scholarly journals Does Sustainability Score Impact Mutual Fund Performance?

2019 ◽  
Vol 11 (10) ◽  
pp. 2972 ◽  
Author(s):  
Pablo Durán-Santomil ◽  
Luis Otero-González ◽  
Renato Heitor Correia-Domingues ◽  
Juan Carlos Reboredo
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Value At Risk ◽  
Fund Performance ◽  
Fund Flows ◽  
Socially Responsible ◽  
Equity Fund ◽  
Socially Responsible Investments ◽  
Mutual Fund Flows ◽  
European Equity

Given that sustainable investing constitutes a major force across global financial markets, in 2016 Morningstar began reporting Morningstar Sustainability scores. We used the 2016, 2017 and 2018 scores to study the effects of socially responsible investments (SRI) on European equity fund performance. Sustainability scores impacted positively on performance, which was consistent with the idea that the mutual funds invested in companies with better scores generate better risk-adjusted and not-risk adjusted performance. We also tested the relation on mutual fund flows and risk. The sustainability score in the previous year is significant on the flows, so higher-rated funds receive a larger volume of funds. In terms of risk, the level of sustainability is negatively related to the value at risk (VaR) of the fund, supporting that higher scored mutual funds offer better protection against extreme losses.

scholarly journals The Effect of Performance on Israeli Equity Fund Flows

2017 ◽  
Vol 6 (4) ◽  
pp. 272
Author(s):  
Ofer Arbaa ◽  
Eva Varon ◽  
Uri Benzion
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Investor Behavior ◽  
Fund Flows ◽  
Past Performance ◽  
Equity Fund ◽  
Equity Mutual Funds ◽  
The Us ◽  
Mutual Fund Flows ◽  
Net Flows

This paper examines the influence of past performance on Israeli equity mutual funds' net flows between January 2004 and July 2014, using the most recommended and reliable two-cluster regression methodology. Apparently, Israeli investors are more sensitive to risk adjusted returns than absolute returns and the most recent performance seems to be more influential on fund flows than on longer-term past performance. Moreover, investors flock to the latest winners and do not leave the funds with the poorest performance. The effect of past performance seems to be more salient on flows of advertised funds than of those with no advertisement.  The results in Israel augment the scant work on mutual fund flows outside the US and add support to a growing body of literature documenting irrational investor behavior worldwide. 

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 A comparative study of the performance of Saudi mutual funds

2016 ◽  
Vol 13 (4) ◽  
pp. 89-102 ◽  
Author(s):  
Ahmed El-Masry ◽  
Dalia A. El-Mosallamy
Keyword(s):  
Emerging Markets ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Emerging Market ◽  
Explanatory Power ◽  
Fund Performance ◽  
The Other ◽  
Equity Fund ◽  
Evaluation Measures ◽  
Market Portfolio

This study examines the performance of 21 Saudi mutual funds using the CAPM and downside CAPM D-CAPM models over the period 2005-2011. Initially equity fund performance is examined against two benchmarks TASI and the GCCI Islamic index utilizing the traditional beta and CAPM performance evaluation measures. The evaluation is then replicated utilizing the downside beta and other tests of funds’ performance derived from the CAPM in the down side framework. The results indicate that the downside beta could be more relevant in terms of its higher explanatory power than the traditional beta and thus CAPM in the downside framework could be more relevant to report on funds’ performance in this emerging market. After exploring the aggregate performance by forming two fund portfolios; one representing the average Islamic mutual fund and the other is the average conventional fund, to examine the performance of the Islamic mutual funds portfolio compared to its conventional peers and to the overall market, the study finds, on average, Islamic mutual funds in outperform conventional mutual funds and the market portfolio. The study concludes that it is equally important for practitioners in emerging markets, to report performance using both CAPM measures and D-CAPM measures and if differences exist, then the D-CAPM could be the superior measure because of its suitability to the asymmetrical distribution of returns existing in emerging markets in general.

Can mutual fund flows serve as market risk sentiment?

2017 ◽  
Vol 18 (2) ◽  
pp. 159-185 ◽  
Author(s):  
Hsin-Hui Chiu ◽  
Lu Zhu
Keyword(s):  
Mutual Fund ◽  
Risk Perceptions ◽  
Money Market ◽  
Fund Flows ◽  
Equity Fund ◽  
Content Type ◽  
Market Sentiment ◽  
Money Market Funds ◽  
Primary Driver ◽  
Mutual Fund Flows

Purpose This paper aims to examine the information content of mutual fund flows and its indication on investors’ preference/tolerance toward risk. Design/methodology/approach Mutual funds are grouped into different categories based on assets with different levels of risk perceptions (e.g. equity fund, money market fund), and this information is publicly accessible. This paper examines the correlation patterns between fund flows and changes in credit default swaps (CDS) spreads. In addition, it also examines such a relation by dividing the samples into different fund types (e.g. retail vs institutional fund flows). Findings This paper suggests that equity fund flows are negatively related to CDS spreads, whereas money market fund flows are positively related to CDS spreads. Furthermore, it indicates that retail fund flows provide insightful information and serve as the primary driver behind the relation between fund flows and CDS spreads. Originality/value The findings of this paper indicate that flows into equity and money market funds could serve as a risk sentiment in credit markets. And this is the first study, to the best of the author’s knowledge, to establish such a linkage between fund flows and CDS spreads to help investors gauge credit market sentiment.

scholarly journals Mutual fund performance: Some recent evidence from European equity funds

2021 ◽  
Vol 66 (230) ◽  
pp. 7-33
Author(s):  
Milos Bozovic
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
The United States ◽  
Fund Performance ◽  
Equity Investment ◽  
Asset Pricing Anomalies ◽  
Pricing Anomalies ◽  
Equity Funds ◽  
European Equity ◽  
Passive Strategy

This paper studies the performance of mutual funds that specialise in equity investment. We use a sample of the top sixteen actively managed European equity funds operating in the United States between July 1990 and November 2020. Using standard factor models, we show that none of our sample funds generated a positive and significant alpha. The observed funds could not outperform a simple passive strategy that involves tradeable European benchmark portfolios in the longer run. As a rule, the funds in our sample did not exploit the known asset pricing anomalies.

scholarly journals Capital markets in Central and Eastern Europe: two selected cases

2017 ◽  
Vol 11 (1) ◽  
pp. 597-606 ◽  
Author(s):  
Luminiţa Nicolescu ◽  
Florentin Gabriel Tudorache
Keyword(s):  
Financial Crisis ◽  
Mutual Funds ◽  
Capital Markets ◽  
Mutual Fund ◽  
Global Financial Crisis ◽  
Fund Flows ◽  
Past Performance ◽  
Individual Level ◽  
The Global Financial Crisis ◽  
Mutual Fund Flows

Abstract The evolution of mutual funds in terms of their inflows and outflows is seen as a good indicator of the capital markets’ performance in different countries. At individual level, investors substantiate their buying decisions on the past performance information and invest asymmetrically in funds with very good performance in the previous periods. Numerous studies, mainly conducted in US, illustrate that mutual fund flows are highly dependent on the funds’ previous performance, as a common behavior of investors resides in looking for highly performing funds than to get rid of poorly performing ones. This paper investigates the flows of funds into and out of Slovakian and Hungarian mutual funds during the period 2007-2014 and has as main purpose to analyze the behavior of investors in mutual funds in these two emerging financial markets. The analysis focuses on identifying patterns in investors’ decision making processes and on checking the similarity of their behavioral patterns and illustrating differences among the two. Given the peculiarities of the studied period, a financially turbulent period, the paper also tries to evaluate if and how the financial crisis affected the investing behavior of Slovakian and Hungarian investors, based on the evolution of inflows and outflows of funds in a period that comprises the global financial crisis and the present period in which recovery has started.

scholarly journals Runs on Money Market Mutual Funds

2016 ◽  
Vol 106 (9) ◽  
pp. 2625-2657 ◽  
Author(s):  
Lawrence Schmidt ◽  
Allan Timmermann ◽  
Russ Wermers
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Money Market ◽  
Fund Flows ◽  
Dynamic Interactions ◽  
Cross Sectional ◽  
Class Level ◽  
Money Market Mutual Funds ◽  
The Individual ◽  
Mutual Fund Flows

We study daily money market mutual fund flows at the individual share class level during September 2008. This fine granularity of data allows new insights into investor and portfolio holding characteristics conducive to run risk in cash-like asset pools. We find that cross-sectional flow data observed during the week of the Lehman failure are consistent with key implications of a simple model of coordination with incomplete information and strategic complementarities. Similar conclusions follow from daily models fitted to capture dynamic interactions between investors with differing levels of sophistication within the same money fund, holding constant the underlying portfolio. (JEL D14, G11, G23)

scholarly journals Seasonality In Mutual Fund Flows

2015 ◽  
Vol 31 (2) ◽  
pp. 715 ◽  
Author(s):  
Hyung-Suk Choi
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Investment Decisions ◽  
Cash Flows ◽  
Fund Flows ◽  
Equity Funds ◽  
Mutual Fund Flows ◽  
Net Flows

<p>In this paper I establish the presence of seasonality in cash flows to U.S. domestic mutual funds. January is the month with the highest net cash flows to equity funds and December is the month with the lowest net cash flows. The large net flows in January are attributed to increased purchases, and the small net flows in December are due to increased redemptions. Thus, the turn-of-the-year period is the time that most mutual fund investors make their investment decisions.</p>

Analisis Kinerja Reksa Dana Saham Dengan Menggunakan Metode Sharpe Dan Jensen Untuk Periode 2005 – 2009

2016 ◽  
Vol 2 (2) ◽  
pp. 97
Author(s):  
Trisiwi Pujiarti ◽  
Farida Ratna Dewi
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Research Result ◽  
Fund Performance ◽  
Equity Fund ◽  
Risk Levels ◽  
Fund Managers ◽  
Investment Option ◽  
Analytical Tools ◽  
Diversified Portfolio

Every investment option are risky because of uncertainty. Each investment instruments have different risk levels. Measurement of risk impact depends on the type of Investment. "Do not put all your eggs into one basket" is frequently echoed to warning investors as suggestions effort to minimize the risks by investing in diversified portfolio to avoid losses. The sharpe method and Jensen method are the main analytical tools to analize Equity Fund Performance. The research are analyzing many of mutual fund such as TRIM Kapital mutual fund, Firtis Ekuitas mutual fund, Batavia Dana Saham mutual fund, and Schroder Dana Prestasi mutual fund. The research result gave the rating for the performance of stock mutual funds, which can be help investors and prospective investors in assessing the merits of a mutual fund. The ranking describe the ability of fund managers in managing performance of mutual funds, which the highest ranked have better ability than the other investment managers.

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