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.

The Impact of Investors Overconfidence on Trading Activities and Stock Returns in Pakistan Stock Exchange

This study investigates the hypothesis of investor overconfidence that impact stock activity and stock return, using vector auto regressive model. Data observed consist of Monthly and daily returns from PSX 100 index. The results of the study shows that there are specific months in which the variables respond to each other or they are some actions that appears after some interval or else there is no significant relationship of current monthly return to past months volume, volume with volatility in stock returns as it is not increased with increase in volume. And there is no relationship of current monthly volume with previous market returns, Investor overconfidence has negative impact on trading activity as it keep them high and exaggerated level as it is not the real value of the securities and it may harm the investors. The results further marked that immediate past month return has an impact on current trading activity that is denoted from volume of trade.

STOCK MARKET LINKAGES AND CAUSAL RELATIONSHIPS: EMPIRICAL INVESTIGATION OF EM7 ECONOMIES

Diffusion of information in the present era has become very fast, whether it is related to natural phenomena or human activities. Due to the technological advancement and fast face globalisation and liberalisation, events happening in financial markets are no exception, especially due to electronic stock exchanges and free flow of capital and financial information across borders. The present study aims to examine return patterns and find inter linkages/integration among the stock markets of seven largest emerging economies popularly known as EM7 (India, China, Russia, Brazil, Indonesia, Mexico and Turkey) by examining the monthly return data from Jan 2010 to Dec 2019. The study used descriptive analysis, correlation analysis, regression analysis and causality test to attain its objectives. The results indicate that EM7 stock markets are not interlinked, suggesting markets are quite segmented and there is scope for fund managers and both international and domestic investors to reap the advantages of portfolio diversification and mitigate the risks associated with their investments.

Is Gold a Hedge against Stock Price Risk in U.S. or Indian Markets?

We study whether gold acts as a hedge or a safe haven in U.S. and the Indian stock markets. These two stock markets have been chosen as representatives of the developed markets and the emerging markets, respectively, and are of significant interest to long-term investors. We apply a linear regression and a GARCH technique to monthly return series data on the S&P500, the BSE Sensex, and gold prices. We find that, for the period of our study, 1980–2020, gold has not served as a hedge or a safe haven for long-term investors in the U.S. or Indian stock markets. This holds true even across multiple sub-periods in our study period. Gold returns do not exhibit a significant negative relationship with stock returns in any of the chosen stock market scenarios, i.e., in times of extremely low returns as well as in the periods of high or low volatility. Equity investors in U.S. and Indian markets can use the findings of this study for optimising their portfolios. Additionally, central bankers and policy makers can use the findings for better outcomes with respect to their policies on holding of gold.

Risk Return Analysis of Selected Stocks of Indian Financial Sector

Purpose: Indian stock markets are channelizing financial resources for the economic progress of the country. The Indian Financial Services sector is the subset of the stock market which is playing a key role in stock trading. The Indian Financial Services industry is multifaceted and is growing rapidly both in terms of the robust growth of existing firms and the entry of new players playing a stellar role. This surge in growth of the Financial Services sector led many investors to divert their investment towards the financial services segment. To construct an attractive portfolio, the individual investor should perform a risk-return analysis well in advance. This will assist the investor in determining the risk-return relationship in various securities. Given this background, the study is undertaken to evaluate the risk-return patterns of the Indian Financial Services sector securities. Design/Methodology/Approach: The risk and return of sample group of companies belonging to the Indian Financial Services sector are analyzed to arrive at a monthly return by taking the monthly closing price of five financial investment companies belonging to the Standard & Poor’s BSE Finance Index for the period January 2020 to July 2021. To achieve the objectives various statistical tools such as descriptive statistics, correlation, and Beta are adopted. Also, a paired t-test is performed to check the validity of the hypothesis. Findings: The study has brought to light that India Infoline Finance Ltd (IIFL Finance) has provided the highest monthly returns with a high beta value. Further, the tested hypothesis reveals that there exists a significant difference in the monthly returns of the S&P BSE Finance Index and JSW Holdings. Originality/value: The study emphasizes the risk-return analysis of selected stocks of the Indian Financial Services sector. Potential investors will benefit from this equity analysis because it will enable them to make more intelligent and accurate investment decisions. Paper Type: A case study of the Indian Financial Services Industry

Research on the Return of Mutual Funds

This paper discusses the factors influencing the return of mutual funds. It takes the monthly return of mutual funds as a dependent variable, and takes three kinds of potential factors, which are characteristics of mutual funds, characteristics of managers and market factors, as the independent variables.

Evaluating the Effectiveness of the Momentum Strategy for Responsible Investment in the Russian Stock Market

In modern conditions, the integration of ESG-criteria into investment decisions of asset managers is considered as a key factor in sustainable economic development. We examine the effectiveness of the Momentum-ESG strategy based on the Responsibility and Openness Index in comparison with the Momentum strategy, which is based on the Moscow Exchange Broad Market Index, since December 2011 to December 2020. We propose an algorithm for integrating ESG criteria into momentum strategy. We select "winners" and "losers" stocks based on their monthly return. The Momentum-ESG strategy has a high Sharpe ratio for a time horizon of 12 months, the Momentum strategy - for a time horizon of 6 months. The testing of the Momentum-ESG strategy shows its greater efficiency in terms of the Sharpe ratio compared to the Momentum strategy, which does not take into account the ESG-factors, in the investing period.

An Empirical Study on Pharmaceutical and Personal Care Stocks Using Sharpe's Single-Index Model

As the various avenues for better returns in India are slowly dwindling due to various global scenarios as well as due to domestic government policies, more and more people are turning towards stock market for better returns. This poses a challenge to the fund managers when they have to construct a portfolio, which maximizes return and minimizes risk. This has become more and more challenging in the recent years as the investors are also becoming more knowledgeable. Timely and correct investment decision on the part of the investor requires an in-depth knowledge of the stock that he intends to procure and the theories behind portfolio management. This chapter mainly focuses on construction of an optimal portfolio comprising of top pharmaceutical companies and FMCG companies in India. Sharpe ratio return analysis is the tool that is used to construct the optimal portfolio. Monthly returns data of last 10 years of the said companies are regressed against monthly return data of Nifty for better comparison.

Volatility Modelling of Chinese Stock Market Monthly Return and Investor Sentiment Using Multivariate GARCH Models

This article examines the linkage and volatility spillover among Chinese Stock Market Monthly Return and Investor Sentiment, investigating the effect dynamic links of various investor sentiment indicators and Chinese stock market return volatility. Employing the DCC and BEKK GARCH, we find investor sentiment is to some extent linked to the yield fluctuations of the Chinese stock market, but the volatility spillover is relatively weak. In the test period (2005-2020), we observe that several indicators do not explain their linkage effects with CSI 300 index of return fluctuations and volatility spillovers well, with no indicators can reflect both of these effects. Most indicators are linkage with the CSI 300 index, especially consumer confidence index (CCI), new investor account openings last month (NIA) and the volume of transactions last month (TURN) have significant linkage effects with the CSI 300 index. We also find that only the CCI index has a one-way volatility spillover on the CSI 300 index, and the CSI 300 index has no volatility spillover on any indicator.