scholarly journals Mutual fund Performance in Nepalese Mutual fund units: An analysis of Monthly Returns

2017 ◽  
Vol 3 (2) ◽  
pp. 92-100
Author(s):  
Rajan Bilas Bajracharya
Keyword(s):  
Mutual Funds ◽  
Performance Measures ◽  
Mutual Fund ◽  
Statistical Models ◽  
Stock Exchange ◽  
Academic Research ◽  
Fund Performance ◽  
Sharpe Ratio ◽  
Mutual Fund Performance ◽  
Small Market

Mutual funds dwell in a small market in Nepal. Around seven mutual funds listed in the Nepal stock exchange trade (NEPSE). This paper focused on evaluating the performance of five mutual funds of NEPSE on the basis of monthly returns compared to benchmark return. Risk adjusted performance measures suggested by Jenson, Treynor, Sharpe and statistical models are employed. It is found that, most of the mutual funds have performed better according to Jenson and Treynor measures but not up to the benchmark on the basis of Sharpe ratio. However, few mutual funds are well diversified and have reduced its unique risk.  Journal of Advanced Academic Research Vol. 3, No. 2, 2016, Page: 92-100

scholarly journals ANALISIS PERBANDINGAN KINERJA REKSADANA SAHAM MENGGUNAKAN METODE SHARPE DAN TREYNOR PADA REKSADANA SAHAM

Equity ◽  
2019 ◽  
Vol 21 (1) ◽  
pp. 49
Author(s):  
Clara Bella ◽  
Yul Tito Permadhy
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Sampling Method ◽  
Stock Exchange ◽  
Market Performance ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Equity Fund ◽  
Consistent Performance ◽  
Descriptive Method

This study aims to determine the comparison of stock mutual fund performance using sharpe method and treynor method. The research method used in this research is descriptive method with quantitative approach. The object of this study using all mutual fund shares listed on the Indonesia Stock Exchange period 2013-2016. The technique of determining the sample using purposive sampling method so that 66 mutual funds were chosen as research sample. The results of this study explain that there are differences in the results of the performance of stock mutual funds using sharpe method and treynor method on mutual fund shares listed on the Indonesia Stock Exchange (BEI) where each performance value fluctuates in the period 20132016. The results show that only a few stock mutual funds are above market performance by using sharpe method and treynor method during the period 2013-2016. The results show that only one stock mutual fund that has consistent performance above market performance during the period 2013-2016 using the sharpe method of equity fund Sam Equity Fund.

scholarly journals Mutual Fund Performance Persistence and Competition: Pakistan’s Open Ended Mutual Fund Performance Analysis

2021 ◽  
Vol 5 (2) ◽  
pp. 165-176
Author(s):  
Yasir Khan ◽  
Dr. Saima Batool ◽  
Mukharif Shah ◽  
Mukharif Shah
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Factor Model ◽  
Stock Exchange ◽  
Fund Performance ◽  
Special Focus ◽  
Size Factor ◽  
Mutual Fund Performance ◽  
Multifactor Models ◽  
Market Factors

Mutual Funds through its professional managers enable small investors to enjoy benefits of capital market with small amount. This study with special focus on Pakistani Mutual Fund industry, tests the suitability of traditional measures and multifactor, asset pricing models on the Mutual Fund performance. Owing to rareness of the applicability of the multifactor models in comparison to traditional measures, in evaluating Mutual Fund performance in modern day Pakistani research, the study uses CAPM, Fama French, Carhart models in the performance evaluation of Pakistan Mutual Fund. The data of 100 open-end Mutual Funds, for the period 2005 to 2017 was collected from Mutual Fund Association of Pakistan; while the risk free rates data was collected from State Bank of Pakistan and Stock data from Pakistan Stock Exchange for predicting the results, Ratio analysis, CAPM, Fama French-3 Factor and Carhart-4 factor model were used to understand its suitability. The results demonstrated that application of CAPM, affect market factors of majority of the portfolios.Where as in other two models (Fama French, Carhart) the majority of the portfolios are insignificantly affected by the size factor, value factor and Momentum factor. The Gibbon Rose Shanken unveils the suitability of the best model and justify CAPM as the better model among the three competing models in evaluate on theMutual Fund performance in Pakistan. The study has certain implications for the managers of assets management companies as well as useful for the investors in knowing which funds perform better and which kind of funds are ideal for investment.

scholarly journals THE EVALUATION OF MUTUAL FUND PERFORMANCE IN LITHUANIA CONSIDERING RISK AND TIMING ABILITY / LIETUVOS INVESTICINIŲ FONDŲ VEIKLOS VERTINIMAS, ATSIŽVELGIANT Į RIZIKĄ IR SAVALAIKIŠKUMĄ

2011 ◽  
Vol 3 (4) ◽  
pp. 5-12 ◽  
Author(s):  
Irma Gavrilova
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Performance ◽  
Sharpe Ratio ◽  
Mutual Fund Performance ◽  
Specific Knowledge ◽  
Fund Managers ◽  
Investment Return ◽  
Timing Ability

Over the last decade, Lithuania has witnessed a growing interest in investment promoted by the need to successfully manage available funds. Direct investments (e. g. buying and selling stocks) require a specific knowledge of investment instruments. Therefore, an ordinary investor finds investment in mutual funds easier and cheaper. Usually the most important questions to the investor include measuring the results of a fund and the quality of the actions performed by the fund managers. The article evaluates the rates of mutual fund performance and identifies their shortages. The methods for evaluating investment return according to the level of risk and timing ability of the fund managers are presented using the Sharpe ratio and Treynor-Mazuy model on the basis of which mutual funds in Lithuania are analyzed. Santrauka Paskutinįjį dešimtmetį Lietuvoje pastebimas žmonių susidomėjimo investavimu augimas – tai skatina poreikis sėkmingai „įdarbinti“ turimas laisvas lėšas. Investuoti tiesiogiai (perkant atskirų įmonių akcijas ir pan.) daug kam yra pernelyg sudėtinga (reikia specialių žinių apie įvairius investavimo objektus, gilios rinkos analizės), be to, dažnai tiesiogiai investuoti yra gana brangu, todėl ne vienas žmogus pasirenka sprendimą – investuoti į fondus. Fondų dalyviams aktualiausia, kaip tinkamai vertinti fondų rezultatus. Straipsnyje identifikuojami investicinių fondų valdymo įmonių naudojami veiklos vertinimo rodikliai bei jų trūkumai. Pateikiamas investicinių fondų veiklos vertinimo, atsižvelgiant į riziką ir savalaikiškumą, metodas naudojant Šarpo bei Treynoro ir Mazuy rodiklius. Remiantis rodikliais atlikta Lietuvos investicinių fondų grąžos bei fondų valdytojų efektyvumo analizė.

scholarly journals ANALISIS PERBANDINGAN KINERJA REKSADANA SAHAM MENGGUNAKAN METODE SHARPE DAN TREYNOR PADA REKSADANA SAHAM

Equity ◽  
2019 ◽  
Vol 21 (1) ◽  
pp. 49
Author(s):  
Clara Bella ◽  
Yul Tito Permadhy
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Sampling Method ◽  
Stock Exchange ◽  
Market Performance ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Equity Fund ◽  
Consistent Performance ◽  
Descriptive Method

This study aims to determine the comparison of stock mutual fund performance using sharpe method and treynor method. The research method used in this research is descriptive method with quantitative approach. The object of this study using all mutual fund shares listed on the Indonesia Stock Exchange period 2013-2016. The technique of determining the sample using purposive sampling method so that 66 mutual funds were chosen as research sample. The results of this study explain that there are differences in the results of the performance of stock mutual funds using sharpe method and treynor method on mutual fund shares listed on the Indonesia Stock Exchange (BEI) where each performance value fluctuates in the period 20132016. The results show that only a few stock mutual funds are above market performance by using sharpe method and treynor method during the period 2013-2016. The results show that only one stock mutual fund that has consistent performance above market performance during the period 2013-2016 using the sharpe method of equity fund Sam Equity Fund.

scholarly journals Performance Comparison of Islamic Mutual Funds with Conventional Mutual Funds

2019 ◽  
Vol 3 (1) ◽  
pp. 38-54
Author(s):  
Moch. Amin
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Secondary Data ◽  
Fund Performance ◽  
Statistical Test ◽  
Performance Comparison ◽  
T Test ◽  
Mutual Fund Performance ◽  
Analysis Method ◽  
Report Data

The purpose of this study is to determine whether or not there is a difference in mutual fund performance between sharia mutual funds and conventional mutual funds from 2016 to 2018. The data used is secondary data in the form of NVA report data of 34 mutual funds consisting of 16 sharia mutual funds and 18 conventional mutual funds. The data analysis method used is the Jensen Index, Sharpe index, Treynor Index, MM Index, and TT Index methods and uses the t-test to see whether there are differences in mutual fund performance. The results of this study conclude that quantitatively there is no difference in mutual fund performance between sharia mutual funds and conventional mutual funds. Likewise, the statistical test with the t-test shows that there is no difference in performance in terms of the Jensen Index, Sharpe index, Treynor Index, MM Index, and TT Index.

scholarly journals Investor confidence and mutual fund performance in emerging markets

2018 ◽  
Vol 45 (6) ◽  
pp. 1288-1310 ◽  
Author(s):  
Ann-Ngoc Nguyen ◽  
Muhammad Sadiq Shahid ◽  
David Kernohan
Keyword(s):  
Emerging Markets ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Unobserved Heterogeneity ◽  
Generalized Method Of Moments ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Content Type ◽  
Investor Confidence ◽  
The Impact

Purpose The purpose of this paper is to investigate the impact of investor confidence on mutual fund performance in two relatively vulnerable but leading emerging markets, India and Pakistan. Design/methodology/approach A pooled ordinary least squared (OLS) model is used to look at two alternative measures of investor confidence and test for the relationship between investor confidence and mutual fund returns. To check the robustness of the findings, the authors also implement two-stage least squares and generalized method of moments techniques to control for unobserved heterogeneity, simultaneity and dynamic endogeneity problems in the regressors. Findings The paper finds that the returns of mutual funds are positively associated with investor confidence and an interaction effect exists between investor confidence and persistence in performance. The paper also confirms that returns from mutual funds are associated with different fund characteristics such as fund size, turnover, expense, liquidity, performance persistence and the fund’s age. These findings remain robust to alternative model specifications and measures of investor confidence. Originality/value While the previous literature mainly focuses on mutual fund characteristics and the macroeconomic determinants of mutual fund returns, this paper demonstrates that investor confidence plays an important role in determining mutual fund performance. The authors attribute this finding to two relatively unique features of the emerging markets in the study. A lack of awareness of mutual funds as being a low-cost investment vehicle and the interplay of cultural and behavioral changes have prevented investor’s savings from being channeled into investment products, away from gold or property.

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