ATTRIBUTES AND PERFORMANCE OF FUND MANAGEMENT COMPANIES: EVIDENCE FROM THE LARGEST SHARIAH-COMPLIANT FUND MARKETS

Background and Purpose: The study examines the effect of fund management companies’ (FMCs) attributes on FMC performance in the four countries with the largest number of Islamic funds from 2007 to 2018. Methodology: The study uses pooled regression analysis on 70 FMCs, comprising Saudi Arabia (25), Malaysia (20), Indonesia (14) and Pakistan (11). The sample is further divided into FMC with Islamic funds focused (IFFMC) and conventional funds focused (CFFMC). Findings: Only past flows are insignificantly related to performance. Both proxies for size positively relate to returns, but only in the case of Saudi Arabia. In Pakistan, performance improves with assets under management (AUM), while in Malaysia and Indonesia, an increasing number of funds negatively relate to performance. A relatively high number of better performing funds positively affect FMC and vice versa. Additionally, there are significant differences in the factors determining IFFMC and CFFMC performance, with the number of funds and AUM positively affecting the performance of IFFMC but not CFFMC. Poorly performing funds adversely affect CFFMC but not IFFMC. Contributions: This study provides useful information for investors using a top-down approach to FMC then fund selection, and for managers in evaluating the impact of factors like FMC scale and scope on performance. The impact of these attributes differs between CFFMCs and IFFMCs which lies in the performance differences commonly observed, at the FMC and fund level. Keywords: Islamic funds management industries, Islamic mutual fund, fund performance, Islamic finance. Cite as: Marzuki, A., Bani Atta, A. A., & Worthington, A. (2022). Attributes and performance of fund management companies: Evidence from the largest Shariah-compliant fund markets. Journal of Nusantara Studies, 7(1), 114-141. http://dx.doi.org/10.24200/jonus.vol7iss1pp114-141

The Impact of Social Screening on the Performance of US and European Funds

This chapter investigates the relationship between the performance and the screening strategies of US and European socially responsible funds. For the full sample and, in particular, for US funds, the results show a curvilinear relationship between screening intensity and fund performance. Continental European funds exhibit a positive relationship between the number of screens and performance. Furthermore, for the full sample and US funds, screening on governance impacts performance positively. In turn, environment and products screens have a negative impact on US fund performance. Finally, funds certified with social labels tend to yield higher performance. Overall, the geographical differences in the impact of the screening process on SRI fund performance are consistent with the contextual nature of socially responsible investments.

Cognitive Skills and Economic Preferences in the Fund Industry

By running a battery of experiments with fund managers, we investigate the impact of cognitive skills and economic preferences on their professional decisions. First, we find that fund managers’ risk tolerance positively correlates with fund risk when accounting for fund benchmark, fund category, and other controls. Second, we show that fund managers’ ambiguity tolerance positively correlates with the funds’ tracking error from the benchmark. Finally, we report that cognitive skills do not explain fund performance in terms of excess returns. However, we do find that fund managers with high cognitive reflection abilities compose funds at lower risk.

Evaluation of investment funds through different performance measures

Purpose - The aim of this study is to examine the evaluation of Brazilian equity funds from different performance measures. Theoretical framework - In the literature, several indexes are available that can be used to evaluate the performance of investment funds. Design/methodology/approach - Monthly return data were collected from 1,901 Brazilian equity funds. Fund performance was estimated using four indexes: the Sharpe ratio, the Sortino ratio, Jensen’s alpha, and the Treynor ratio. Findings - The results showed that all four performance measures are positively associated. This means that there are no significant differences in the ranking of Brazilian equity funds in terms of performance. Research, Practical & Social implications - The comparison of different performance indexes contributes to the literature on the subject by providing further data for researchers to adequately define the indexes considered in studies on the performance of funds. Originality/value - This study fills a gap in the literature regarding the analysis of performance measures of investment funds. Keywords - Mutual funds. Equity funds. Performance.

Risk-adjusted return, fund manager efficacy, and fund characteristics – An inquiry

In this study, I examine the risk-adjusted return of mutual funds in India. A data set of 4220 mutual funds is used for the analysis. Sharpe ratio, a metric of risk-adjusted return (Sharpe, 1994) and Information ratio, a metric of outperformance than a fund’s benchmark (Goodwin, 1998) were analyzed. Regression analysis is used to estimate the impact of fund characteristics like fund category, fund type, fund access type, corpus size on the dependent variables i.e., Sharpe Ratio and the Information Ratio. All the funds underperformed in both the Sharpe ratio and Information ratio. Liquid funds found worst. Fund type and corpus size do not impact fund performance. Fund access type was found to be significant on fund performance. The results add to the literature by examining the post-pandemic period.

Student-managed investment funds: seven mismatches and three recommendations

PurposeThe purpose of this paper is to investigate the embedded challenges of student-managed investment funds (SMIFs) and provide recommendations to work with these issues.Design/methodology/approachThe paper analyzes and critiques the ways SMIFs are structured and operated and makes several suggestions.FindingsThe paper details seven unique challenges of SMIFs compared to professionally managed investment funds. The source of these challenges is that SMIFs are set up for educational purposes, which makes the operation and management different from performance-focused investment funds. The paper proposes several recommendations on how to align the educational focus with fund performance.Originality/valueThe paper is original and based on primary research.