scholarly journals Impact of COVID-19 on the performance of emerging market mutual funds: evidence from India

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Muhammad Sali Maheen
Keyword(s):  
Mutual Funds ◽  
Instrumental Variables ◽  
Mutual Fund ◽  
Emerging Market ◽  
Fixed Effect ◽  
Gmm Estimator ◽  
Equity Mutual Funds ◽  
Investment Opportunities ◽  
Major Implication ◽  
Managed Funds

AbstractThe purpose of this paper is to examine the widely believed beating capacity of actively managed funds during the market downturn. This popular hypothesis has been tested with the performance of Indian Equity Mutual Funds during the pandemic period. The conditional alphas are estimated using lagged instrumental variables with the fixed effect/LSDV estimator and the sys-GMM estimator in contrast to the OLS estimation from a sample of 1271 schemes for 5 months from 1st March 2020 to 31st July 2020. The study’s findings indicate that the actively managed Indian mutual fund co-moves with the market and does not possess the ability to beat the market. The major implication comes from the application of fixed effect and GMM estimators for the performance evaluation of Indian Mutual Funds’ during the crisis period, and it serves the investors in deciding the profitable investment opportunities.

An Empirical Study on the Performance of Select Large Cap Equity Mutual Funds in India

2015 ◽  
Vol 2 (1) ◽  
Author(s):  
Samyabrata Das
Keyword(s):  
Mutual Funds ◽  
Asset Management ◽  
Mutual Fund ◽  
Human Element ◽  
Risk Return ◽  
Equity Mutual Funds ◽  
Equity Funds ◽  
Managed Funds ◽  
Opening Up ◽  
Fund Return

Since the opening up of the economy in the early 1990s, Indian mutual fund industry has witnessed fabulous quantitative growth. Funds which invest a larger proportion of their corpus in companies with large market capitalization are called large cap funds. Actively managed funds make use of a human element, such as a single manager, comanagers or a team of managers, to actively manage a fund's portfolio. The main objective of the study is to analyse the performance of select actively managed large cap equity funds in the line of risk-return parameters. This study is based on fourteen funds from twelve Asset Management Companies. All the funds are ranked under seven performance measures, namely, fund return, fund standard deviation, Sharpe Ratio, Treynor Ratio, return from systematic investment plan (SIP), Jensen Alpha, and RSQ, for five different time periods of 1-year, 3-year, 5-year, 7-year, and 10-year.

scholarly journals ANALYSIS OF THE PERFORMANCE OF INDONESIAN MUTUAL STOCK FUNDS USING SHARPE, TREYNOR, JENSEN AND M2 METHOD PERIOD 2010 – 2019

2021 ◽  
Vol 2 (1) ◽  
pp. 1-9
Author(s):  
Andreas Andreas ◽  
Sautma Ronni Basana
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Market Performance ◽  
Composite Index ◽  
Equity Mutual Funds ◽  
Equity Funds

This study examines the performance of equity mutual funds using Sharpe, Treynor, Jensen, and M2. The sample used in this study is 57 stock mutual funds in 2015 – 2019 and 29 stock mutual funds in 2010 – 2019. The performance of stock mutual funds will be compared with LQ – 45 and IHSG to find out whether they underperform or outperform on market performance. The results showed that when seen in years 2015 - 2019 with the benchmark LQ - 45, 11 equity funds outperformed by using Sharpe, Treynor, and M2, and 12 mutual funds stocks outperformed by using a Jensen. Using the Composite Index as the benchmark, it is found that four equity funds outperformed by using Sharpe, M2, and 5 equity funds outperformed by using Treynor and Jensen from 57 samples of mutual fund shares. From the performance of the year 2010 - 2019, it is found that the 10 equity funds outperformed by using Sharpe and M2, and 15 equity funds outperformed by using Treynor and Jensen with LQ – 45 as the benchmark. The Composite Index found that 0 of stock mutual funds outperformed by using Sharpe and M2, while 3 mutual funds outperformed using Treynor and 2 mutual funds outperformed using Jensen from 29 stock mutual funds samples.

scholarly journals MANAGERIAL ABILITIES AND FACTOR INVESTMENT STYLE PERFORMANCES OF MALAYSIAN MUTUAL FUND MANAGERS

2021 ◽  
Vol 6 (1) ◽  
pp. 118-135
Author(s):  
Pick-Soon Ling ◽  
Ruzita Abdul-Rahim
Keyword(s):  
Mutual Funds ◽  
Portfolio Management ◽  
Mutual Fund ◽  
Market Timing ◽  
Stock Selection ◽  
Investment Style ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Timing Ability ◽  
Stock Picking

Background and Purpose: Studies focusing on mutual fund managerial abilities and investment style strategies are still scarce in the literature. Thus, this study aims to provide new evidence and insights into the managerial abilities and investment style performances of Malaysian fund managers.   Methodology: A total of 444 Malaysian equity mutual funds (EMFs) were evaluated using Carhart’s model incorporated with Treynor-Mazuy (T-M) and Henriksson-Merton (H-M) market timing models for the study period, from January 1995 to December 2017.   Findings: Fund managers displayed superior stock selection skills with 32 percent and 43 percent of funds for T-M and H-M respectively, with perverse market timing ability which accounted for 39 percent and 42 percent of funds for T-M and H-M respectively. Perverse timing ability had reduced the superior stock-picking skills of fund managers. This suggests that the EMFs performance could further improve if respective fund managers perform better in market timing ability. The finding also indicates that size effect (SMB) and value effect (HML) play significant roles in investment style strategies, while results of momentum factor (WML) propose that Malaysian fund managers have followed the contrarian strategy.   Contributions: This study contributes in several ways especially in the literature of portfolio management as the evidence is obtained from the largest mutual funds sample size and the longest study period. Moreover, this study also used the highest frequency data to study the effects of market timing which were overlooked in previous studies.   Keywords: Adjusted carhart, Malaysian market, market timing, mutual fund, stock selection.   Cite as: Ling, P-S., & Abdul-Rahim, R. (2021). Managerial abilities and factor investment style performances of Malaysian mutual funds.  Journal of Nusantara Studies, 6(1), 118-135. http://dx.doi.org/10.24200/jonus.vol6iss1pp118-135

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.

scholarly journals Do actively managed funds perform better than index funds? A test in the Canadian market

2016 ◽  
pp. 163 ◽  
Author(s):  
C. Alteen ◽  
Veit Wohlgemuth
Keyword(s):  
Mutual Funds ◽  
Low Cost ◽  
Cost Index ◽  
Index Funds ◽  
Equity Mutual Funds ◽  
The Us ◽  
Canadian Market ◽  
Managed Funds ◽  
Index Investing

Actuality of the study: Mutual funds are a favourite investment product among many investors. They provide a simple means of diversification, especially for those with smaller amounts of capital, and the popularity of mutual funds has increased with the success of the marketing efforts behind them.Purpose: This study evaluates the performance of actively managed and index mutual funds within the Canadian equities market.Findings: As index investing has increased in popularity, and other markets have become more connected and open, there is a need for research on equity mutual funds in countries outside the US.Originality / Value: The majority of previous research on index funds and actively managed mutual funds is focused on the US market and related indexes such as the S&P 500.Practical implications: This study suggests that, on average, active funds in Canada fail to beat their benchmarks net (but not gross) of the common fee or management expense ratio. Surprisingly, this research finds no positive relationship between higher fees and better gross performance. Actively managed funds also have poorer performance over the long term. This study finds that investors would be better off purchasing low cost index funds as they provide a more secure return.Future research: This study endorses research on other markets with inclusion of additional variables in order to explain gross performance and secure returns.

scholarly journals Exchange-traded funds as an alternative investment option

2019 ◽  
pp. 7-37
Author(s):  
António Afonso ◽  
Pedro Cardoso
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Exchange Traded Funds ◽  
Price Efficiency ◽  
Index Funds ◽  
Equity Mutual Funds ◽  
Asset Value ◽  
Net Asset Value ◽  
Tracking Ability ◽  
Investment Option

We conduct an analysis of Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark during the 2010-2015 period for the Portuguese fund industry. For the period 2010-2017, we test ETFs for price inefficiency (existence of deviations between prices and the Net Asset Value) and persistence. We find that the studied ETF does not always outperform index funds in replicating the variations of the PSI 20 index, despite exhibiting better tracking ability when facing downside deviations of the benchmark and a better capacity of smoothing tracking deviations. Regarding ETFs price efficiency and its persistence, the study reveals that the examined ETF is priced at a low average discount with evidence of deviations persistence of at least two days. The investment schemes with the highest ability to track the PSI 20 Index were PSI20 (ETF), BBVA PPA Índice PSI20, and the equity mutual fund BPI Portugal.

scholarly journals Sub-Par Performance In A Sub-Prime World? A Recent Comparative Performance Analysis Of Real Estate Mutual Funds Vs. Common Stock Mutual Funds

2011 ◽  
Vol 7 (8) ◽  
Author(s):  
James L. Kuhle ◽  
Rafiqul Bhuyan
Keyword(s):  
Real Estate ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Font Size ◽  
Comparative Performance ◽  
Mutual Fund Managers ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Real Estate Investments ◽  
Real Estate Assets

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-family: Times New Roman;"><span style="font-size: 10pt; mso-bidi-font-style: italic;">Historically, </span><span style="font-size: 10pt; mso-bidi-font-style: italic; mso-ansi-language: EN;" lang="EN">little evidence has been found to suggest that real estate investments exhibit superior returns. Further, it appears that real estate mutual fund managers do not possess the ability to consistently beat benchmark averages. However, there have been mixed results for REITs indicating they might be characterized by inefficiencies that could be exploited by informed fund managers. In this analysis, we examine whether mutual fund managers who have concentrated in real estate assets have statistically outperformed other categories of equity mutual funds as well as the S&amp;P 500 and various NAREIT Indexes. </span></span></p>

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