scholarly journals ISLAMIC VS CONVENTIONAL FUNDS WITHIN THE FAMILY: SELECTIVITY SKILLS AND MARKET TIMING ABILITY

2020 ◽  
Vol 6 (2) ◽  
Author(s):  
Anas Ahmad Bani Atta ◽  
Ainulashikin Marzuki
Keyword(s):  
Mutual Fund ◽  
Factor Model ◽  
Market Timing ◽  
The Novel ◽  
Timing Ability ◽  
The Family ◽  
Family Level ◽  
Fund Families ◽  
The Difference ◽  
Timing Models

ABSTRACT The aim of the study is to compare the performance of Islamic mutual fund (IMF) and conventional mutual fund (CMF) within the same family, in addition, to examine the performance of fund family in Malaysia for the period from 2007 to 2018. The study used eight measures of performance, raw returns, excess returns, Sharpe ratio, Treynor ratio, Jensen alpha, Carhart four-factor model as selectivity models, In addition to Treynor & Mazuy (TM) and Hendrickson & Merton (HM) as market timing models. The study contributes by investigating and compares the performance at the family level. The results reported that IMFs exhibited some fund selection ability over CMFs. However, both types of funds displayed poor market timing ability. At a fund family level, the results show the fund families exhibited good fund selections skills, at the same time, fund family still exhibited poor market timing ability. The novel result of this study that the difference in performance between Islamic and conventional funds shrank compared to the results of previous studies. Due to the common advantages offered by the families for both types of funds. The findings are important to investors because the results provide new evidence about the fund families' performance. Most investors follow the top-down approach, where mutual fund investors initially choose fund families before deciding which funds to hold. In addition, the results are important for managers to decide which types of funds that they may issue in their own families, so that they can perform well in the future.

Emerging market mutual fund performance: evidence for China

2017 ◽  
Vol 11 (2) ◽  
pp. 167-187 ◽  
Author(s):  
Zia-ur-Rehman Rao ◽  
Muhammad Zubair Tauni ◽  
Amjad Iqbal ◽  
Muhammad Umar
Keyword(s):  
Asset Management ◽  
Mutual Fund ◽  
Factor Model ◽  
Emerging Market ◽  
Market Timing ◽  
Content Type ◽  
Fund Managers ◽  
Developed Markets ◽  
Timing Ability ◽  
Equity Funds

Purpose The purpose of this paper is to find whether Chinese equity funds outperform the market and do Chinese fund managers possess positive market timing ability. This study also aims to investigate whether well-performing (worst) funds of last year continue to perform well (worst) in the following year. Design/methodology/approach Capital Asset Pricing Model and Carhart four-factor model are used for performance analysis, whereas for analyzing market timing ability, the Treynor and Mazuy (1966) and Henriksson and Merton (1981) models are applied. To investigate persistence in the performance of Chinese equity funds, all equity funds are divided, on the basis of performance in the past 12 months, into three equally weighted groups (high, middle and low) and then observed for next 12 months. After that, groups are again rebalanced according to their performance. This study uses a panel regression model for analysis. Findings Chinese equity funds are successful in providing higher than market returns, and fund managers possess positive market timing ability. The authors find that Chinese equity funds do not show persistence in performance as witnessed in developed markets. Well-performing funds (worst funds) of last year do not continue to provide higher (lower) return in the following year. Moreover, the authors detect positive relationship of fund size, age and expense ratio with the fund’s performance. Overall results suggest that emerging market equity funds show better performance than that of developed markets. Practical implications Investors are better off if they invest in equity funds instead of index funds, as results illustrate that equity funds outperformed the market. Further, the strategy of buying well-performing funds of last year and selling poorly performing funds of last year does not look very attractive in China. This study helps investors to understand the Chinese managed funds industry, and such an understanding is also helpful for fund managers and asset management companies who use performance information in marketing strategies. Originality/value This is the first study to investigate the performance persistence in Chinese equity funds and also contributes to the literature about the performance and market timing ability of equity funds. The study takes the sample of 520 equity funds for the period from 2004 to 2014, which includes a period of financial crisis of 2008.

A Study on Stock-Selection and Market-Timing Performance: Evidence from Hong Kong Mandatory Provident Funds (MPF)

2008 ◽  
Vol 11 (04) ◽  
pp. 617-649 ◽  
Author(s):  
Patrick Kuok-kun Chu ◽  
Michael McKenzie
Keyword(s):  
Hong Kong ◽  
Economic Condition ◽  
Market Timing ◽  
Stock Selection ◽  
Timing Ability ◽  
Conditional Models ◽  
Equity Funds ◽  
The Individual ◽  
Timing Models ◽  
Comprehensive Study

This paper presents the first comprehensive study of the performance and market timing ability of the equity funds that comprise the Hong Kong Mandatory Provident Funds (MPF) scheme. In general, our results suggest that US equity funds consistently underperform relative to the market, while the other fund groups consistently outperform the market. The stock-selection ability of MPF constituent equity funds in times of changing economic condition is also investigated. The evidence is consistent with previous studies, which suggest that the conditional models decrease the individual fund traditional alpha measure. The market timing models of Treynor–Mazuy and Henriksson–Merton provide evidence of superior market timing ability.

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 The Impact of Mutual Fund Family Membership on Investor Risk

2007 ◽  
Vol 42 (2) ◽  
pp. 257-277 ◽  
Author(s):  
Edwin J. Elton ◽  
Martin J. Gruber ◽  
T. Clifton Green
Keyword(s):  
Mutual Fund ◽  
Retirement Savings ◽  
Portfolio Risk ◽  
Economic Sectors ◽  
The Family ◽  
Additional Fund ◽  
Fund Families ◽  
Mutual Fund Family ◽  
The Impact ◽  
Family Membership

AbstractMany investors confine their mutual fund holdings to a single fund family either for simplicity or through restrictions placed by their retirement savings plan. We find evidence that mutual fund returns are more closely correlated within than between fund families. As a result, restricting investment to one fund family leads to a greater total portfolio risk than diversifying across fund families. We examine the sources of this increased correlation and find that it is due primarily to common stock holdings, but is also more generally related to families having similar exposures to economic sectors or industries. Fund families also show a propensity to focus on high or low risk strategies, which leads to a greater dispersion of risk across restricted investors. An investor considering adding an additional fund, either in the same family or outside the family, would need to believe the inside fund offered an extra 50 to 70 basis points to have the same Sharpe ratio.

scholarly journals SELECTIVITY AND MARKET TIMING ABILITY OF MUTUAL FUND HOUSES IN EMERGING COUNTRIES

2021 ◽  
Vol 16 (Number 1) ◽  
pp. 21-42
Author(s):  
Anas Ahmad Bani Atta ◽  
Ainulashikin Marzuki
Keyword(s):  
Mutual Fund ◽  
Market Research ◽  
Market Timing ◽  
Emerging Countries ◽  
Investment Opportunity ◽  
Fund Managers ◽  
Management Processes ◽  
Timing Ability ◽  
Different Types ◽  
The Common

The paper investigates the selectivity and market timing ability of fund houses in emerging countries. The study uses comprehensive performance models on fund houses from four emerging countries. Data span is from 2007 to 2018. Findings indicate that fund managers benefit from the common facilities provided by the fund houses like market research, diversification and investment opportunity. Fund houses showed good selectivity skills but poor market timing ability. The possible reason is that fund houses manage large and different types of funds. This resulted in more complex management processes and thus reduced the ability to track the fluctuations in the market. The findings are important for investors as they are able to allocate their resources more effectively to funds that are best managed by fund houses while for managers, they are able to position themselves relative to their competing peers.

scholarly journals Mutual Fund Performance: Evidence from India

2019 ◽  
Vol 8 (4) ◽  
pp. 11714-11723
Keyword(s):  
Portfolio Management ◽  
Mutual Fund ◽  
Market Timing ◽  
Investment Strategy ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Stock Selection ◽  
Multifactor Models ◽  
Fund Managers ◽  
Timing Ability

We empirically examine fund managers’ stock selection and market timing ability using various risk-adjusted measures such as CAPM and multifactor models of FamaFrench (1993) and Carhart (1997) to gauge mutual fund performance in India. The sample consists of 183 actively managed equity-oriented funds and covers the period from April 2000 to March 2018. The study, on the whole, documents some evidence of positive and significant stock selection ability but fails to yield any notable evidence of market timing ability of fund managers. Our results are robust according to various riskadjusted performance evaluation techniques, sub-period analysis, excluding the crisis period and at the individual fund level. The findings of our study are in line with the previous studies that report limited selectivity skill and market timing ability among fund managers. The main implication of the study is that active portfolio management may not be very rewarding in comparison to a passive investment strategy.

Do mutual fund managers' possess style liquidity timing abilities?

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mahfooz Alam ◽  
Valeed Ahmad Ansari
Keyword(s):  
Mutual Fund ◽  
Factor Model ◽  
Market Timing ◽  
Market Liquidity ◽  
Content Type ◽  
Fund Managers ◽  
Indian Context ◽  
Equity Mutual Funds ◽  
Equity Funds ◽  
Style Timing

PurposeThis paper investigates the style timing and liquidity style timing vis-à-vis the market, size, value and momentum factors of the actively managed Indian equity mutual funds.Design/methodology/approachWe examine the style timing of the funds using the augmented Carhart four-factor model by incorporating timing measures (Treynor and Mazuy; Henriksson and Merton). Based on this, the study explores the four-factor liquidity and volatility style timing exhibited by fund managers. The sample is from April 2000 to March 2018 and spans the volatile 2008 subprime economic crises. The sample comprised 182 actively managed equity funds from various sizes and was considered to be a well-diversified sample.FindingsThe results of our study provide strong evidence of market liquidity timing in India. No other style timing skills are observed in our analysis. Our results also imply that the fund managers might misidentify size timing as market timing if integrated liquidity timing measures are not employed, leading to false conclusions.Research limitations/implicationsThe findings of our study imply that the fund managers might misidentify size timing as market timing if integrated liquidity timing measures are not employed, leading to false conclusions.Originality/valueThis study, to our knowledge, is the first attempt to investigate the portfolio-based style timing in the Indian context.

scholarly journals An Analysis of Mutual Fund Managers’ Timing Abilities - Evidence From Chinese Equity Funds

2020 ◽  
Vol 11 (4) ◽  
pp. 214
Author(s):  
Jun-Hao Li ◽  
Chun-Fan You
Keyword(s):  
Mutual Fund ◽  
Stock Selection ◽  
Mutual Fund Managers ◽  
Fund Managers ◽  
Timing Ability ◽  
Daily Frequency ◽  
Equity Funds ◽  
Volatility Timing ◽  
Investment Styles ◽  
Timing Models

This paper examines Chinese mutual fund managers’ market, volatility, and liquidity abilities. Using a daily frequency sample of Chinese open-end equity funds from 2015 to 2019, we find evidence that mutual fund managers can time the market. Among the funds with different investment styles, the active funds have better market and liquidity timing ability, whereas the steady funds have better volatility timing ability. In different investment periods, there are more funds with timing ability in the fall period than in the rise period. We find the same results in the market (T-M), volatility, and liquidity timing models. It is especially for the active funds, nearly half of which have liquidity timing ability in the fall period. Among the funds with stock selection ability, the funds with market timing ability can outperform than the funds with other timing ability.

scholarly journals Performance evaluation of the Turkish pension fund system

2019 ◽  
Vol 3 (1) ◽  
pp. 18-33
Author(s):  
Tolga Umut Kuzubas ◽  
Burak Saltoğlu ◽  
Ayberk Sert ◽  
Ayhan Yüksel
Keyword(s):  
Performance Evaluation ◽  
Pension Fund ◽  
Pension System ◽  
Factor Model ◽  
Market Timing ◽  
Excess Returns ◽  
Content Type ◽  
Timing Ability ◽  
Depth Analysis ◽  
Asset Class

Purpose The purpose of this paper is to provide an in-depth performance evaluation of funds offered by the Turkish pension system. Design/methodology/approach This paper compares aggregate fund index returns with the corresponding asset class returns, estimates a factor model to decompose excess returns to factor exposures, i.e., β return and excess return originating from residual α and analyzes persistence of fund returns using migration tables and Fama–MacBeth regressions and tests for market timing ability. Findings Majority of pension funds are unable to generate excess returns. Majority of funds are unable to generate a positive α and fund returns are predominantly driven factor exposures. There is evidence for slight persistence in returns, mainly due to factor exposures and funds do not exhibit market timing ability. Originality/value In this paper, the authors perform an in-depth analysis of pension fund performance for the Turkish pension fund system. The authors identify weaknesses and strengths of the pension fund industry and provide policy recommendations for a better design of pension fund system.

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