scholarly journals A Review of Performance Evaluation Measures for Actively-Managed Portfolios

2013 ◽  
Vol 5 (12) ◽  
pp. 815-824
Author(s):  
Heng-Hsing Hsieh
Keyword(s):  
Performance Evaluation ◽  
Hedge Funds ◽  
Market Timing ◽  
Portfolio Performance ◽  
Policy Statement ◽  
Extended Model ◽  
Information Ratio ◽  
Performance Attribution ◽  
Timing Ability ◽  
Managed Portfolios

In the recognition that investment management is an on-going process, the performance of actively-managed portfolios need to be monitored and evaluated to ensure that funds under management are efficiently invested in order to satisfy the mandate specified in the policy statement. This paper discusses the primary performance evaluation techniques used to measure a portfolio’s basic risk and return characteristics, risk-adjusted performance, performance attribution and market timing ability. It is concluded that the Treynor measure is more suitable for evaluating portfolios that are constituents of a broader portfolio, while the information ratio is useful for evaluating hedge funds with an absolute return objective. Although the Sharpe ratio and M-squared arrive at the same evaluation result, M-squared provides a direct comparison between the portfolio and the benchmark. With regard to the analysis of portfolio performance attribution, it is found that the return-based multifactor model of Sharpe (1992) is not suitable for analyzing the performance of hedge funds that engage in short-selling, leverage and derivatives. Additional factors generated by factor analysis could be used as factors in the extended model of Sharpe (1992) to analyze hedge fund return attributions. Finally, the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model essentially distinguish the market timing ability from the security selection ability of the portfolio manager.

Comparative analysis of Shari’ah-compliant portfolios: evidence from Pakistan

2019 ◽  
Vol 10 (3) ◽  
pp. 466-487 ◽  
Author(s):  
Salman Ahmed Shaikh ◽  
Mohd Adib Ismail ◽  
Abdul Ghafar Ismail ◽  
Shahida Shahimi ◽  
Muhammad Hakimi Mohd. Shafiai
Keyword(s):  
Market Timing ◽  
Tracking Error ◽  
Sharpe Ratio ◽  
Information Ratio ◽  
Strategic Positioning ◽  
Decomposition Approach ◽  
Content Type ◽  
Timing Ability ◽  
Equity Funds ◽  
Practical Implications

Purpose This study aims to comparatively analyze the performance of Islamic and conventional income and equity funds using various performance evaluation methods. Design/methodology/approach The authors comparatively analyze the performance of mutual funds using measures, such as tracking error, Sharpe ratio (1966), Treynor ratio (1965), M-square measure by Modigliani and Modigliani (1997) and information ratio. The authors also use market timing and selection measures, such as Treynor and Mazuy model (1966), Henriksson and Merton (1981) model and Fama’s decomposition approach (1973). Findings The authors find that Islamic equity funds are as much competitive as conventional equity funds. All Islamic equity funds have positive Sharpe ratio, Treynor ratio and net selectivity measure. Islamic equity funds are slightly less risky in general. Islamic equity and income funds generally have positive Jensen's Alpha and a positive market timing ability. However, the authors find that Islamic income funds generally underperform the market due to less Shari’ah-compliant investment class assets in the market. Practical implications It will help the industry players to assess their strategic positioning with regard to the commercial competitiveness of Islamic investments. Originality/value The authors take considerably large sample of 60 funds in Pakistan as compared to previous studies and also cover recent period (2006-16). For income funds, the authors construct an original benchmark index based on price and dividend data and use that in performance assessment.

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.

Sentiment and the Effectiveness of Technical Analysis: Evidence from the Hedge Fund Industry

2016 ◽  
Vol 51 (6) ◽  
pp. 1991-2013 ◽  
Author(s):  
David M. Smith ◽  
Na Wang ◽  
Ying Wang ◽  
Edward J. Zychowicz
Keyword(s):  
Hedge Funds ◽  
Lower Risk ◽  
Market Timing ◽  
Hedge Fund ◽  
Technical Analysis ◽  
Fund Managers ◽  
Short Sale ◽  
Timing Ability ◽  
Fund Industry

This article presents a unique test of the effectiveness of technical analysis in different sentiment environments by focusing on its usage by perhaps the most sophisticated and astute investors, namely, hedge fund managers. We document that during high-sentiment periods, hedge funds using technical analysis exhibit higher performance, lower risk, and superior market-timing ability than nonusers. The advantages of using technical analysis disappear or even reverse in low-sentiment periods. Our findings are consistent with the view that technical analysis is relatively more useful in high-sentiment periods with larger mispricing, which cannot be fully exploited by arbitrage activities because of short-sale impediments.

scholarly journals A Risk-Adjusted Performance Evaluation Of US And EU Hedge Funds And Associated Equity Markets Over The 2007-2009 Financial Crisis

2013 ◽  
Vol 13 (1) ◽  
pp. 169
Author(s):  
Chris Van Heerden ◽  
Andre Heymans ◽  
Gary Van Vuuren ◽  
Wilme Brand
Keyword(s):  
Performance Evaluation ◽  
Financial Crisis ◽  
Hedge Funds ◽  
Market Timing ◽  
Equity Markets ◽  
Portfolio Diversification ◽  
Efficient Market

Hedge funds are considered to be market-neutral due to their unrestricted investment flexibility and more efficient market timing abilities (Ennis & Sebastian, 2003). They may also be considered as suitably unconventional assets for improving portfolio diversification (Lamm, 1999). The evidence from this study confirms the dominance of hedge funds over the CAC 40, DAX, S&P 500 and Dow Jones from 2004 to 2011. Overall, the Sharpe, Sortino, Omega, Jensens alpha, Treynor and Calmar ratios illustrate that US hedge funds outperformed both EU hedge funds and the associated equity markets over this period. Evidence was also found that both US and EU hedge funds were more correlated with the S&P 500 and Dow Jones after the financial crisis of 2007-2009 than before the crisis.

Do Market Timing Hedge Funds Time the Market?

2007 ◽  
Vol 42 (4) ◽  
pp. 827-856 ◽  
Author(s):  
Yong Chen ◽  
Bing Liang
Keyword(s):  
Hedge Funds ◽  
Market Timing ◽  
Public Information ◽  
Equity Market ◽  
Market Conditions ◽  
Bootstrap Analysis ◽  
Market Portfolio ◽  
Timing Ability ◽  
Options Trading ◽  
The U.S

AbstractThis paper examines whether self-described market timing hedge funds have the ability to time the U.S. equity market. We propose a new measure for timing return and volatility jointly that relates fund returns to the squared Sharpe ratio of the market portfolio. Using a sample of 221 market timing funds during 1994–2005, we find evidence of timing ability at both the aggregate and fund levels. Timing ability appears relatively strong in bear and volatile market conditions. Our findings are robust to other explanations, including public information-based strategies, options trading, and illiquid holdings. Bootstrap analysis shows that the evidence is unlikely to be attributed to luck.

scholarly journals Portfolio performance evaluation of mutual funds in the Republic of Serbia

2020 ◽  
Vol 15 (2) ◽  
pp. 295-318
Author(s):  
Miljan Leković ◽  
Milena Jakšić ◽  
Dragana Gnjatović
Keyword(s):  
Mutual Funds ◽  
Portfolio Management ◽  
Market Timing ◽  
Portfolio Performance ◽  
Market Portfolio ◽  
Active Portfolio Management ◽  
Timing Ability ◽  
Portfolio Managers ◽  
The Republic ◽  
Research Show

The paper evaluates the performance of open-end mutual funds in the Republic of Serbia in the period 2011-2015, using various modelling approaches based on different models. The aim of this paper is to examine the theoretical, methodological and empirical validity of active portfolio management of mutual funds and to assess the presence of selection and timing abilities of Serbian portfolio managers. The results of the empirical research show that the active portfolio management of mutual funds in the Republic of Serbia has not been successful in terms of outperforming the market. Portfolio managers of most Serbian mutual funds lack the ability to choose profitable securities and do not have market timing ability.

Correcting for Heteroscedasticity in Tests for Market Timing Ability

1986 ◽  
Vol 59 (4) ◽  
pp. 585 ◽  
Author(s):  
William Breen ◽  
Ravi Jagannathan ◽  
Aharon R. Ofer
Keyword(s):  
Market Timing ◽  
Timing Ability

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.

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