Portfolio Matching by Multiple-Fund Managers: Effects on Fund Performance and Flows

2010 ◽  
Author(s):  
Vijay N. Yadav
Keyword(s):  
Fund Performance ◽  
Fund Managers

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).

Does Fund Managers's Human Capital Add Value for The Fund Performance in Malaysia

2021 ◽  
Vol 12 (1) ◽  
pp. 92-92
Author(s):  
Venny Sin-Woon Chong ◽  
Ming-Ming Lai ◽  
Lee-Lee Chong
Keyword(s):  
Human Capital ◽  
Least Squares ◽  
Mutual Fund ◽  
Empirical Studies ◽  
Fund Performance ◽  
Ordinary Least Squares ◽  
Performance Model ◽  
Fund Managers ◽  
Developed Markets ◽  
Three Stage Least Squares

This study examines the integration of fund managers' human capital characteristics (including education, gender, race, experience, age, team manager) relative to the fund performance model. A few previous empirical studies paid attention to human capital characteristics and mutual fund performances based on developed markets and have obtained mixed result findings. However, very little attention has focused on fund managers' human capital characteristics in the Malaysian mutual funds industry. Hence, this study attempts to fill this research gap.Based on a sample of Malaysian mutual fund managers, data is sourced from fund management companies, Thomson One database and fund master prospectus, from January 2012 to December 2014. The study employing ordinary least squares (OLS) and three-stage least squares (3SLS) methods to integrate fund performances and human capital characteristics with single and simultaneous equations based on asset pricing models. Keywords: Human capital, fund manager, fund performance.

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.

scholarly journals Are some fund managers better than others? Manager characteristics and fund performance

2004 ◽  
Vol 35 (3) ◽  
pp. 31-40 ◽  
Author(s):  
L. B. Friis ◽  
E. V.D.M. Smit
Keyword(s):  
Risk Taking ◽  
Fund Performance ◽  
Management Team ◽  
Team Size ◽  
Fund Manager ◽  
Independent Variables ◽  
Fund Managers ◽  
Qualification Management ◽  
Better Than

The research objective has been to find out whether fund manager characteristics help explain fund performance and propensity to risk taking. Eight independent variables; manager age, tenure of the manager with the fund, years of education, whether the manager holds a MBA or CA/CFA qualification, management team size, fund age and fund objective are regressed on measures of fund performance and riskiness.The findings of the study are highly significant and show that fund performance and riskiness are impacted upon by managers’ qualifications. One can expect better risk-adjusted performance from a fund manager who holds a CA/CFA qualification. Results show that these managers outperform managers without these qualifications, while taking on less risk than managers with MBA qualifications.

Equity fund performance

2016 ◽  
Vol 33 (3) ◽  
pp. 359-376 ◽  
Author(s):  
Bin Liu ◽  
Amalia Di Iorio ◽  
Ashton De Silva
Keyword(s):  
Explanatory Power ◽  
Fund Performance ◽  
Idiosyncratic Volatility ◽  
Size Factor ◽  
Momentum Effect ◽  
Content Type ◽  
Fund Managers ◽  
Equity Funds ◽  
Fama And French ◽  
Fund Size

Purpose This paper aims to investigate whether idiosyncratic volatility is priced in returns of equity funds while controlling for fund size and return momentum. Design/methodology/approach Following Fama and French (1993), an idiosyncratic volatility mimicking factor and a fund-size factor are constructed. The pricing ability of this idiosyncratic volatility mimicking factor is investigated in the context of Carhart (1997). Findings Idiosyncratic volatility is an important pricing factor even when controlling for fund size and momentum. In addition, idiosyncratic volatility is strongly and positively associated with the momentum effect. Further, when controlling for the association between the momentum effect and idiosyncratic volatility, the explanatory power of the momentum factor almost disappears, which suggests the pricing of idiosyncratic volatility mediates momentum and returns. Originality/value These findings imply that both the idiosyncratic volatility factor and the fund-size factor should not be ignored by fund managers when evaluating the performance of the equity funds.

scholarly journals Investing in the “New Economy”: Mutual Fund Performance and the Nature of the Firm

2014 ◽  
Vol 49 (1) ◽  
pp. 165-191 ◽  
Author(s):  
Swasti Gupta-Mukherjee
Keyword(s):  
Stock Returns ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Small Firms ◽  
Negative Impact ◽  
New Economy ◽  
Fund Performance ◽  
Learning From Experience ◽  
Fund Managers ◽  
Physical Assets

AbstractAlthough stock returns of intangibles-intensive firms tend to exceed physical assets-intensive firms, risk-adjusted returns of actively managed mutual funds significantly decrease (increase) with their portfolios’ exposure to intangibles-intensive (physical assets-intensive) firms. Fund managers tend to exhibit skill when they focus on difficult-to-value (e.g., small) firms, except when the firms are intangibles-intensive. In sum, the worst-performing funds are in areas of the market that seem to offer ample opportunities for professional investors due to exacerbated mispricing. The negative impact of investments in intangibles-intensive firms on fund performance appears to be driven by extrapolation bias and decreases with learning from experience.

scholarly journals The Impact of Macroeconomic Variables on Mutual Funds Performance in Ghana

2021 ◽  
pp. 34-53
Author(s):  
Cai Li ◽  
Rosemond Atampokah ◽  
Helena Akolpoka ◽  
Priscilla Avonie ◽  
Baku R. Kwame
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Performance ◽  
Foreign Portfolio Investment ◽  
Macroeconomic Variables ◽  
Macroeconomic Conditions ◽  
Fund Managers ◽  
The World ◽  
World Champion ◽  
The Impact

Development across the globe has been an agenda many citizens of the world champion irrespective of the area, sector or discipline within which it is being advocated. Politically, socially, and in the world of economics, mutual fund has gained significance within country’s economic environment. The phenomenal growth in the financial market of mutual funds can be attributed to the increase in the various financial schemes available, improvement in fund mobilization, as well as the growth of investments in the country. We examined the impact of macroeconomic variables on mutual fund performance of all mutual fund companies in Ghana over the period of 2008 to 2016. We performed correlation analysis, hence examined the co-movement of the returns from the selected funds with the key macroeconomic variables. We find macroeconomics variables positively affect the returns of funds. The effect comes by the amount of money available for investments. We further find exchange rate as the strongest macroeconomic variable affects the performance of mutual funds in Ghana. We established that Ghana receives a significant amount of foreign portfolio investment (FPI), where investors in other countries bring in their money to make investment on our financial markets. Our results provide evidence for fund managers on approach in dealing with macroeconomic conditions and its volatilities.

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.

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