Comparing nexus of ranking among mutual fund categories and families of performance measures at investment policy level

2020 ◽  
Vol 07 (02) ◽  
pp. 2050021
Author(s):  
Wajid Shakeel Ahmed ◽  
Jibran Sheikh ◽  
Adil Tahir Paracha
Keyword(s):  
Mutual Funds ◽  
Performance Measures ◽  
Mutual Fund ◽  
Rank Order ◽  
Sharpe Ratio ◽  
Investment Policy ◽  
Spearman Rank Order Correlation ◽  
Policy Level ◽  
Ranking Order ◽  
Normal Trend

The aim of the study covers, at first, the rank comparison drawn among mutual funds at categorical and investment policy level and secondly, among the selected three families of performance measures against famous Sharpe ratio. The Spearman rank order correlation and mean rank order approach have been used for this purpose. The major findings of the study reveal that the most of the performance measures have shown a similar ranking order of mutual funds, at the investment policy level, against the standard measure i.e., Sharpe ratio. However, funds that have shown a non-normal trend, led to misspecification syndrome.

scholarly journals Mutual fund Performance in Nepalese Mutual fund units: An analysis of Monthly Returns

2017 ◽  
Vol 3 (2) ◽  
pp. 92-100
Author(s):  
Rajan Bilas Bajracharya
Keyword(s):  
Mutual Funds ◽  
Performance Measures ◽  
Mutual Fund ◽  
Statistical Models ◽  
Stock Exchange ◽  
Academic Research ◽  
Fund Performance ◽  
Sharpe Ratio ◽  
Mutual Fund Performance ◽  
Small Market

Mutual funds dwell in a small market in Nepal. Around seven mutual funds listed in the Nepal stock exchange trade (NEPSE). This paper focused on evaluating the performance of five mutual funds of NEPSE on the basis of monthly returns compared to benchmark return. Risk adjusted performance measures suggested by Jenson, Treynor, Sharpe and statistical models are employed. It is found that, most of the mutual funds have performed better according to Jenson and Treynor measures but not up to the benchmark on the basis of Sharpe ratio. However, few mutual funds are well diversified and have reduced its unique risk.  Journal of Advanced Academic Research Vol. 3, No. 2, 2016, Page: 92-100

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 Kinerja Reksa Dana Saham Dengan Menggunakan Metode Sharpe, Trenyor Dan Jensen Pada Periode Januari 2014 Sampai Desember 2015

2019 ◽  
Vol 2 (2) ◽  
Author(s):  
Methirana Dan Indra Widjaja
Keyword(s):  
Data Collection ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Return On Investment ◽  
Research Method ◽  
Stock Exchange ◽  
Investment Policy ◽  
Objective Performance ◽  
Equity Funds ◽  
Investment Manager

The purpose of the research is to analyze the types of equity funds in the stock market and analyze the performance of the funds equity method using sharpe, trenyor methods, and methods of jensen. The research method used is the method of data collection and processing of data by calculation in accordance with methods of sharpe, treynor method and methods of jensen. Method of data collection is composed of effective data from the website of the stock exchange. Calculation method consists of a method of sharpe, treynor method, and methods of jensen. The benefits of this comparison can give you an idea about the objective performance of mutual funds in Indonesia as one of the considerations for investors and potential investors in choosing the best mutual fund, and to an investment manager with the research expected to provide knowledge about the Investment Manager on the performance that they do. In addition to knowing the competition industry mutual funds in Indonesia so as to provide a reference for an investment manager as a determinant of investment policy to increase the return on investment and minimize risk. As well as for the community Provide knowledge and information on the performance of mutual funds in Indonesia.

Manipulation and performance persistence: an examination of Iranian equity mutual fund performance

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mahsa Hosseini ◽  
Mohammad Khodaei Valahzaghard ◽  
Ali Saeedi
Keyword(s):  
Mutual Funds ◽  
Performance Measures ◽  
Mutual Fund ◽  
Performance Measure ◽  
Performance Persistence ◽  
Content Type ◽  
Lower Tertile ◽  
Time Horizons ◽  
Equity Mutual Funds ◽  
And Performance

Purpose This paper aims to study manipulation and performance persistence in equity mutual funds. To this end, Manipulation-Proof Performance Measure (MPPM) and Doubt Ratio, along with a number of current performance measures are used to evaluate the performance of equity mutual funds in Iran. Design/methodology/approach The authors investigate performance manipulation by 1) comparing the results of the MPPM with the current performance measures, 2) checking the Doubt Ratio to detect suspicious funds. Additionally, the authors investigate performance persistence by forming and evaluating portfolios of the equity mutual funds at several time horizons. Findings The authors conclude that there is no evidence of performance manipulation in the equity mutual funds. Additionally, when comparing the performance of the upper (top) tertile portfolios and the lower tertile portfolios, in all of the studied 1, 3, 6 and 12-month horizons, the authors find performance persistence in the equity mutual funds. Originality/value To the best of the authors’ knowledge, this research is the first study to investigate the performance manipulation in the Iranian equity mutual funds, and also is the first study in Iran that uses the MPPM and the Doubt Ratio in addition to a number of current performance measures to investigate the performance persistence in the equity mutual funds at several time horizons.

scholarly journals Conventional Versus Sharia Money Market Mutual Funds: Which Performs Better During the Covid-19 Pandemic?

2021 ◽  
Vol 2 (3) ◽  
pp. 35-40
Author(s):  
Dina Yeni Martia ◽  
Muhammad Rois ◽  
Muliasari ◽  
Latifah Risqiana ◽  
Noverdi Radja Dwilega
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Secondary Data ◽  
Money Market ◽  
Sharpe Ratio ◽  
Comparison Approach ◽  
Significant Difference ◽  
Asset Value ◽  
Money Market Mutual Funds ◽  
Better Than

This study aims to determine whether conventional money market mutual funds perform better than sharia money market mutual funds or vice versa during the COVID-19 pandemic in Indonesia. This research method is descriptive with a quantitative comparison approach. This study employed secondary data obtained from IDX, Indonesian Bank, and Pasar Dana website.  The research employed the money market mutual funds data, Net Asset Value, BI 7 Days Repo rate during year 2020. Sharpe ratio utilized in this research to determine the money market mutual funds performance. Then, the result compared by using Independent sample T-test on SPSS. The result uncovers that in general the performance of conventional money market mutual funds performance superior the sharia money market mutual funds performance during covid-19 in Indonesia. However, both mutual funds average Sharpe ratio show the negative number during 2020. Moreover, there are no significant difference between conventional and sharia money market mutual funds returns during the period 2020. The high different return on the maximum return due to some conventional mutual fund perform exceptional during 2020.

scholarly journals INVESTMENT OBJECTIVES AND FACTORS THAT INFLUENCE THE DISAPPEARANCE OF SPANISH MUTUAL FUNDS

2020 ◽  
Vol 21 (1) ◽  
pp. 255-276
Author(s):  
M. Glòria Barberà-Mariné ◽  
Laura Fabregat-Aibar ◽  
Antonio Terceño
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Cox Model ◽  
Sharpe Ratio ◽  
Return Volatility ◽  
Kaplan Meier ◽  
Survival Capacity ◽  
Fund Families ◽  
The Impact

This paper analyses which variables influence the disappearance of mutual funds in the Spanish market and whether these variables vary depending on the investment objectives. The following variables are tested: age, size, investment flows, return, volatility, Sharpe ratio, Morningstar rating, and fund family. The Kaplan-Meier estimator and an extension of the Cox model, the Andersen-Gill model are used and the results indicate that the impact of some variables on survival capacity is different depending on the fund’s investment objectives. The originality of this article is twofold. The analysis of disappearance takes the investment objectives of the mutual funds into account and a new variable, the Morningstar rating, is introduced. Moreover, no previous study examines survival capacity in the Spanish market according to different investment objectives. In Spain, mutual funds are highly concentrated because most of them are in the hands of a small number of banks who also control the country’s largest fund families. This characteristic not only makes the Spanish market an interesting one for analysis, but it also means that the results of this paper are significant for mutual fund investors.

scholarly journals THE EVALUATION OF MUTUAL FUND PERFORMANCE IN LITHUANIA CONSIDERING RISK AND TIMING ABILITY / LIETUVOS INVESTICINIŲ FONDŲ VEIKLOS VERTINIMAS, ATSIŽVELGIANT Į RIZIKĄ IR SAVALAIKIŠKUMĄ

2011 ◽  
Vol 3 (4) ◽  
pp. 5-12 ◽  
Author(s):  
Irma Gavrilova
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Performance ◽  
Sharpe Ratio ◽  
Mutual Fund Performance ◽  
Specific Knowledge ◽  
Fund Managers ◽  
Investment Return ◽  
Timing Ability

Over the last decade, Lithuania has witnessed a growing interest in investment promoted by the need to successfully manage available funds. Direct investments (e. g. buying and selling stocks) require a specific knowledge of investment instruments. Therefore, an ordinary investor finds investment in mutual funds easier and cheaper. Usually the most important questions to the investor include measuring the results of a fund and the quality of the actions performed by the fund managers. The article evaluates the rates of mutual fund performance and identifies their shortages. The methods for evaluating investment return according to the level of risk and timing ability of the fund managers are presented using the Sharpe ratio and Treynor-Mazuy model on the basis of which mutual funds in Lithuania are analyzed. Santrauka Paskutinįjį dešimtmetį Lietuvoje pastebimas žmonių susidomėjimo investavimu augimas – tai skatina poreikis sėkmingai „įdarbinti“ turimas laisvas lėšas. Investuoti tiesiogiai (perkant atskirų įmonių akcijas ir pan.) daug kam yra pernelyg sudėtinga (reikia specialių žinių apie įvairius investavimo objektus, gilios rinkos analizės), be to, dažnai tiesiogiai investuoti yra gana brangu, todėl ne vienas žmogus pasirenka sprendimą – investuoti į fondus. Fondų dalyviams aktualiausia, kaip tinkamai vertinti fondų rezultatus. Straipsnyje identifikuojami investicinių fondų valdymo įmonių naudojami veiklos vertinimo rodikliai bei jų trūkumai. Pateikiamas investicinių fondų veiklos vertinimo, atsižvelgiant į riziką ir savalaikiškumą, metodas naudojant Šarpo bei Treynoro ir Mazuy rodiklius. Remiantis rodikliais atlikta Lietuvos investicinių fondų grąžos bei fondų valdytojų efektyvumo analizė.

Saving green while going green

2019 ◽  
Vol 45 (1) ◽  
pp. 21-35
Author(s):  
C. Edward Chang ◽  
Thomas M. Krueger ◽  
H. Doug Witte
Keyword(s):  
Mutual Funds ◽  
Performance Measures ◽  
Mutual Fund ◽  
Research Question ◽  
Turnover Rates ◽  
Operating Characteristics ◽  
Socially Responsible ◽  
Content Type ◽  
Responsible Investing ◽  
And Performance

Purpose The purpose of this paper is to examine the operating characteristics as well as risk and performance measures of all available self-proclaimed socially responsible funds (hereafter SRFs) in the USA over the ten-year (2007–2016) period. The first research question addressed is: Do SRFs perform as well as the average of all mutual funds in their respective categories? The second research question addressed is: Are SRF expense ratios correlated with fund performance? Design/methodology/approach This study analyzes all socially responsible equity mutual funds, as self-reported to Morningstar. This paper empirically compares operating characteristics and performance measures of SRFs relative to category averages in the US mutual fund industry. Operating characteristics include expense ratios and annual turnover rates. Performance measures include conventional return, risk and risk-adjusted return measures. Findings Although prior research suggests that socially responsible investing (SRI) indexes and SRI-friendly stocks have favorable returns, this study finds that these self-proclaimed SRFs underperform the average of all mutual funds in matched equity categories. However, this study demonstrates that a simple filter based on expense ratios can identify those SRFs that will enable investors to do quite well while doing good. Originality/value The contribution of this paper is twofold. First, the authors report that self-proclaimed SRFs, as a whole, have not generated competitive returns relative to other mutual funds in the same categories over the past ten years. This result contradicts the notion that socially responsible investors do not give up return performance when investing with their conscience. Second, the authors find that those SRFs with expense ratios in the lowest quartile of their respective category have significantly higher risk-adjusted returns and significantly lower turnover than category averages. Thus, by focusing on SRFs with low-expense ratios, socially responsible investors can do quite well while doing good.

The Performance of CSR Mutual Funds and Investment Decision-Making

2016 ◽  
Vol 1 (2) ◽  
pp. 229
Author(s):  
Jen-Der Day ◽  
Thuy Mai Trinh Nguyen ◽  
Chia Nan Wang ◽  
George Yungchih Wang
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Investment Decision ◽  
Statistical Significance ◽  
Forecast Accuracy ◽  
Sharpe Ratio ◽  
Decision Table ◽  
Information Ratio ◽  
Investment Funds ◽  
Investment Decision Making

<p>Nowaday, Corporate Socially Responsible (CSR) mutual funds are becoming a popular investment option for investors. However, no any research confirms whether CSR Mutual fund activity is better than market index or not. Besides, we should have one method can help con sequently investors in making the decision to select appropriate investment funds. In this study, we measure the financial performance of a sample of 15 CSR mutual funds in the world, with the monthly return over the period 2008-2013, then we propose the dession table. We first use the measures to evaluate the performance of mutual funds such as Alpha (α), Sharpe Ratio (SR), and Information Ratio (IR). And then, we use the obtained decision table to evaluate the predictability by each measure. The results indicate that only 3 of the 15 CSR mutual funds achieve good performance results based on the statistical significance of the two measures Sharpe Ratio and Information Ratio. In addition, the IR is suggested to evaluate and make investment decisions in the future and it also is the best one among the three measures. The decision table suggest investors a measure forecast accuracy way.</p>

New continuum of stochastic static forecasting model for mutual funds at investment policy level

2020 ◽  
Vol 132 ◽  
pp. 109562
Author(s):  
Wajid Shakeel Ahmed ◽  
Jibran Sheikh ◽  
Kashif Ur-Rehman ◽  
khuram Shafi ◽  
Shafqat Ali Shad ◽  
...  
Keyword(s):  
Mutual Funds ◽  
Investment Policy ◽  
Forecasting Model ◽  
Policy Level
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