scholarly journals Manager Tenure - Real Estate Mutual Fund (REMF) Versus Equity Mutual Fund Performance

2012 ◽  
Vol 11 (1) ◽  
pp. 17
Author(s):  
James L. Kuhle
Keyword(s):  
Real Estate ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Performance ◽  
Font Size ◽  
Mutual Fund Managers ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Overall Performance ◽  
Real Estate Assets

<span style="font-family: Times New Roman; font-size: small;"> </span><p style="margin: 0in 0.5in 0pt; text-align: justify; mso-pagination: none;" class="MsoNormal"><span style="font-size: 10pt; mso-bidi-font-style: italic;"><span style="font-family: Times New Roman;">Historically, mixed evidence has been reported suggesting that mutual fund managers exhibit superior returns based on the length of their tenure.<span style="mso-spacerun: yes;"> </span>Further, the result of tenure performance for real estate mutual fund managers has been reported with mixed results.<span style="mso-spacerun: yes;"> </span>Therefore, it is the purpose of this research to consider the effect of management tenure on the overall performance of various classes of equity mutual funds, including those funds that invest exclusively in real estate assets. These results are studied over periods of three, five, and ten-year manager tenure to determine if there is significantly better performance among various tenure groups. </span></span></p><span style="font-family: Times New Roman; font-size: small;"> </span>

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>

Do Mutual Funds Perform When It Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions

2011 ◽  
Vol 01 (03) ◽  
pp. 607-664 ◽  
Author(s):  
Robert Kosowski
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Regime Switching ◽  
Factor Model ◽  
Marginal Utility ◽  
Value Added ◽  
Fund Performance ◽  
Fund Managers ◽  
Switching Performance ◽  
Equity Mutual Funds

This paper shows that the stylized fact of average mutual fund underperformance documented in the literature stems from expansion periods when funds have statistically significant negative risk-adjusted performance and not recession periods when risk-adjusted fund performance is positive. These results imply that traditional unconditional performance measures understate the value added by active mutual fund managers in recessions, when investors' marginal utility of wealth is high. The risk-adjusted performance (or alpha) difference between recession and expansion periods is statistically and economically significant at 3% to 5% per year. Our findings are based on a novel multi-variate conditional regime-switching performance methodology used to carry out one of the most comprehensive examinations of the performance of US domestic equity mutual funds in recessions and expansions from 1962 to 2005. The findings are robust to the choice of the factor model (including bond and liquidity factor extensions), the use of NBER business cycle dates, fund load, turnover, expenses and percentage of equity holdings.

Dynamic Liquidity Preferences of Mutual Funds

2020 ◽  
Vol 10 (04) ◽  
pp. 2050018
Author(s):  
Jiekun Huang
Keyword(s):  
Mutual Funds ◽  
Dynamic Behavior ◽  
Mutual Fund ◽  
Market Volatility ◽  
Cross Sectional ◽  
Mutual Fund Managers ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Large Panel ◽  
Dynamic Preferences

This paper examines the relation between expected market volatility and open-end mutual funds’ liquidity preferences. Using a large panel of actively managed U.S. equity mutual funds, I show that mutual fund managers hold more cash and tilt their holdings more heavily towards liquid stocks during periods when expected market volatility is high. Cross-sectional tests suggest that the dynamic preferences for liquidity are driven by concerns over investor withdrawals during volatile times. Furthermore, I find evidence that this type of dynamic behavior leads to higher fund returns.

scholarly journals Market Timing and Selectivity: An Empirical Investigation of European Mutual Fund Performance

2018 ◽  
Vol 11 (2) ◽  
pp. 1 ◽  
Author(s):  
Luís Oliveira ◽  
Tomás Salen ◽  
José Dias Curto ◽  
Nuno Ferreira
Keyword(s):  
Mutual Fund ◽  
Market Timing ◽  
Management Strategies ◽  
Fund Performance ◽  
Active Management ◽  
Superior Performance ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Overall Performance ◽  
European Equity

Using the models proposed by (Treynor &amp; Mazuy, 1966; Henriksson &amp; Merton, 1981), the present study examines the selection and timing abilities of mutual fund managers to denote the practice of these strategies as a means to achieve superior performance. For the 163 European equity mutual funds that followed active management strategies between January 2000 and December 2016, there was no evidence that fund managers used market timing abilities to anticipate the market movements. However, the selectivity component of returns presents slightly positive results, despite the poor overall performance.

scholarly journals Regime-Switching Determinants of Mutual Fund Performance in South Africa

Economies ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 161
Author(s):  
Richard Apau ◽  
Peter Moores-Pitt ◽  
Paul-Francois Muzindutsi
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Regime Switching ◽  
Fund Performance ◽  
Market Conditions ◽  
Fund Managers ◽  
Fund Flow ◽  
Equity Mutual Funds ◽  
Systemic Factors ◽  
Fund Size

This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds from 2006 to 2019. From the results, fund flow and fund size exert more predictive influences on performance in the bearish state of the market than in the bullish state. Fund age, fund risk, and market risk were found to be the most significant factors driving the performance of active portfolios under time-varying conditions of the market. These variables exert more influence on fund performance under bearish conditions than under bullish conditions, emphasizing the flight-to-liquidity assets phenomenon and risk-aversion behavior of fund contributors during unstable conditions of the market. Consequently, fund managers need to maintain adequate asset bases while implementing policies that minimize dispersions in fund returns to engender persistence in performance. This study provides novel perspectives on how the determinants of fund performance change with market conditions as portrayed by the adaptive market hypothesis (AMH).

scholarly journals Is It Who You Know or What You Know? Evidence from IPO Allocations and Mutual Fund Performance

2018 ◽  
Vol 53 (6) ◽  
pp. 2491-2523 ◽  
Author(s):  
Chuan-Yang Hwang ◽  
Sheridan Titman ◽  
Yuxi Wang
Keyword(s):  
Mutual Funds ◽  
Initial Public Offerings ◽  
Mutual Fund ◽  
Abnormal Returns ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Mutual Fund Managers ◽  
Public Offerings ◽  
Fund Managers ◽  
Elite Universities

Mutual fund managers with degrees from elite universities tend to outperform their counterparts from less elite universities. We show that the better performance of elite graduates is generated from their better connections with underwriters that facilitate allocations to underpriced initial public offerings (IPOs). Indeed, we find that the funds outperformonlyin months when they are connected to underwriters issuing IPOs. A strategy of buying mutual funds in months when they are connected to underwriters scheduled to issue IPOs generates significant abnormal returns, as high as 4.08% per annum in hot markets.

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

Mutual Fund Performance Using Unconditional Multifactor Models: Evidence from India

2018 ◽  
Vol 17 (2_suppl) ◽  
pp. S157-S184 ◽  
Author(s):  
Pankaj K. Agarwal ◽  
H. K. Pradhan
Keyword(s):  
Mutual Fund ◽  
Developed Countries ◽  
Fund Performance ◽  
Superior Performance ◽  
Capital Asset Pricing ◽  
Multifactor Models ◽  
Asset Pricing Model ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Stock Picking

In contrast to developed countries, Indian capital markets do not exhibit strong efficiency and therefore it appears possible that fund managers beat the benchmarks. We examine the existence of superior performance of open-ended equity mutual funds in India with various models including traditional Capital Asset Pricing Model (CAPM)-based as well as recent Fama–French–Carhart (FFC)-factors-based models. We use a survivorship-bias free database including all schemes since inception till recently. We found evidence of stock picking and timing abilities in Indian fund managers. Our results are robust to changes in benchmarks, return frequency, and effects of heteroscedasticity and autocorrelation (HAC).

Style and Skill: Hedge Funds, Mutual Funds, and Momentum

2020 ◽  
Vol 66 (12) ◽  
pp. 5505-5531 ◽  
Author(s):  
Mark Grinblatt ◽  
Gergana Jostova ◽  
Lubomir Petrasek ◽  
Alexander Philipov
Keyword(s):  
Mutual Funds ◽  
Hedge Funds ◽  
Mutual Fund ◽  
Hedge Fund ◽  
Fund Performance ◽  
Short Sales ◽  
Fund Managers ◽  
Liquidity Provision ◽  
Stock Picking ◽  
Hedge Fund Performance

Classifying mandatory 13F stockholding filings by manager type reveals that hedge fund strategies are mostly contrarian, and mutual fund strategies are largely trend following. The only institutional performers—the two thirds of hedge fund managers that are contrarian—earn alpha of 2.4% per year. Contrarian hedge fund managers tend to trade profitably with all other manager types, especially when purchasing stocks from momentum-oriented hedge and mutual fund managers. Superior contrarian hedge fund performance exhibits persistence and stems from stock-picking ability rather than liquidity provision. Aggregate short sales further support these conclusions about the style and skill of various fund manager types. This paper was accepted by Tyler Shumway, finance.

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