scholarly journals Style Analysis: Asset Allocation & Performance Evaluation of Indonesian Equity Funds, April 2004 – March 2009

2014 ◽  
Vol 2 (2) ◽  
Author(s):  
Boniarga Mangiring ◽  
Zaafri Ananto Husodo
Keyword(s):  
Performance Evaluation ◽  
Asset Allocation ◽  
Style Analysis ◽  
Equity Funds

scholarly journals Style Analysis: Asset Allocation and Evaluation of Sharia Equity Fund Performance

2020 ◽  
Vol 8 (2) ◽  
pp. 46
Author(s):  
Opi Prisilia ◽  
Acong Dewantoro Marsono
Keyword(s):  
Asset Allocation ◽  
Investment Strategy ◽  
Style Analysis ◽  
Equity Fund ◽  
Actual Performance ◽  
Equity Funds ◽  
Asset Class ◽  
Characteristic Style ◽  
Almost All ◽  
Passive Strategy

The purpose of this research is to analyze the characteristic style of sharia equity funds such as asset allocation, investment strategy, and evaluation of its performance. The analysis technique used in this study is return based style analysis by observing ten asset class factor and eight of sharia equity funds in Indonesia. The results found that sharia equity fund in Indonesia allocates funds to the Sharia shares in almost all asset class factor with passive strategy, but the actual performance has not been able to outperform its style performance. Only one from eight Equity funds can outperform its style by using a more passive strategy compared to other equity funds. Its result indicates that almost all sharia equity funds in Indonesia do not choose the correct investment strategy style.

Herding and Delegated Portfolio Management: The Impact of Relative Performance Evaluation on Asset Allocation

2011 ◽  
Vol 01 (02) ◽  
pp. 265-292 ◽  
Author(s):  
Ernst Maug ◽  
Narayan Naik
Keyword(s):  
Performance Evaluation ◽  
Portfolio Management ◽  
Asset Allocation ◽  
Relative Performance ◽  
Optimal Contracts ◽  
Fund Managers ◽  
Portfolio Managers ◽  
Delegated Portfolio Management ◽  
The Impact ◽  
Allocation Decisions

This paper investigates the effect of fund managers' performance evaluation on their asset allocation decisions. We derive optimal contracts for delegated portfolio management and show that they always contain relative performance elements. We then show that this biases fund managers to deviate from return-maximizing portfolio allocations and follow those of their benchmark (herding). In many cases, the trustees of the fund who employ the fund manager prefer such a policy. We also show that fund managers in some situations ignore their own superior information and "go with the flow" in order to reduce deviations from their benchmark. We conclude that incentive provisions for portfolio managers are an important factor in their asset allocation decisions.

scholarly journals Impediments to Financial Trade: Theory and Applications

2019 ◽  
Vol 33 (6) ◽  
pp. 2697-2727 ◽  
Author(s):  
Nicolae Gârleanu ◽  
Stavros Panageas ◽  
Jianfeng Yu
Keyword(s):  
Performance Evaluation ◽  
Web Site ◽  
Theoretical Basis ◽  
Style Analysis ◽  
Trade Theory ◽  
Noise Traders ◽  
Oxford University ◽  
Asset Class ◽  
General Preferences ◽  
Published Paper

Abstract We propose a tractable model of an informationally inefficient market featuring nonrevealing prices, general preferences and payoff distributions, but not noise traders. We show the equivalence between our model and a substantially simpler one in which investors face distortionary investment taxes depending on both their identity and the asset class. This equivalence allows us to account for such phenomena as underdiversification. We further employ the model to assess approaches to performance evaluation and find that it provides a theoretical basis for some intuitive practices, such as style analysis, that have been adopted by finance professionals. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

New Zealand unit trust disclosure: asset allocation, style analysis, and return attribution

2010 ◽  
Vol 22 (1) ◽  
pp. 4-21 ◽  
Author(s):  
Ross Fowler ◽  
Robin Grieves ◽  
J. Clay Singleton
Keyword(s):  
New Zealand ◽  
Asset Allocation ◽  
Style Analysis ◽  
Unit Trust

scholarly journals Risk Measurement and Performance Evaluation of Equity Funds Based on ARMA-GARCH Family Model

2020 ◽  
Vol 10 (02) ◽  
pp. 325-340
Author(s):  
Jingling Yang ◽  
Guoqiang Tang ◽  
Duancui Yang ◽  
Jianwen Zhang
Keyword(s):  
Performance Evaluation ◽  
Risk Measurement ◽  
Family Model ◽  
Equity Funds ◽  
And Performance

Timberland Indexes and Portfolio Management

1990 ◽  
Vol 14 (3) ◽  
pp. 119-124 ◽  
Author(s):  
F. Christian Zinkhan ◽  
Kossuth Mitchell
Keyword(s):  
Performance Evaluation ◽  
Portfolio Management ◽  
Asset Allocation ◽  
Financial Assets ◽  
Southern Pine ◽  
Investment Performance ◽  
Risk Return ◽  
Efficient Portfolios ◽  
The Mean ◽  
Mean Risk

Abstract This paper explores two timberland index applications: asset allocation and investment performance evaluation. The Southern Timberland Index Fund (STIF), a southern pine index fund, is adopted for use in these applications. In the asset allocation application, the mean risk of risk-return efficient portfolios containing financial assets and the STIF is discovered to be 43% less than the mean risk of the efficient portfolios containing only financial assets. Efficient portfolios contain the STIF in proportions as high as almost 30%. As far as performance is concerned, a timberland index is suggested for use as a benchmark for evaluating (1) timberland investment managers and (2) the investment performance of timberland versus other investment alternatives. Before such applications become commonplace, it is concluded that problems associated with existing timberland indexes be addressed. South. J. Appl. For. 14(3):119-124.

scholarly journals Investment asset allocation in response to tax relief for mutual funds: The case of South Korea

2021 ◽  
Vol 18 (3) ◽  
pp. 347-358
Author(s):  
Hyeongtae Cho ◽  
SungMan Yoon
Keyword(s):  
South Korea ◽  
Asset Allocation ◽  
Test Sample ◽  
Management Style ◽  
Fund Managers ◽  
Tax Relief ◽  
Asset Value ◽  
Net Asset Value ◽  
Equity Funds ◽  
The Republic

This study examines whether the management style of a fund differs depending on the type of fund being managed for tax purposes, given the rules of temporary tax relief for fund investments. The study considers a change in the ratio of tax-favored assets to the net asset value of a tax relief qualified fund around the effective date of tax relief laws in South Korea in 2007 and 2016. A regression model is used to test sample data from domestic and overseas equity funds available in the three months before and after the 2007 and 2016 Restriction of Special Taxation Act came into effect. It was found that the ratio of the value of tax-favored assets to the net asset value in the tax relief qualified fund increased significantly since the enactment of tax relief laws in both 2007 and 2016. These findings suggest that fund managers may try to change the asset allocation in a managed fund to increase the after-tax return of the fund investor, which means that fund managers do take into account the potential tax burden on fund investors and try to minimize it. AcknowledgmentThis work was supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF- 2019S1A5A8035027).

scholarly journals Performance Evaluation of Equity Funds in Korea

2010 ◽  
Vol 32 (1) ◽  
pp. 97-129
Author(s):  
InseokShin ◽  
Sungbin Cho
Keyword(s):  
Performance Evaluation ◽  
Equity Funds
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