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.

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 The impact of country-level and fund-level factors on mutual fund performance in Vietnam

2019 ◽  
Vol 21 (1) ◽  
pp. 42-56
Author(s):  
Hoa Thi Nguyen ◽  
Dung Thi Nguyet Nguyen
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Investment Decision ◽  
Political Stability ◽  
Fund Performance ◽  
Data Set ◽  
Policy Makers ◽  
Content Type ◽  
Country Level ◽  
The Impact

Purpose The purpose of this paper is to examine the determinants of mutual funds’ performance at both a country level and a fund level in Vietnam. Design/methodology/approach The different types of funds with more than three-year operation are selected to remove outliers of the stock market boom from 2015 to 2018. The data set includes 54 mutual funds operating during the period from 2008 until November 2018. Findings The research finds that there is a positive relationship between macroeconomics and mutual funds’ performance. Furthermore, country-level governance such as regulation effectiveness, political stability, economic growth and financial development has a positive correlation with mutual funds’ performance. However, the impact of fund-level factors is diverse with the no significant impact of board size on mutual fund’s performance, while passive funds perform better than active funds in Vietnam. Practical implications The research results suggest that investors should pay attention to the types of funds and operating expense when making an investment decision in mutual funds. There are some recommendations for both government policy-makers and the mutual fund industry that are likely to facilitate the development of this field in Vietnam. Originality/value The research contributes to the understanding of what are the factors that should be considered when investing in mutual 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.

Characteristics of Successful Hedge Fund Managers

2017 ◽  
Author(s):  
Ashrafee T. Hossain ◽  
Samir Saadi ◽  
Maxim Treff
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Hedge Fund ◽  
Fund Performance ◽  
Managerial Skills ◽  
Fund Managers ◽  
Key Characteristics ◽  
Strong Relation ◽  
History Of ◽  
Hedge Fund Performance

Managerial skill is a key determinant of a hedge fund’s success. Identifying the key characteristics of successful managers is important because of a strong relation between hedge fund performance and managerial skills. This chapter provides a brief history of some highly successful hedge fund managers as well as a discussion of the different demands of the hedge fund industry versus other pooled investments, such as mutual funds. Furthermore, the chapter examines the differences between hedge fund and mutual fund managers involving return expectations, performance measures, and compensation. Next the chapter explores the key characteristics that hedge fund managers should possess to be successful. Although some characteristics are easy to identify and measure, others are less so. The chapter also includes a detailed discussion of social versus human capital.

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.

scholarly journals Mutual Fund Performance in Slovenia: An Analysis of Mutual Funds with Investment Policies in Europe and the Energy Sector

2011 ◽  
Vol 6 (1) ◽  
pp. 61-69 ◽  
Author(s):  
Tanja Hribernik ◽  
Uroš Vek
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Performance ◽  
Energy Sector ◽  
Mutual Fund Performance ◽  
International Studies ◽  
Information Ratio ◽  
Risk And Return ◽  
Investment Policies ◽  
Fund Managers

Mutual Fund Performance in Slovenia: An Analysis of Mutual Funds with Investment Policies in Europe and the Energy Sector This paper examines the risk and return performance of mutual funds in Slovenia from 2005 until August 2009. The research is limited to the regional investment policies in Europe and the energy sector. Using monthly returns, we analyzed different risk-adjusted measures such as: the Treynor ratio, the Sortino ratio and the Information ratio. We also studied selections and timing ability using the Treynor-Mazuy model. The risk and return performance of mutual funds in the Slovenian market does not deviate from those in developed markets. We also found out that the selection ability of fund managers is better than market timing and that the findings of this paper are in accordance with other international studies.

Do Mutual Funds Perform When It Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions

2011 ◽  
Vol 01 (03) ◽  
pp. 607-664 ◽  
Author(s):  
Robert Kosowski
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Regime Switching ◽  
Factor Model ◽  
Marginal Utility ◽  
Value Added ◽  
Fund Performance ◽  
Fund Managers ◽  
Switching Performance ◽  
Equity Mutual Funds

This paper shows that the stylized fact of average mutual fund underperformance documented in the literature stems from expansion periods when funds have statistically significant negative risk-adjusted performance and not recession periods when risk-adjusted fund performance is positive. These results imply that traditional unconditional performance measures understate the value added by active mutual fund managers in recessions, when investors' marginal utility of wealth is high. The risk-adjusted performance (or alpha) difference between recession and expansion periods is statistically and economically significant at 3% to 5% per year. Our findings are based on a novel multi-variate conditional regime-switching performance methodology used to carry out one of the most comprehensive examinations of the performance of US domestic equity mutual funds in recessions and expansions from 1962 to 2005. The findings are robust to the choice of the factor model (including bond and liquidity factor extensions), the use of NBER business cycle dates, fund load, turnover, expenses and percentage of equity holdings.

scholarly journals MEASURING ATTITUDE TOWARDS MUTUAL FUND INVESTMENT DECISIONS: EVIDENCE FROM TRIPURA, INDIA

2021 ◽  
pp. 1-12
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Investment Decisions ◽  
Primary Data ◽  
Fund Managers ◽  
Study Methodology ◽  
Bank Employees ◽  
Fund Investment ◽  
Improve Attitude ◽  
The Impact

The purpose of this paper is to assess the attitude of bank employees in Tripura towards investment in the mutual fund and investigate the impact of attitude on volume of investment. The study methodology is based on the responses of a questionnaire received from 262 employees of banks in Tripura. On the basis of primary data, the attitude of the employees has been assessed and ordinal logistic regression is used to find out the impact of attitude on their volume of investment in mutual fund. It is found that overall attitude of bank employees in Tripura towards investment in mutual fund is favorable. It can also be concluded that attitude and volume of investment in mutual fund is positively related. The study is useful for the fund managers of mutual funds. Once the attitude to employees towards investment in mutual fund is ascertained, then suitable strategy regarding imparting training can be designed to improve attitude towards investment in mutual fund. The study is original in nature.

scholarly journals THE EFFICIENCY EVALUATION OF MUTUAL FUND MANAGERS BASED ON DARA, CARA, IARA

2013 ◽  
Vol 14 (4) ◽  
pp. 677-695 ◽  
Author(s):  
Mohammad Reza Tavakoli Baghdadabad ◽  
Farid Habibi Tanha ◽  
Noreha Halid
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Data Envelopment ◽  
Unique Contribution ◽  
Management Styles ◽  
Mutual Fund Managers ◽  
Dea Model ◽  
Technical Management ◽  
Fund Managers ◽  
The Impact

We evaluate the efficiency of mutual fund managers of 20 different classes of management styles to identify the most efficient strategies and to propose an optimal pattern in selecting the funds by investors. We collect monthly data of 17,686 US mutual funds for a five-year period 2005–2010 to minimize the impact of survivorship bias and use Data Envelopment Analysis (DEA) model to evaluate the mutual fund performance. The set of considered inputs comprised “variance”, representing the mutual fund risk, and “turnover, expense ratio and loads indicators”, reflecting the mutual fund costs and fees. Two kinds of outputs are taken into account by our DEA model, “portfolio return” and “stochastic dominance indicators”. As a unique contribution, we state the benefits of the DEA approach in the DARA, CARA, and IARA framework, and evaluate the efficiency of mutual funds based on fund strategies as well as the performance of best mutual funds among their group. The evidence shows that the efficiency scores of technical, management, and scale are respectively 0.81, 0.921, and 0.874 for the DARA model, while the efficiency scores of two models of CARA and IARA are negligible. Also, we rank each management strategy in any model based on two methods – the number of referencing and the weighted value so that the managers of inefficient strategies must pattern the managers’ ability of reference (efficient) strategies to improve their efficiency on the fund market in future.

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.

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