose The purpose of this paper is to examine whether superior risk-adjusted returns can be generated using monthly covered call option strategies in large capitalized Australian equity portfolios and across varying market volatility conditions. Design/methodology/approach The authors construct monthly in-the-money (ITM) and out-of-the-money (OTM) S&P/ASX 20 covered call portfolios from 2010 to 2015 and use standard and alternative performance measures. An assessment of variable levels of market volatility on risk-adjusted return performance is also carried out using the spread between implied and realized volatility indexes. Findings The results of this paper show that covered call writing produces similar nominal returns at lower risk when compared against the standalone buy-and-hold portfolio. Both standard and alternative performance measures (with the exception of the upside potential ratio) demonstrate that covered call portfolios produce superior risk-adjusted returns, particularly when written deeper OTM. The 36-month rolling regressions also reveal that deeper OTM portfolios deliver greater risk-adjusted returns in the majority of the sub-periods investigated. This paper also establishes that volatility spread variation may be a driver of performance for covered call writing in Australia. Originality/value The authors suggest that deeper OTM covered call strategies based on large capitalized portfolios create value for investors/fund managers in the Australian stock market and can be executed in volatile market conditions. Such strategies are particularly useful for those seeking market neutral asset allocation and less risk exposure in volatile market environments.

Is value premium sector-specific? Evidence from India

2020 ◽  
Vol 46 (12) ◽  
pp. 1605-1628
Author(s):  
Vanita Tripathi ◽  
Priti Aggarwal
Keyword(s):  
Asset Pricing ◽  
Portfolio Management ◽  
Factor Model ◽  
Emerging Market ◽  
Value Premium ◽  
Market Model ◽  
Top Down ◽  
Content Type ◽  
The Difference ◽  
The Relationship

PurposeThis paper is an attempt to explore the fact that whether the literature-promised value premium has any sector orientation. The paper tests the relationship between the value premium and Indian sectors: fast-moving consumer goods (FMCG), financials, healthcare, information technology (IT), manufacturing and miscellaneous.Design/methodology/approachThe paper analyses around 210–480 companies listed on BSE-500 for the period of the recent 18 years ranging from March 1999 to March 2017. The paper employed Welch's ANOVA to examine whether the price-to-book market ratio is significantly different across sectors. Two prominent asset pricing models – single factor market model and Fama–French three-factor model – were used to examine the existence of value premium within sectors for full period and two sub-periods.FindingsThe empirical results of the paper suggest that the difference in the P/B ratio both between sectors and within sectors is statistically significant. The results further suggest that the value premium exists within the sectors irrespective of their value-growth orientation.Research limitations/implicationsThe paper is not free from certain limitations. Firstly, due to the non-availability of data in the public domain, the time period before 1999 could not be considered. Secondly, the study has used data pertaining to the Indian stock market only. To add to it, our study has concentrated on BSE-500 companies only; however, the future researchers can include both NSE and BSE companies.Practical implicationsThe paper has important implications for portfolio managers and retail investors following a top-down approach of investing. The portfolio manager can strategically build up the portfolios to concentrate more on the companies belonging to sectors like healthcare, manufacturing and FMCG. Investors following the top-down approach should avoid the underperforming growth stocks belonging to the growth sectors and allocate their funds to value stocks in the growth sector.Originality/valueThe paper is first of its kind to study the relationship between the value premium and Indian sectors. The paper contributes to portfolio management and asset pricing literature for an emerging market.

Do ETFs outperform CEFs in fixed income investing?

2015 ◽  
Vol 30 (4) ◽  
pp. 231-246 ◽  
Author(s):  
C. Edward Chang ◽  
Thomas M. Krueger ◽  
H. Doug Witte
Keyword(s):  
Performance Measures ◽  
Tracking Error ◽  
Exchange Traded Funds ◽  
Fixed Income ◽  
Turnover Rates ◽  
Operating Characteristics ◽  
Content Type ◽  
Market Values ◽  
Significant Difference ◽  
And Performance

Purpose – For a number of reasons ranging from their more recent introduction to their perceived lesser excitement relative to stock-based peers, there have been few studies of fixed income (mainly bond) exchange-traded funds (ETFs). The purpose of this paper is to fill the void by comparing performance measures of fixed income ETFs to fixed income closed-end funds (CEFs). Design/methodology/approach – This paper examines operating characteristics as well as risk and performance measures of all available fixed income ETFs and CEFs in the USA over the last five and ten years ending on December 31, 2014. Operating characteristics include expense ratios, annual turnover rates, tax cost ratios, and tracking error ratios. Performance measures include average annual returns, risks (measured by standard deviations), and risk-adjusted returns (measured by Sharpe ratios and Sortino ratios). Findings – This study finds material and significant difference in a variety of expenses, return measures, and risk measures. Sharpe and Sortino ratio significance is highly dependent on whether net asset values or market values serve as the dependent variable. ETFs would be the preferred choice of fixed income investors who are presumed to be focussing on market-based return measures. Originality/value – This paper empirically compares operating characteristics as well as risk and performance measures of US fixed income ETFs and fixed income CEFs in the same Morningstar categories over the last five and ten years.

scholarly journals Passive ESG Portfolio Management—The Benchmark Strategy for Socially Responsible Investors

2021 ◽  
Vol 13 (16) ◽  
pp. 9388
Author(s):  
Julian Amon ◽  
Margarethe Rammerstorfer ◽  
Karl Weinmayer
Keyword(s):  
Financial Performance ◽  
Portfolio Management ◽  
Asset Allocation ◽  
Factor Model ◽  
Five Factor Model ◽  
Strong Support ◽  
Socially Responsible ◽  
A Value ◽  
Significant Difference ◽  
The Impact

In this article, we investigate the notion of doing well while doing good from the perspective of passive portfolio strategies. We analyze a number of asset allocation strategies based on ESG-weighting and compare their financial and ESG performance for the US and Europe. We find no significant difference in the financial performance but superior ESG performance of ESG-based strategies. It can be concluded that, compared to a naive strategy, socially responsible investors are willing to pay a small premium for the impact of the portfolio via transaction costs when rebalancing the portfolio according to their preferences for social responsibility. In addition, when comparing the ESG-based strategies to a value-weighted strategy, we observe no significant difference in ESG performance but a high degree of significance in the superior financial performance of the ESG-based strategy. We also analyze the strategies with regards to the factor loadings given by the Fama–French five-factor model and a sixth factor denoted GMB (Good minus Bad) and find significant differences across the regions and strategies. Overall, the results show strong support of ESG-based strategies being preferred by socially responsible investors but also suggest that such strategies might be preferred by conventional investors looking for a passively managed alternative compared to a value-weighted index. Furthermore, it seems that such a strategy might be a more adequate benchmark for active SRI funds.

Investigating the extent and impact of director overboardedness using a comprehensive measure

2020 ◽  
Vol 20 (5) ◽  
pp. 821-836
Author(s):  
Nadia Mans-Kemp ◽  
Suzette Viviers ◽  
Jenna Weir
Keyword(s):  
South Africa ◽  
Design Methodology ◽  
Emerging Market ◽  
Listed Companies ◽  
Committee Meeting ◽  
High Demand ◽  
Content Type ◽  
Significant Difference ◽  
Research Period ◽  
Case Basis

Purpose Directors can become overextended when they serve on multiple boards simultaneously. Previous scholars mostly considered directorships held at listed companies. This study aims to investigate the extent and impact of director overboardedness in an emerging market by using a comprehensive measure. Design/methodology/approach The analysis covered 1,600 directors who served on the boards of the 100 largest companies listed in South Africa over the period 2011–2016. In addition to directorships held at listed companies, board positions at unlisted companies and other entities such as state-owned enterprises were considered. Board committee memberships at the sample companies were furthermore included. Random effects ANOVA was conducted to test for significant differences in board and committee meeting attendance. Findings Two-thirds of the considered directors were overboarded when accounting for all their positions. Board committee memberships increased notably over the research period. There was no significant difference in the percentage of board meetings attended between overboarded and non-overboarded directors. However, those directors who held three or more positions simultaneously attended significantly more board committee meetings than their counterparts who held fewer positions. Of the considered committees, the remuneration committee typically had the highest proportion of overboarded directors. Originality/value Eligible board candidates are in high demand given the limited talent pool in South Africa. The findings contradict the busyness hypothesis and suggest that director overboardedness should be evaluated on a case-by-case basis.

scholarly journals Organisational performance and the use of multiple performance measures in an emerging market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abdallah Amhalhal ◽  
John Anchor ◽  
Marina Papalexi ◽  
Shabbir Dastgir
Keyword(s):  
Emerging Markets ◽  
Financial Performance ◽  
Performance Measures ◽  
Emerging Market ◽  
Manufacturing Companies ◽  
Organisational Performance ◽  
Cross Sectional ◽  
Content Type ◽  
Financial Performance Measures ◽  
The Relationship

PurposeThis study is an empirical investigation of the relationship between the use of 41 multiple performance measures (MPMs), including financial performance measures (FPM), non-financial performance measures (NFPMs) and organisational performance (OP) in Libya.Design/methodology/approachThe results are based on cross-sectional questionnaire survey data from 132 Libyan companies (response rate 61%), which were obtained just before the so-called Arab Spring.FindingsMPMs are used by both manufacturing and non-manufacturing companies. Libyan business organisations are more likely to use FPMs than NFPMs. However, these companies still rely more heavily on FPMs. The relationships between the use of NFPMs and OP and the use of MPMs and OP are positive and highly significant. The relationship between the use of FPMs and OP is positive but not significant.Research limitations/implicationsThe high power distance associated with the conservative, Libyan, Arab context will reinforce the tendency to use FPMs more than NFPMs. This may provide a performance advantage to those organisations which do adopt NFPMs.Practical implicationsAlthough there may be institutional barriers to the use of NFPMs in Libya, and other emerging markets, these are not insuperable and there is a payoff to their use.Originality/valueNo previous studies of emerging markets, such as the Middle East or North Africa, have looked at the relationship between OP and the adoption of such a large array of MPMs.

Emerging market mutual fund performance: evidence for China

2017 ◽  
Vol 11 (2) ◽  
pp. 167-187 ◽  
Author(s):  
Zia-ur-Rehman Rao ◽  
Muhammad Zubair Tauni ◽  
Amjad Iqbal ◽  
Muhammad Umar
Keyword(s):  
Asset Management ◽  
Mutual Fund ◽  
Factor Model ◽  
Emerging Market ◽  
Market Timing ◽  
Content Type ◽  
Fund Managers ◽  
Developed Markets ◽  
Timing Ability ◽  
Equity Funds

Purpose The purpose of this paper is to find whether Chinese equity funds outperform the market and do Chinese fund managers possess positive market timing ability. This study also aims to investigate whether well-performing (worst) funds of last year continue to perform well (worst) in the following year. Design/methodology/approach Capital Asset Pricing Model and Carhart four-factor model are used for performance analysis, whereas for analyzing market timing ability, the Treynor and Mazuy (1966) and Henriksson and Merton (1981) models are applied. To investigate persistence in the performance of Chinese equity funds, all equity funds are divided, on the basis of performance in the past 12 months, into three equally weighted groups (high, middle and low) and then observed for next 12 months. After that, groups are again rebalanced according to their performance. This study uses a panel regression model for analysis. Findings Chinese equity funds are successful in providing higher than market returns, and fund managers possess positive market timing ability. The authors find that Chinese equity funds do not show persistence in performance as witnessed in developed markets. Well-performing funds (worst funds) of last year do not continue to provide higher (lower) return in the following year. Moreover, the authors detect positive relationship of fund size, age and expense ratio with the fund’s performance. Overall results suggest that emerging market equity funds show better performance than that of developed markets. Practical implications Investors are better off if they invest in equity funds instead of index funds, as results illustrate that equity funds outperformed the market. Further, the strategy of buying well-performing funds of last year and selling poorly performing funds of last year does not look very attractive in China. This study helps investors to understand the Chinese managed funds industry, and such an understanding is also helpful for fund managers and asset management companies who use performance information in marketing strategies. Originality/value This is the first study to investigate the performance persistence in Chinese equity funds and also contributes to the literature about the performance and market timing ability of equity funds. The study takes the sample of 520 equity funds for the period from 2004 to 2014, which includes a period of financial crisis of 2008.

scholarly journals The impact of contingency fit on organisational performance: an empirical study

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Abdallah Amhalhal ◽  
John Anchor ◽  
Nicoleta S. Tipi ◽  
Sara Elgazzar
Keyword(s):  
Information Technology ◽  
Performance Measurement ◽  
Performance Measures ◽  
Business Strategy ◽  
Contingency Theory ◽  
Emerging Market ◽  
Performance Measurement System ◽  
Organisational Performance ◽  
Content Type ◽  
The Relationship

PurposeThe research investigates the effectiveness of the performance measurement alignment approach which claims that measurement diversity (multiple performance measures) should be aligned with organisational contingencies to enhance organisational performance.Design/methodology/approachThe theoretical framework is contingency theory. The study is an empirical investigation of the indirect relationship between three contextual factors (business strategy, information technology and organisation size) and organisational performance via multiple performance measures. The results are derived from cross-sectional questionnaire survey data from 132 Libyan companies (response rate of 61%). For data analysis, the research uses mediation regression analysis via Preacher and Hayes' (2004) macro.FindingsThere is a significant indirect effect of business strategy and information technology, but not organisation size, on organisational performance. The measurement diversity approach plays a core mediating role in the relationship between the contingencies and organisational performance.Practical implicationsThe study helps to provide a better understanding of the usefulness of the fit/match between contingencies and Multiple Performance Measures in improving organisational performance.Originality/valueThe empirical evidence supports the central proposition of contingency theory that there is no universally appropriate performance measurement system which applies equally to all organisations in all circumstances. It also provides evidence relating to non–manufacturing and an emerging market context. This research significantly extends the relevant literature by highlighting the relationship between information technology, multiple performance measures and organisational performance. This study is the first to use Preacher and Hayes' (2004) macro to analyse mediation design in the field of contingency-based performance measurement.

Determinants of corporate social responsibility disclosure of banking sector in Pakistan

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Rizwan Ali ◽  
Ramiz Ur Rehman ◽  
Madiha Kanwal ◽  
Muhammad Akram Naseem ◽  
Muhammad Ishfaq Ahmad
Keyword(s):  
Corporate Social Responsibility ◽  
Social Responsibility ◽  
Performance Measures ◽  
Emerging Market ◽  
Panel Data Analysis ◽  
Board Size ◽  
Content Type ◽  
And Performance ◽  
Csr Disclosure ◽  
Corporate Social

Purpose This study aims to examine the key determinants of corporate social responsibility (CSR) disclosure of all listed banks that operate their function in an emerging market, Pakistan. Design/methodology/approach This study applied the principles of systems-oriented theories such as legitimacy, stakeholder and agency theory. The hypothesis is linking the bank’s social disclosure and its determinants are developed. The relevant data was gathered from the bank’s annual reports and Pakistan Stock Exchange from 2008 to 2018. Further, governance attributes and performance measures are used as the predictor variable and the CSR score as the predicted variable. This study applied panel data analysis on the sampled banks to examine the proposed hypothesis for empirical estimation. Findings This study’s inclusive results confirm that the hypothesized determinants of board size, foreign directors on board and female directors on board positively impact the CSR disclosure potential. Board size significantly explains the CSR disclosure in all bank samples. The determined performance measures, profitability and liquidity show a significant positive relationship with CSR disclosure except for few exceptions. Research limitations/implications This study’s results lack generalizability due to its unique setting; future researchers can extend the research scope in national–international settings and a regional context. Practical implications This study enriches the literature on CSR disclosure determinants and is relevant to practice in an emerging context. It can be helpful from a policy perspective; institutions (bodies) that regulate banks should recognize the governance and performance aspects essential to enhancing CSR disclosure and enhancing the bank’s performance hence value. Originality/value This research offers empirical evidence that sheds light on the key governance attributes and performance measures that partially affect CSR disclosure and its extent. In doing so, this study’s findings contribute to the literature significantly, along with regulators, shareholders, deposit holders, individual–institutional investors.

Sign in / Sign up

Export Citation Format

Share Document