Investments in ESG-Rated Mutual Funds: Is Good Better than Great?

2019 ◽  
Vol 22 (1) ◽  
pp. 56-61
Author(s):  
Bernadette M. Ruf ◽  
Nandita Das ◽  
Swarn Chatterjee ◽  
Aman Sunder
Keyword(s):  
Mutual Funds ◽  
Better Than

scholarly journals Performance of Portfolios Based on the Expected Utility-Entropy Fund Rating Approach

Entropy ◽  
2021 ◽  
Vol 23 (4) ◽  
pp. 481
Author(s):  
Daniel Chiew ◽  
Judy Qiu ◽  
Sirimon Treepongkaruna ◽  
Jiping Yang ◽  
Chenxiao Shi
Keyword(s):  
Mutual Funds ◽  
Portfolio Selection ◽  
Expected Utility ◽  
Decision Model ◽  
Risky Choice ◽  
Numerical Representation ◽  
Better Than ◽  
The Eu

Yang and Qiu proposed and reframed an expected utility–entropy (EU-E) based decision model. Later on, a similar numerical representation for a risky choice was axiomatically developed by Luce et al. under the condition of segregation. Recently, we established a fund rating approach based on the EU-E decision model and Morningstar ratings. In this paper, we apply the approach to US mutual funds and construct portfolios using the best rating funds. Furthermore, we evaluate the performance of the fund ratings based on the EU-E decision model against Morningstar ratings by examining the performance of the three models in portfolio selection. The conclusions show that portfolios constructed using the ratings based on the EU-E models with moderate tradeoff coefficients perform better than those constructed using Morningstar. The conclusion is robust to different rebalancing intervals.

scholarly journals Responsible or Thematic? The True Nature of Sustainability-Themed Mutual Funds

2019 ◽  
Vol 11 (12) ◽  
pp. 3304 ◽  
Author(s):  
Federica Ielasi ◽  
Monica Rossolini
Keyword(s):  
Mutual Funds ◽  
Factor Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Socially Responsible ◽  
True Nature ◽  
Asset Pricing Model ◽  
Fama And French ◽  
Better Than

The aim of the paper is to compare the risk-adjusted performance of sustainability-themed funds with other categories of mutual funds: sustainable and responsible mutual funds that implement different approaches in portfolio selection and management, and thematic funds not committed to responsible investments. The study analyses a sample of about 1000 European mutual open-end funds where 302 are sustainability-themed funds, 358 are other responsible funds, and 341 other thematic funds. Risk-adjusted performance is analyzed for the period 2007–2017 using different methodologies: a single factor Capital Asset Pricing Model (CAPM), a Fama and French (1993) 3-factor model, and a Fama and French (2015) 5-factor model. Our main findings demonstrate that the risk-adjusted performance of ST funds is more closely related to their responsible nature than to their thematic approach. Sustainability-themed mutual funds are more similar to other socially responsible funds than to other thematic funds, as confirmed by performance analysis over time. They are also better than other thematic funds in overcoming financially turbulent periods and currently benefit from SRI regulation and disclosure.

scholarly journals A Comparative Study on Performance of Open and Close-ended Mutual Funds in Pakistan

2015 ◽  
Vol 1 (1) ◽  
pp. 300
Author(s):  
Waqas Ahmad ◽  
Muhammad Sohaib Roomi ◽  
Muhammad Ramzan ◽  
Muhammad Zia-ur-Rehman ◽  
Sajjad Ahmad Baig
Keyword(s):  
Financial Crisis ◽  
Comparative Study ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Portfolio Performance ◽  
Sample Period ◽  
Market Portfolio ◽  
Fund Industry ◽  
Mutual Fund Industry ◽  
Better Than

This paper is based on the comparison of Pakistani open-ended and close-ended mutual funds performance. That study focus on income, balance and equity schemes of open-ended and close-ended mutual funds. The performance of these funds evaluates using Sortino measure, Shrape measure, Treynor measure, Jenssen differtial measure and Inforamtion measure. The sample for the study consists of 73 funds from 2007 to 2012. Results show open-ended mutual funds performance is better than close-ended mutual funds. KSE (market portfolio) performance is grater over the all sample base mutual funds. Most risk adjusted funds returns are negative, which probably due to mutual fund industry set back by financial crisis during sample period.  

scholarly journals Conventional Versus Sharia Money Market Mutual Funds: Which Performs Better During the Covid-19 Pandemic?

2021 ◽  
Vol 2 (3) ◽  
pp. 35-40
Author(s):  
Dina Yeni Martia ◽  
Muhammad Rois ◽  
Muliasari ◽  
Latifah Risqiana ◽  
Noverdi Radja Dwilega
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Secondary Data ◽  
Money Market ◽  
Sharpe Ratio ◽  
Comparison Approach ◽  
Significant Difference ◽  
Asset Value ◽  
Money Market Mutual Funds ◽  
Better Than

This study aims to determine whether conventional money market mutual funds perform better than sharia money market mutual funds or vice versa during the COVID-19 pandemic in Indonesia. This research method is descriptive with a quantitative comparison approach. This study employed secondary data obtained from IDX, Indonesian Bank, and Pasar Dana website.  The research employed the money market mutual funds data, Net Asset Value, BI 7 Days Repo rate during year 2020. Sharpe ratio utilized in this research to determine the money market mutual funds performance. Then, the result compared by using Independent sample T-test on SPSS. The result uncovers that in general the performance of conventional money market mutual funds performance superior the sharia money market mutual funds performance during covid-19 in Indonesia. However, both mutual funds average Sharpe ratio show the negative number during 2020. Moreover, there are no significant difference between conventional and sharia money market mutual funds returns during the period 2020. The high different return on the maximum return due to some conventional mutual fund perform exceptional during 2020.

scholarly journals The relation between management fees and the mutual funds` performance in Poland in 2015

2018 ◽  
Vol 9 (2) ◽  
pp. 245-259
Author(s):  
Alicja Fraś
Keyword(s):  
Mutual Funds ◽  
Value Added ◽  
Factor Models ◽  
Rate Of Return ◽  
Rates Of Return ◽  
Independent Variables ◽  
Management Fees ◽  
Time Horizons ◽  
Yearly Period ◽  
Better Than

Research background: The investor`s expectation of better performance in the case of more expensive mutual funds seems natural and fully justified. However, the rise of passive funds and their surprisingly good results, especially when taking into account their low fees, triggered the discussion. Recent years have brought more and more studies, conducted mostly for the American market, discrediting high-charging, aggressive funds. First analyses in Poland also indicate that the level of fees is not always linked with the fund’s performance. Purpose of the article: The purpose of the study is to investigate the relation be-tween the fees imposed by the mutual funds and the funds` performance. The idea is to verify, whether higher management fees are associated with top performance and whether it is rational to pay more for capital management. Methods: In the first step of the study, linearity and direction of the dependency was explored, using scatterplots and correlation analysis. In the second part, the linear regression was created to verify the strength of the relation. One-factor models have been built with the rate of return and standard deviation as independent variables for 1-, 3- and 5-year time horizons. Moreover, two-factor models, including both rate of return and risk has been created, to compare the significance of return and risk factor. Findings & Value added: The results indicated that more expensive Polish mutual funds in 2015 tended to perform worse in all tested time horizons — both in terms of lower rates of return and higher risk. Especially unexpected are the results of rates of return regression analysis — it turns out that within a sample 1% higher fee implied over 0.6% lower rate of return before fees (in yearly period). Nonetheless, the risk turned out to be more important, explaining the charges variability much better than the rate of return. Another interesting finding of the study is that merely two simple factors (return and risk) explain even as much as 60% of the management fee variability.

Performance evaluation of Pakistan’s mutual fund industry

2019 ◽  
Vol 12 (2) ◽  
Author(s):  
Ayesha Iraj ◽  
Syed Mohsin Ali
Keyword(s):  
Performance Evaluation ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Factor Model ◽  
The Body ◽  
Body Of Knowledge ◽  
The Us ◽  
Fund Industry ◽  
Mutual Fund Industry ◽  
Better Than

In order to evaluate the performance of mutual fund industry in various financial markets a wide variety of researches have been conducted, which lead to different results. As Pakistani mutual fund industry is much younger as compared to the US and UK fund industries and thus limited work has been done to evaluate Pakistani mutual fund industry. Over the past few years the industry had showed a phenomenal growth and it makes it worthwhile to study the performance of mutual funds. The aim of this research study is to validate the Fama French 3-Factor Model and Carhart 4-Factor Model. Also this research attempts to test that which one of the included model performs better than the other so as to check there preferred suitability in measuring and evaluating the mutual fund performance in Pakistan. The monthly data of 323 open ended mutual funds for the period of 2008 to 2018 is analyzed. The GRS model validation test was applied, the results of the test found that the Carhart 4-Factor Model performed much better than the Fama French 3-Factor Model and from the CAPM as well. This research contributes to the body of knowledge by providing academicians and practitioners more knowledge regarding multifactor asset pricing model so as to make better investment decisions. Keywords: Mutual funds, performance evaluation, CAPM, Fama-French 3- factor model, Carhart 4-factor model

PERFORMANCE EVALUATION OF SELECT EQUITY ORIENTED MUTUAL FUNDS SCHEMES IN INDIA

2020 ◽  
pp. 96-101
Author(s):  
Dr. Kingshuk Adhikari ◽  
Prof. Nikhil Bhusan Dey ◽  
Mahfuz Alom Mazumder
Keyword(s):  
Performance Evaluation ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Growth Options ◽  
Long Period ◽  
Large Numbers ◽  
The World ◽  
Different Types ◽  
Areas Of Interest ◽  
Better Than

The performance evaluation of mutual fund schemes is one of the most popular areas of interest not only for the mutual fund investors but also for the researchers of developed as well as developing countries of the world. A large numbers of mutual fund schemes exist in the market and it is really difficult for the researchers to analyse the performance of mutual fund schemes over a long period of time. Further, mutual fund schemes offered by different AMCs are of different types not only in terms of their features but also in terms of their operational nomenclature. The present study makes an attempt to analyse the performance of ten equity oriented mutual fund schemes with growth options over a period of ten years from April 2005 to March 2015. In order to evaluate the performance of mutual fund schemes, the study examines the return, risk and risk-adjusted returns using Sharpe, Treynor, and Jensen measures. Out of ten schemes selected for the study, eight schemes have performed better than the market during the study period and so far as risk is concerned out of ten schemes selected two schemes have been considered more risky as compared to benchmark Index. Sharpe, Treynor and Jensen ratio of all the select schemes are positive during the study period which implies good performance of the schemes during the study period. KEY WORDS: - Performance, Equity, Return, Risk, Sharpe, Treynor, Jensen

scholarly journals Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds

2019 ◽  
Vol 7 (3) ◽  
pp. 48 ◽  
Author(s):  
Zouaoui
Keyword(s):  
Comparative Analysis ◽  
Mutual Funds ◽  
Market Timing ◽  
Performance Persistence ◽  
Stock Selection ◽  
Fund Managers ◽  
Market Index ◽  
Good Market ◽  
Timing Ability ◽  
Better Than

This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis (locally, Arab, internationally) and Sharia compliance (Islamic and conventional). The empirical results indicate that Islamic funds underperformed conventional funds internationally but not locally. Findings suggest that the market selectivity skills of managers in the Islamic funds are better than the conventional funds. In addition, only the managers of Saudi conventional funds investing internationally have a good market timing skills, thus, they are able to beat the market index by predicting its movements and buying and selling accordingly. Furthermore, this study gives a brief idea about the performance persistence of HSBC Saudi funds. The results confirm existence of the persistence performance when the funds do not apply Sharia law and when they are instead focused internationally.

An empirical investigation into the performance of UK pension fund managers

2009 ◽  
Vol 9 (4) ◽  
pp. 533-547 ◽  
Author(s):  
ANDREW CLARE ◽  
DIRK NITZSCHE ◽  
KEITH CUTHBERTSON
Keyword(s):  
Mutual Funds ◽  
Pension Fund ◽  
Empirical Investigation ◽  
Defined Benefit ◽  
Fund Managers ◽  
Great Confidence ◽  
Using Data ◽  
Defined Benefit Pensions ◽  
Management Groups ◽  
Better Than

AbstractThe UK's defined benefit pensions industry makes widespread use of pooled investment vehicles which are provided by a large number of fund management groups. In this paper, we provide the first comprehensive performance analysis of these funds. Using data on 734 actively managed pooled funds that had a combined value of just over £400bn at the end of 2007, ranging from UK equity to funds specialising in Pacific Basin equities, our results indicate that the performance of these institutional funds is generally better than those reported in the literature for managers of mutual funds. Nevertheless, with increasing numbers of UK fund managers purporting to be able to provide high alpha products to the UK's beleaguered pensions industry our results do not give us great confidence that the solution to the widespread deficits of the UK's pension fund industry lies in the hands of these active fund managers.

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