scholarly journals An Analysis of Performance Evaluation of Mutual Funds Based on Fund Nature: A Case of Mutual Fund Market of Pakistan

2019 ◽  
Keyword(s):  
Performance Evaluation ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Analysis Of Performance

Robust Benchmarking of Indian Mutual Funds-A Partial Frontier Approach

2015 ◽  
Vol 5 (2) ◽  
Author(s):  
Ram Pratap Sinha
Keyword(s):  
Decision Making ◽  
Performance Evaluation ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Multi Criteria Decision Making ◽  
Risk Framework ◽  
Programming Techniques ◽  
Risk Free Rate ◽  
Risk Ratios ◽  
Free Rate

Performance analysis of mutual funds is usually made on the basis of return-risk framework. Traditionally, excess return (over risk-free rate) to risk ratios were used for the purpose mutual fund evaluation. Subsequently, the application of non-parametric mathematical programming techniques in the context of performance evaluation facilitated multi-criteria decision making. However,the estimates of performance on the basis of conventional programming techniques like DEA and FDH are affected by the presence of outliers in the sample observations. The present, accordingly uses more robust benchmarking techniques for evaluating the performance od sectoral mutual fund schemes based on observations for the second half of 2010. The USP of the present study is that it uses two partial frontier techniques (Order-m and Order- a) which are less susceptible to the problem of extreme data.

NEW DEA PERFORMANCE EVALUATION INDICES AND THEIR APPLICATIONS IN THE AMERICAN FUND MARKET

2008 ◽  
Vol 25 (04) ◽  
pp. 421-450 ◽  
Author(s):  
RUIYUE LIN ◽  
ZHIPING CHEN
Keyword(s):  
Performance Evaluation ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Risk Measures ◽  
Relative Performance ◽  
Programming Approach ◽  
Data Envelopment ◽  
Performance Variation ◽  
Mathematical Programming Approach ◽  
Return Distributions

The data envelopment analysis (DEA) method is a mathematical programming approach to evaluate the relative performance of portfolios. Considering that the risk input indicators of existing DEA performance evaluation indices cannot reflect the pervasive fat tails and asymmetry in return distributions of mutual funds, we originally introduce new risk measures CVaR and VaR into inputs of relevant DEA indices to measure relative performance of portfolios more objectively. To fairly evaluate the performance variation of the same fund during different time periods, we creatively treat them as different decision making units (DMUs). Different from available DEA applications which mainly investigate the American mutual fund performance from the whole market or industry aspect, we analyze in detail the effect of different input/output indicator combinations on the performance of individual funds. Our empirical results show that VaR and CVaR, especially their combinations with traditional risk measures, are very helpful for comprehensively describing return distribution properties such as skewness and leptokurtosis, and can thus better evaluate the overall performance of mutual funds.

scholarly journals Mutual Fund Performance Evaluation and Best Clienteles

2017 ◽  
Vol 52 (4) ◽  
pp. 1577-1604 ◽  
Author(s):  
Stéphane Chrétien ◽  
Manel Kammoun
Keyword(s):  
Performance Evaluation ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Good Deal ◽  
Fund Performance ◽  
Law Of One Price ◽  
Mutual Fund Performance ◽  
Positive Performance ◽  
Clientele Effects ◽  
Investor Disagreement

This paper investigates investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. In an incomplete market under law-of-one-price (LOP) and no-good-deal conditions, we obtain an upper bound on admissible performance measures that identifies the most favorable alpha. Empirically, we find that a reasonable investor disagreement leads to generally positive performance for the best clienteles. Performance disagreement by investors can be significant enough to change the average evaluation of mutual funds from negative to positive, depending on the clienteles.

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

Faysal Asset Management mutual funds performance evaluation

2020 ◽  
Vol 10 (4) ◽  
pp. 1-33
Author(s):  
Vikesh Kumar ◽  
Mujeeb-U-Rehman Bhayo ◽  
Sundeep Kumar ◽  
Rakesh Kumar ◽  
Sarfraz Ahmed Dakhan
Keyword(s):  
Performance Evaluation ◽  
Learning Outcomes ◽  
Mutual Funds ◽  
Asset Management ◽  
Mutual Fund ◽  
Chief Executive ◽  
Content Type ◽  
Net Worth ◽  
Academic Level ◽  
Investment Process

Learning outcomes The learning outcomes are as follows: to teach the concept of mutual fund as whole, how mutual fund works and who are the investors; discuss how any asset management company can work and what is their investment process; discuss how mutual funds are affected by changes in economic outlook/macro-economic variables; discuss the alternative risk-adjusted measures of performance evaluation, such as the Sharpe ratio, Treynor, Jensen’s alpha and measure of risk-adjusted performance; and discuss which index to use as a benchmark and how to improve funds’ performance. Case overview/synopsis In April 2019, Khaldoon Bin latif, Chief Executive Officer (CEO) of Faysal Asset Management, reflected on the changes that had occurred during his two and a half years at Faysal. He was quite pleased with the recent performance of Faysal Funds and the company’s relationship-oriented approach to money management for individuals with high net worth. Yet, he wanted to ensure that both the investment-process and performance-evaluation measures that he had implemented at Faysal would continue to provide superior returns. Latif also wanted Faysal to outperform the relevant indices, not only on an absolute basis, but also on a risk-adjusted basis. He pondered which indices and models Faysal should use in the future based on their performance. Complexity academic level Undergraduate/graduate Supplementary materials Teaching Notes are available for educators only. Subject code CSS 1: Accounting and Finance.

scholarly journals Analisis Kinerja 14 Reksa Dana Saham Terbaik Periode 2010

2011 ◽  
Vol 2 (1) ◽  
pp. 216
Author(s):  
Yen Sun
Keyword(s):  
Performance Evaluation ◽  
Mutual Funds ◽  
Capital Market ◽  
Mutual Fund ◽  
Investment Decision ◽  
Investment Activity ◽  
Methods Of Evaluation ◽  
One Year ◽  
Risk Free Rate ◽  
Free Rate

Capital Market is a significant indicator of an economy for a country. However, in Indonesia many people are not familiar yet with the investment activity in capital market. The writer is then interested to study the performance of the best (15) mutual fund (shares) 2010 version of Investor Magazine for the next period investment decision in 2011. The research will be focused on several stages. First, it will compute the return for 14 mutual funds, market return and risk-free rate for one year period. Then, the performance will be evaluated using Sharpe, Treynor to find which mutual fund outperform the market. Also, each method will result rank of the best mutual fund. Furthermore, there is one more method will be used in performance evaluation, Jensen. The result of this study is there are two mutual funds that can be recommended for investment in 2011, they are Panin Dana Maksima and Panin Dana Prima. They are recommended because the two mutual funds showed the best performance for those three methods of evaluation and they can maintain their performance for more than one period. 

scholarly journals Performance Evaluation: A Review Article And An Empirical Investigation Of Greek Mutual Fund Managers

2011 ◽  
Vol 1 (6) ◽  
Author(s):  
Nikolaos Philippas ◽  
Efthymios Tsionas
Keyword(s):  
Performance Evaluation ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Empirical Investigation ◽  
Random Variable ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Fund Managers ◽  
Evaluation Models ◽  
Manager Performance

This paper surveys several mutual fund performance evaluation models. The models are applied to examine the performance of Greek equity and balanced mutual funds. Specifically, the Henriksson and Merton (1981), Bhattacharya and Pfleiderer (1983) and Lockwood and Kadiyala (1988) models are applied and compared. Empirical results show that models in which beta is treated as random variable imply superior manager performance in terms of selectivity, contrary to models based on the assumption of binary betas. All models are in agreement that fund managers do not exhibit superior macro-forecasting abilities.

scholarly journals MUTUAL FUNDS PERFORMANCE EVALUATION BASED ON SELECTIVITY AND MARKET TIMING

IQTISHODUNA ◽  
2012 ◽  
Author(s):  
Werner R. Murhadi
Keyword(s):  
Performance Evaluation ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Market Timing ◽  
Empirical Evaluation ◽  
Stock Selection ◽  
Data Set ◽  
Mutual Fund Managers ◽  
Fund Managers

This paper is an empirical evaluation of the performance of mutual fund managers in terms of “market timing” and “selectivity”, within the framework suggested by Treynor and Mazuy (1966) and Henriksson and Merton (1981). The relevant data set is a balanced panel of 55 (fifty five) mutual funds, over a 17 (seventeen)-month period began from February 2008 until June 2009. The result found that only 4 (four) mutual funds demonstrated a good performance in market timing and 4 (four) mutual funds showed a good performance in stock selection. Both methods have a good indicator to reflect mutual funds performance.

scholarly journals Predicting the relative performance of actively managed equity mutual funds using diverse performance evaluation techniques

2021 ◽  
Vol 19 (1) ◽  
pp. 69-83
Author(s):  
Akshay Damani ◽  
Nandip Vaidya
Keyword(s):  
Performance Evaluation ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Risk Measures ◽  
Market Timing ◽  
Relative Performance ◽  
Past Performance ◽  
Significance Level ◽  
Equity Mutual Funds ◽  
Ex Post

Mutual fund performance evaluation has seen an ever-growing interest for research amongst industry and academicians alike. In this paper an attempt has been made to compare and correlate global actively managed equity mutual funds’ performance across time intervals, to evaluate and establish how predicting future performance can be made meaningful for investors using analysis of historical data based on monthly net asset values (NAVs) (March 2009–March 2021). Of the top 500 global equity mutual funds based on market-cap (on March 31, 2021), the paper evaluated 180 actively managed funds adding up to approximately USD 5 trillion of the fund assets as of March 31, 2021. The research gap which the paper aims to fill is to bring under one umbrella, prediction analysis using performance measures, downside risk measures, style factor analysis, and market timing models. For sampled equity funds various performance ratios and style attributes were computed and compared across periods for their relative performance. Relative performance was found to be stable (at 1% significance level) across periods and hence predictable. A portfolio of funds constructed optimally using historical performance was seen to be in the top quartile ex-post performance in the subsequent period. However, it was found that the market timing abilities of fund managers were unstable across periods and could not be used for predicting performance. Based on the study findings, it would be appropriate for investors to use the relative past performance of the funds and their style attribute analysis for the future allocation of investible surplus across these funds

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