scholarly journals Portfolio Optimization of Equity Mutual Funds—Malaysian Case Study

2010 ◽  
Vol 2010 ◽  
pp. 1-7 ◽  
Author(s):  
Adem Kılıçman ◽  
Jaisree Sivalingam
Keyword(s):  
Cluster Analysis ◽  
Mutual Funds ◽  
Financial Market ◽  
Asset Allocation ◽  
Fuzzy Numbers ◽  
Triangular Fuzzy Numbers ◽  
Return Rates ◽  
Confidence Levels ◽  
Equity Mutual Funds

We focus on the equity mutual funds offered by three Malaysian banks, namely Public Bank Berhad, CIMB, and Malayan Banking Berhad. The equity mutual funds or equity trust is grouped into four clusters based on their characteristics and categorized as inferior, stable, good performing, and aggressive funds based on their return rates, variance and treynor index. Based on the cluster analysis, the return rates and variance of clusters are represented as triangular fuzzy numbers in order to reflect the uncertainty of financial market. To find the optimal asset allocation in each cluster we develop a hybrid model of optimization and fuzzy based on return rates, variance. This was done by maximizing the fuzzy return for a tolerable fuzzy risk and minimizing the fuzzy risk for a desirable fuzzy return separately at different confidence levels.

Determinants of return rates of Russian equity and bond mutual funds: Active investment strategies and commissions

2020 ◽  
pp. 40-60
Author(s):  
T. V. Teplova ◽  
T. V. Sokolova ◽  
A. Fasano ◽  
V. A. Rodina
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Management Style ◽  
Active Management ◽  
Investment Strategies ◽  
Russian Market ◽  
Return Rates ◽  
Equity Mutual Funds ◽  
Bond Mutual Funds ◽  
First Time

In our paper, we study the impact of active investment strategies and factors of their success in the Russian market of collective investment — self-confidence of managers, commissions of management companies (MC) — on return rates of mutual funds. For the first time, not only equity mutual funds, but also bond mutual funds are considered as an object of study; the time period is since 2012. Our study is based on data on the structure of mutual fund portfolios provided by Investfunds. We propose a number of original indicators of an active management style and consider the profitability of mutual funds relative to various benchmarks. Based on testing of multivariate regression models, it has been revealed that the return rate of equity mutual funds is negatively affected by a share of stocks in the fund portfolio which are not included in the market index. When managers take into account their previous negative investment experience, it contributes to the growth of mutual fund return rates. Active investment strategies correlate with increased commissions (up to 4.5% of NAV), but they do not allow an investor to receive higher return rates than index investments. An increase in the share of corporate bonds allows the fund manager to outperform benchmarks for bond funds. For the first time, a nonlinear relationship between the size of mutual funds and the value of commissions has been revealed for the Russian market.

Asset allocation strategy to create superior portfolio from equity mutual funds

2018 ◽  
Vol 11 (3) ◽  
pp. 243
Author(s):  
Sylviana Maya Damayanti ◽  
Isrochmani Murtaqi ◽  
Rudy Bekti ◽  
Anggoro Budi Nugroho
Keyword(s):  
Mutual Funds ◽  
Asset Allocation ◽  
Allocation Strategy ◽  
Equity Mutual Funds

scholarly journals Proxy advisory industry in India

2016 ◽  
Vol 13 (2) ◽  
pp. 371-378 ◽  
Author(s):  
Shanmugasundaram Subramanian
Keyword(s):  
Corporate Governance ◽  
Mutual Funds ◽  
Financial Market ◽  
Ownership Structure ◽  
Institutional Investors ◽  
Case Study Method ◽  
The Status ◽  
History Of ◽  
New Research

Proxy advisory firms play a significant role in shareholder voting and in the formulation of corporate governance policy. This paper analyses the status of budding proxy advisory industry in India using a case study method. The paper first traces the history of the global proxy advisory industry and also reviews the literature. Then we study the Indian Proxy Advisory Industry, which was born when the market regulator SEBI came out with a regulation in 2010 on “mutual funds” shareholding resolution voting policy. Quickly, three proxy advisory firms came to the market with differing ownership structure. Indian financial market offered great potential for investment through institutional investors. However the institutional investors in India are traditionally restrained them from taking activist role by voting on the shareholder meeting proposals. This poses a challenge to Indian proxy advisory firms along with other challenges typical of an emerging industry. The proxy advisory firms need to overcome the challenges to ensure their success. This pioneering work on Indian proxy advisory industry would open up new research ideas

scholarly journals Comparative Analysis of Islamic and Conventional Mutual Funds’ Performance during Financial Crisis and Non-crisis Periods in Pakistan

2018 ◽  
Vol 7 (2) ◽  
pp. 63-80
Author(s):  
Imran Ahmed ◽  
Danish Ahmed Siddiqui
Keyword(s):  
Financial Crisis ◽  
Mutual Funds ◽  
Asset Allocation ◽  
Arithmetic Mean ◽  
Simple Arithmetic ◽  
Macroeconomic Variables ◽  
Risk Return ◽  
Equity Mutual Funds ◽  
Significant Difference ◽  
Period Performance

This study aims to analyze and investigates the differences in performance of Islamic and conventional mutual funds in three periods, namely the period during the financial crisis period, dated 2008 to 2009, after crises period 2010 to 2017, and the whole period, dated from 2007 to 2017. More specifically the study aims to investigate whether the Shariah compliant Equity, Income and Assets Allocation Mutual funds performed better in terms of risk adjusted basis as compared to the conventional Equity, Income and asset allocation mutual funds. The risk return behaviors were examined by employing performance measures such as Sharpe, Treynor, and Jensen Alpha. Moreover, their performance in coping of systematic risk is also analyzed by regressing macroeconomic variables on returns. Study concluded that Conventional Income mutual funds perform better in all three periods including (crises and non-crises) compare to its counterpart Islamic income mutual funds in both risks adjusted basis and simple arithmetic mean basis, however their difference is not statistically significant. Study also found that Islamic equity mutual funds perform better in crises period as compare to its conventional equity mutual funds in risk adjusted basis In crises period both funds gave negative return, but Islamic equity mutual funds declined less than conventional mutual funds which shows that Islamic mutual funds provide better hedging in crises period., however there were no significant difference among the two in the other two periods. Similarly, Assets Allocation funds also have no significant difference among themselves, however Islamic asset allocation mutual funds outperform conventional asset allocation mutual funds in all three periods, especially in crises period where Islamic funds showing positive returns as compared to conventional fund that were suffering in loss of about 14%. Overall the whole period performance of Islamic mutual funds is slightly better but not statically difference.

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