scholarly journals The Effect of Fund Uniqueness on Fund Flow Sensitivity: An Empirical Study of Chinese Public Mutual Funds

2016 ◽  
Vol 8 (10) ◽  
pp. 14
Author(s):  
Qiaobo Zhang
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Flows ◽  
Past Performance ◽  
Flow Sensitivity ◽  
Fund Flow ◽  
Stable Pattern ◽  
Panel Regressions ◽  
Equity Funds ◽  
Cluster Analysis Method

With the quick development of mutual funds in China, problem of fund homogeneity becomes more and more non-negligible. This paper constructs a uniqueness index to measure the uniqueness of funds in China by applying cluster analysis method and studies the effect of fund uniqueness on fund flow sensitivity with panel regressions. Using the sample of Chinese publicly-traded equity funds over the years at the quarterly frequency, the empirical result shows that fund uniqueness exert a significant impact on fund flows. That is, fund flows respond less sensitively to the past performance of unique funds than non-unique funds, indicating that more unique funds tend to exhibit a more stable pattern of fund flows. Based on these findings and relevant theories, this paper puts forward some suggestions on promoting the differentiation of fund products in China and thus contributes to the overall health of Chinese mutual fund market.

scholarly journals Mutual fund flow-performance dynamics under different market conditions in South Africa

2021 ◽  
Vol 18 (1) ◽  
pp. 236-249
Author(s):  
Richard Apau ◽  
Paul-Francois Muzindutsi ◽  
Peter Moores-Pitt
Keyword(s):  
South Africa ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Flows ◽  
Past Performance ◽  
Market Conditions ◽  
Fund Flow ◽  
Dynamic Relationship ◽  
Equity Mutual Funds ◽  
Performance Effects

Questions regarding the specific factors that drive continuous cash allocations by investors into portfolios of actively managed funds, despite consistent underperformance, continue to remain an inexhaustive aspect of the literature that calls for further investigations. This study assesses the dynamic relationship between fund flow and performance of equity mutual funds in South Africa under different market conditions. The study employs a GMM technique to analyze the panel data of 52 South African equity mutual funds from 2006 to 2019. The analysis found that convexity is prevalent in the flow-performance relationship, where fund contributors in subsequent periods allocate recent underperforming and outperforming funds disproportionate cash. This finding is evident in the lack of significance in the past performance effects on subsequent fund flows. The study found that lagged fund flows, fund size, fund risk, and market risk drive subsequent fund flows under changing conditions of the general market and fund markets. Overall, it is posited that fund contributors and asset administrators adapt to prevailing market dynamics relative to trading decisions. As a result, this affirms the normative guidelines of the Adaptive Markets Hypothesis, leading to the conclusion that exogenous factors drive fluctuations in fund flows in South Africa.

Fund Flow Volatility and Performance

2009 ◽  
Vol 45 (1) ◽  
pp. 223-237 ◽  
Author(s):  
David Rakowski
Keyword(s):  
Mutual Fund ◽  
Negative Relationship ◽  
Fund Flows ◽  
Cross Sectional ◽  
Fund Flow ◽  
Performance Differences ◽  
Significant Negative Relationship ◽  
Equity Funds ◽  
And Performance ◽  
The Impact

AbstractThis paper provides a detailed analysis of the impact of daily mutual fund flow volatility on fund performance. I document a significant negative relationship between the volatility of daily fund flows and cross-sectional differences in risk-adjusted performance. This relationship is driven by domestic equity funds, as well as small funds, well-performing funds, and funds that experience inflows over the sample period. My results are consistent with performance differences arising from the transaction costs of nondiscretionary trading driven by daily fund flows, but not with performance differences arising from the suboptimal cash holdings that arise from fund flows.

scholarly journals Portfolio Managers on the Colombian Open-End Mutual Fund Industry: Performance, downside risk and persistence

2019 ◽  
Vol 32 (59) ◽  
Author(s):  
Fredy Alexander Pulga Vivas ◽  
María Teresa Macías Joven
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Risk Measures ◽  
Downside Risk ◽  
Investment Strategies ◽  
Short Term ◽  
Past Performance ◽  
Investment Trusts ◽  
Bond Funds ◽  
Equity Funds

This study explores whether Colombian mutual funds deliver abnormal risk-adjusted returns and delves on their persistence. Through traditional and downside risk measures based on Modern Portfolio Theory and Lower Partial Moments, this article evaluates the performance of 146 mutual funds categorized by investment type and fund manager. This assessment suggests that mutual funds underperform the market and deliver real returns. Similarly, bond funds underperform equity funds, and investment trusts underperform brokerage firms as managers. Furthermore, bond funds and funds managed by investment trusts exhibit short-term performance persistence. These results suggest that investors may pursue passive investment strategies, and that they must analyze past performance to invest in the short-term.

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 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>

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 Seasonal Asset Allocation: Evidence from Mutual Fund Flows

2017 ◽  
Vol 52 (1) ◽  
pp. 71-109 ◽  
Author(s):  
Mark J. Kamstra ◽  
Lisa A. Kramer ◽  
Maurice D. Levi ◽  
Russ Wermers
Keyword(s):  
Risk Aversion ◽  
Mutual Funds ◽  
Asset Allocation ◽  
Mutual Fund ◽  
Capital Gains ◽  
Fund Flows ◽  
Flow Data ◽  
Equity Funds ◽  
Mutual Fund Flows ◽  
Investor Preference

We analyze the flow of money between mutual fund categories, finding strong evidence of seasonality in investor risk aversion. Aggregate investor flow data reveal an investor preference for safe mutual funds in autumn and risky funds in spring. During September alone, outflows from equity funds average $13 billion, controlling for previously documented flow determinants (e.g., capital-gains overhang). This movement of large amounts of money between fund categories is correlated with seasonality in investor risk aversion, consistent with investors preferring safer (riskier) investments in autumn (spring). We find consistent evidence in Canada and also in Australia, where seasons are offset by 6 months.

scholarly journals Determinant of Islamic Mutual Fund Performance: A Comparative Study Between Indonesia and Malaysia

2021 ◽  
Vol 9 (1) ◽  
pp. 83
Author(s):  
Mohammad Nur Rianto Al Arif ◽  
Aulia Saifullah
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Secondary Data ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Past Performance ◽  
Equity Mutual Funds ◽  
Panel Data Regression ◽  
Significant Difference ◽  
Equity Funds

<p><em>This study aims to analyze determinant performance of Islamic equity funds and compare the performance of Indonesian Islamic equity funds with Malaysian Islamic equity funds period 2017-2019. Factors that are thought to affect the performance of mutual funds are past performance and inflation. Mutual fund performance itself is measured using the Sharpe Index. This study uses secondary data and the sample is taken using purposive sampling. Methods of data analysis using Panel Data Regression. This study indicates that simultaneously the variables Past Performance and Inflation affect the performance of Islamic equity mutual funds in Indonesia and Malaysia.</em></p><em>Furthermore, it partially shows that Past Performance harms the performance of Islamic equity funds, while inflation positively affects the performance of Islamic equity funds. In addition, this study also shows that there is a significant difference between the performance of Indonesian and Malaysian Islamic equity funds. Malaysian Islamic equity funds were superior to Indonesian Islamic equity funds in 2017-2019.</em>

scholarly journals Is the effect the same every January? Seasonality and Brazilian equity fund flows

2020 ◽  
Vol 31 (84) ◽  
pp. 409-424
Author(s):  
Janaína Cássia Grossi ◽  
Rodrigo Fernandes Malaquias
Keyword(s):  
Stock Market ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Seasonal Pattern ◽  
January Effect ◽  
Seasonal Patterns ◽  
Fund Flows ◽  
Equity Mutual Funds ◽  
Equity Funds ◽  
Mutual Fund Flows

ABSTRACT Based on the assumption that seasonal patterns have been identified in stock market assets and also in the context of equity mutual funds, the aim of this research is to investigate the relationship between the seasonality presented by the January effect and the net flow of Brazilian equity funds. The study extends the potential effects of seasonality beyond the return on stock market assets, demonstrating that seasonal patterns can also be observed in Brazilian mutual fund flows. The literature mostly points to common factors related to the performance of equity mutual funds; therefore this study investigates mutual fund flows, demonstrating that different factors influence the decisions of fund investors, including seasonal factors. The study has practical implications for fund managers, as it highlights a set of variables that can be used to anticipate variations in fund flow, reducing their effects on performance and avoiding costs. The results were estimated using panel data regression analysis. The study sample consisted of 1,010 equity funds, covering the period from January of 2004 to June of 2018. It was found that the average net inflow of Brazilian equity mutual funds is higher in January than in other months of the year, which characterizes the existence of a seasonal pattern in their net flows. However, the effect is different between exclusive and non-exclusive funds. As contributions, our findings: (i) provide a better understanding about the factors related to investor decision-making; (ii) point out new aspects in which exclusive and non-exclusive funds differ; and (iii) present factors that influence mutual fund flows.

scholarly journals Investigating key fund characteristics influencing their investment performance in Saudi Arabia: Adynamic panel data approach

2021 ◽  
Vol 18 (2) ◽  
pp. 298-311
Author(s):  
Samira Ben Belgacem ◽  
Wafa Ghardallou ◽  
Razan Alshebel
Keyword(s):  
Saudi Arabia ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Economies Of Scale ◽  
Optimal Investment ◽  
Sharpe Ratio ◽  
Past Performance ◽  
Investment Performance ◽  
Fund Managers ◽  
Equity Funds

The study examines if specific characteristics of funds influence the performance of Saudi equity mutual funds. Previous research has explored various aspects of mutual funds. However, the Saudi Arabia literature focuses on evaluating the funds’ performance. Hence, this study seeks to close this gap by providing a framework to explain the equity fund performance. Several risks adjusted performance measures are applied such as Jensen’s alpha, lower partial moment alpha, Sharpe ratio, LPM-Sharpe ratio using the dynamic panel specification over the period 2010–2019. Based on the LPM alpha, the risk-adjusted return analysis reveals that the Saudi equity funds outperformed their benchmark over the full sample period. The empirical results show that major fund-specific characteristics such as fund size, past performance, and flow explain future performance. Besides, the evidence confirms that Saudi funds benefit from the economies of scale and expertise, while funds requiring higher levels of initial investment tend to exhibit lower performance levels. These findings provide investors and fund managers with useful information to make the optimal investment decisions in the mutual fund industry.

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