Cap Funds Research Articles

An Empirical Study on the Performance of Select Large Cap Equity Mutual Funds in India

Since the opening up of the economy in the early 1990s, Indian mutual fund industry has witnessed fabulous quantitative growth. Funds which invest a larger proportion of their corpus in companies with large market capitalization are called large cap funds. Actively managed funds make use of a human element, such as a single manager, comanagers or a team of managers, to actively manage a fund's portfolio. The main objective of the study is to analyse the performance of select actively managed large cap equity funds in the line of risk-return parameters. This study is based on fourteen funds from twelve Asset Management Companies. All the funds are ranked under seven performance measures, namely, fund return, fund standard deviation, Sharpe Ratio, Treynor Ratio, return from systematic investment plan (SIP), Jensen Alpha, and RSQ, for five different time periods of 1-year, 3-year, 5-year, 7-year, and 10-year.

Timing Poorly: A Guide to Generating Poor Returns While Investing in Successful Strategies

The persistence and magnitude of the value premium run counter to the behavioral explanation of the value anomaly. How can investors continue to make the same widely recognized mistake? By examining the difference between mutual funds’ reported buy-and-hold or time-weighted returns and the average dollar-weighted returns or IRRs earned by end investors, we quantify the consistently negative impact of value investors’ market timing decisions: over the 1991-2013 period, value mutual fund investors underperformed the funds they invest in by 131 basis points. Our analysis also reveals that investors in growth, large cap, and small cap funds are similarly prone to unproductive allocation timing. We additionally find that less sophisticated investors tend to make poorer timing decisions: investors who hold funds with high expense ratios had larger return gaps than those who chose less costly funds, and investors in retail funds underperformed by a greater margin than those who qualified for institutional share class funds. We suggest that, by giving away the excess return, value investors themselves finance the value premium and ensure its continuance. Financial education may help individual investors refrain from trading their funds in a counterproductive fashion.

Academic Knowledge Dissemination in the Mutual Fund Industry: Can Mutual Funds Successfully Adopt Factor Investing Strategies?

In this study, we investigate if investors that have adopted investment strategies based on asset pricing anomalies documented in the academic literature (i.e., the low-beta, small cap, value, momentum, short-term reversal, and long-term reversal factors) consistently earn positive abnormal returns. For this purpose we evaluate the performance of a large sample of U.S. equity mutual funds over the period 1990 to 2010. We find evidence supporting the value added of investors adopting factor investing strategies: low-beta, small cap, and value funds earn significant excess returns. We also find that these excess returns are sustainable and have not disappeared after the public dissemination of the anomalies when more asset managers have started to adopt factor investing strategies. We propose some criteria that might be helpful to determine the successful application of academic insights in the context of investment strategies. Our findings have significant implications for the role of academic research and knowledge management in the investment management industry.

Rural areas face the economic crisis: Analyzing the determinants of successful territorial dynamics

This paper aims to identify the factors that have determined successful territorial dynamics (STD) in rural areas of Andalusia during economic expansion periods, and analyzes their stability in the current context of economic crisis. In order to do so, we have designed a methodology that, on the one hand, identifies STD using data envelopment analysis (DEA), and on the other, determines the impact of a wide range of territorial variables that define the aforementioned dynamics. The results highlight how different aspects of economic, human, natural, and social capital such as economic diversification (rural tourism), agriculture (CAP funding, young farmers, organic production), access to services (infrastructures and facilities), demographics (foreign population), natural resources (Natura 2000), and governance (rural development funding management) can drive STD in rural areas. While the stability of some of these factors is being threatened by the impacts of the crisis, the stability of others turned out to be less affected and even enhanced. Rural territories, that have based their development on these latter stable factors, are better prepared to face the consequences of the crisis. These territories could be a priori considered as pre-resilient territories, able to develop and deploy new resources and capacities, which enable them to prepare favorably to the dynamics of change driven by the aforementioned crisis. This study is especially valuable since the results obtained could provide useful information for policymakers in the design of public policies, allowing rural areas to respond more favorably to the current economic crisis.

Differences in Short-Term Performance Persistence by Mutual Fund Equity Class

To consistently earn positive alpha, active fund managers must have access to mispriced stocks. We show that mispricing varies by equity class in such a way that greater mispricing occurs in smaller-cap and more value-oriented stocks, providing opportunity for managers in these classes. Accordingly, we find the greatest evidence that top-performing mutual fund managers continue to earn positive alpha in smaller-cap and more value-oriented classes when investigating quarterly performance persistence by equity class. Conversely, large cap funds show no evidence of persistence in superior performance. In contrast to the patterns of persistence in superior performance, relative performance persists in all equity classes.

How research funders can finance APCs in full OA and hybrid journals

ABSTRACTOpen access (OA) publishing is steadily growing in both full OA journals and hybrid journals where authors can pay to open up individual articles. Funding for article processing charges (APCs) is still a strong barrier for many authors, particularly for subscription journals where the hybrid option is expensive and an added extra feature after an article is accepted for publication. Many research funders in Europe have started or are considering mechanisms for paying APCs with earmarked funding in order to increase the uptake of OA. At the same time they are well aware that their actions may influence the way the OA market will develop in the near future. This article discusses a number of scenarios for ways in which funders could cover the cost of APCs, while encouraging the development of a competitive and transparent market for APC‐funded OA scholarly publishing. We provide evidence that the current APC‐funded full OA market is sensitive to journal prestige/impact. We present a value‐based cap funding scheme which could help maintain transparency, bringing hybrid market pricing in line with the full OA market. We also consider a scenario that addresses hybrid ‘double dipping’ while limiting the cost of transitioning to full OA for research‐intensive universities as well as cost‐sharing as a mechanism for providing authors with an incentive for considering cost as well as value in choosing where to publish.

An Intricate Multiple-Factor Approach To Evaluate Performance Of Indian Mutual Fund

This research paper examines performance of top twelve Indian mutual funds by Asset Under Management (AUM). We use seven portfolio performance measurement parameters like Alpha, Beta, Standard Deviation, R Squared, Sharpe Ratio, Treynor Ratio and Jensen’s Alpha. The study reveals which amongst these mutual fund is the best performer based on all these parameters and the benchmark taken for this is NIFTY Index. The mutual funds selected are HDFC Top 200 Fund, Franklin India Bluechip Fund, ICICI Prudential Focused Bluechip Equity Fund, DSPBR Top 100 Equity Fund, Birla Sun Life Equity Fund, DSPBR Top 100 Equity Fund, UTI Mastershare Fund, Reliance Equity Opportunity Fund, SBI Magnum Equity, Reliance Top 200 Fund, SBI Bluechip Fund, ICICI Prudential Top 200 Fund, Principal Large Cap Fund. This study is primarily done to evaluate performance of the select mutual funds over a period of five years.

Risk, return & performance evaluation of selected mutual fund schemes – a study on large & mid cap funds

This paper studies the persistence of mutual fund performance. Academic research oftenfocuses on fund returns. This study intends to examine the performance of selected Large cap and Mid capmutual fund schemes of Indian Mutual fund industry during the study period 2007 to 2011. The performanceof selected schemes is evaluated in terms of average returns, systematic risk, and unsystematic risk and byusing different measures like: Sharpe, Jenson, Treynor and FAMA. After detailed analysis it is found thatexcept two all the sampled schemes have performed better than market. Supporting the establishedrelationship of high risk - high return, better performing schemes are exposed to higher risk. The findings alsorevealed that majority of the schemes were adequately diversified and about 60% of the schemes were able tobeat the market with help of better stock selection skill of fund managers. Finding from the t-test calculationsshows that there is no difference between returns from large cap mid cap mutual funds in long run. From thereturn comparison of mutual funds and market, in 2008 & 2011 large cap are underperforming than marketand in 2011 only mid cap mutual funds are showing less return than market returns.

Preference and Perceptual Mapping of Mutual Fund Schemes

There are different kinds of mutual fund schemes available with different features to cater to the needs of different people. But the investors may feel that some schemes may have similar features. In this study different mutual fund schemes are mapped using multidimensional scaling from customer perspective on the features of different schemes. The schemes taken for the study are Index fund, Growth fund, Income fund, Liquid fund, Mid-cap fund, Large-cap fund and Sectoral fund and attributes used are risk, safety, return, liquidity. From the study it is concluded that the preference of investors varies according to the investment experience, family income and number of earning members in the family. The investors also have similar perception about large cap and sectoral fund schemes with respect to risk. Each scheme varies from each other with respect to liquidity and safety. The findings from this study will be useful to the mutual fund operators to understand where there is a gap and where there is a cluster; accordingly they can bring new scheme for investment or restructure the existing scheme.

Characterizing Value and Growth Investing in Institutional Portfolios

Using a unique money manager database that allows managers to identify their own investment styles, we examine 4,754 non mutual fund value- and growth-oriented portfolios over the period 1999-2003. Consistent with style definitions, we find that on average, growth funds have price-earnings ratios, price-to-book ratios and earnings growth rates that are twice as large as those for value funds. We find that large and mid-cap value funds hold stocks of companies with significantly higher financial leverage than those held by growth funds. We measure style adherence relative to Russell indexes as well as the funds’ own benchmarks, and find that large cap funds tend to stay closer to their own benchmarks

Comparison Between the Indian and US Mutual Fund Industry

Establishing realistic financial goals is the first essential step towards successful investing. Understanding the kind of investment best suited to an individual to help one achieve his goal is even more important. Financial Planning cultivates a positive attitude towards saving and investment. A mutual fund provides an option of investing without any major complexities. In order to understand the logic behind the huge returns, which an investor gets, we need to understand the performance parameters, which lead to these returns. The main objective of the study is to evaluate the performance of mutual funds of USA and India. And this evaluation can be done on the basis of parameters like NAV, AUM, Beta, Standard deviation, Sharpe ratio, P/E Ratio, P/B Ratio, Portfolio Turnover, R-Squared, Alpha and Expense Ratio. The research also intends to bring in the new trends in the mutual fund industry and to give a futuristic insight to it. The study is based on primary and descriptive research. As primary research is the true representative of the investors’ opinion and it involves the collection of data that does not already exist. Descriptive research provides insights into and comprehension of an issue or situation with answers to questions such as who, what, where, when and how. For analysis, four categories of funds have been used, which are Balanced funds, Large Cap funds, Index funds and Tax funds of both the countries and these funds are compared. In each type of category, five different schemes have been selected and then compared with each other in order to know which country’s funds performance is better. As a part of our primary research, a sample of 50 investors was taken each of US and India. Questionnaire consisting of 12 questions pertaining to mutual funds were used to study the performance of various schemes in both the countries. This study gives only a brief idea as to how mutual funds in both the countries are performing; an attempt has been made to represent mutual fund industry of both the countries by taking a few top and best performing companies in each of the country. Research analysis showed there has been an increase in the amount of business that mutual funds are getting in India and it is quite significant. US mutual fund industry accounts to 51% of the total worldwide share; due to its enormous size it is obvious that it is way ahead of India. When it comes to growth rate, Indian mutual fund industry comes in one of the rapidly growing industries. Many new foreign AMCs are now coming to Indian market.

OLS and GWR Approaches to Agricultural Convergence in the EU-15

This paper contributes to the current debate moderated by the European Commission on the territorial dimension of the economic and social cohesion, investigating the role of the CAP in the agricultural convergence process across a sample of 166 EU-15 regions at NUTS2 level from 1995-2005. The empirical study compares results from GWR and OLS models of absolute and conditional β-convergence where total transfers provided by the CAP and Structural funds expenditure related to agriculture, rural development and fishery are the conditioning variables. Furthermore, GWR approach allows detecting the parameters spatial non stationarity and the role of spatial dependence and heterogeneity of regions. The results provide useful insights on important policy sensitive issues difficult to be predicted with the traditional global estimate. They reinforce the prescriptions of the economic geography theory and new economic growth theory on convergence.

Standard & Poor's Indices Versus Active Funds Scorecard, Year End 2008

The S&P Indices Versus Active Funds (SPIVA) Scorecard report performance comparisons corrected for survivorship bias, shows equal- and asset-weighted peer averages, and provides measures of style consistency covering actively managed U.S. equity, international equity and fixed income mutual funds. Underlying data is from the CRSP Survivor-Bias-Free U.S. Mutual Fund Database. To accommodate CRSP release schedules, SPIVA is published semi-annually with a fourteen week lag. Over the five year market cycle from 2004 to 2008, S&P 500 outperformed 71.9% of actively managed large cap funds, S&P MidCap 400 outperformed 79.1% of mid cap funds and S&P SmallCap 600 outperformed 85.5% of small cap funds. These results are similar to that of the previous five year cycle from 1999 to 2003. The belief that bear markets favor active management is a myth. A majority of active funds in eight of the nine domestic equity style boxes were outperformed by indices in the negative markets of 2008. The bear market of 2000 to 2002 showed similar outcomes. Benchmark indices outperformed a majority of actively managed fixed income funds in all categories over a five-year horizon. Five year benchmark shortfall ranges from 2-3% per annum for municipal bond funds to 1-5% per annum for investment grade bond funds. The script was similar for non-U.S. equity funds, with indices outperforming a majority of actively managed non-U.S. equity funds over the past five years.

Introducing a New Index Versus Active Funds Scorecard for Australia Standard & Poor's Index versus Active Funds Scorecard, Mid-Year 2009

The S&P Index versus Active Funds (SPIVA) Scorecard reports performance of actively managed Australian managed funds corrected for survivorship bias and shows equal - and asset-weighted peer averages. Over a five year horizon, benchmarks have outperformed a majority of actively managed funds across equity and bond fund categories. Shorter horizon results are mixed. The S&P/ASX 200 index has outperformed two-thirds of active Australian general equity funds over the last 5 years. Year-to-date, the S&P/ASX 200 has only outperformed about half of active funds. The S&P/ASX Small Ordinaries index has out-performed just over half of the active Australian small-cap funds in the last five years. Year-to-date, the index has outperformed 60% of the actively managed small cap funds. The UBS Composite 0 Y Bond Index has outperformed 97.22% of actively managed bond funds in the last five years. However, in first six months of 2009, the index has outperformed only 25.81% of actively managed bond funds. Over a five year horizon, approximately 10% to 30% of funds have disappeared. This makes it important to consider survivorship in industry analysis. Equal-weighted returns over five years are lower than assetweighted returns for Australian general equity funds, but higher for Australian small cap funds. This suggests that funds with bigger assets have performed better, on average, in the large cap space, while funds with smaller assets have done better in the small cap space.

Testing Market Efficiency for Different Market Capitalization Funds

The main purpose of this study is to use the Sharpe Ratio to test the efficient market hypothesis for different market capitalization and investment styles of mutual funds. The results of the study for the entire period of 1994‐2007 as well as the two subperiods (1994‐1999 and 2000‐2007) indicate that small cap funds have provided the highest risk‐adjusted return for the entire period whereas growth funds have exhibited lower returns. The findings, therefore, suggest that the mutual funds market is not always efficient, which makes it possible for an investor or a mutual fund manager to earn excess return on a risk‐adjusted basis.

Standard & Poor's Indices Versus Active Funds Scorecard, Mid Year 2008

The S&P Indices Versus Active Funds (SPIVA) Scorecard report performance comparisons corrected for survivorship bias, shows equal- and asset-weighted peer averages, and provides measures of style consistency covering actively managed U.S. equity, international equity and fixed income mutual funds. Starting with this report, we reintroduce an enhanced SPIVA with broader asset class coverage. Data for enhanced SPIVA is from the CRSP Survivor-Bias-Free U.S. Mutual Fund Database. To accommodate CRSP release schedules, the new SPIVA will be published semi-annually with a fourteen week lag. Over five years ending June 2008, S&P 500 outperformed 68.6% of actively managed large cap funds, S&P MidCap 400 outperformed 75.9% of mid cap funds and S&P SmallCap 600 outperformed 77.8% of small cap funds. Among global equity funds, five-year results show S&P Global 1200 outperforming 70.1% of global equity funds, S&P 700 outperforming 86.5% of international equity funds, and S&P IFCI Composite outperforming 73.9% of emerging market funds. Among fixed income funds, indices outperformed twelve of thirteen categories over a five-year horizon. Only emerging market bond funds outperformed their benchmark index. Funds disappear at a meaningful rate. Over five years, 26.8% of U.S. equity funds, 22.5% of global equity funds and 24.7% of fixed income funds have been merged or liquidated. This highlights the importance of addressing survivorship bias in mutual fund analysis.

Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds

We show that a mutual fund's stock selection skill can be decomposed into additional components that include impatient and provision. We validate our method by verifying that liquidity providing trades are the primary source of value for the Dimensional Fund Advisors U.S. Micro Cap fund, consistent with the observations by Keim (1999) and Cohen (2002); and index funds lose on liquidity absorbing trades, since they pay the price impact on trades triggered by index rebalancing, inflows and redemptions. Consistent with the view that a mutual fund manager with superior stock selection ability is more likely to benefit from trading in stocks affected by information events, we find that funds trading such stocks exhibit superior performance that is more likely to persist. Further, such superior performance comes mostly from impatient informed trading. We also find that informed trading is more important for growth-oriented funds while liquidity provision is more important for younger funds with income orientation.

Evaluation of public expenditure on economic growth of the Peripheral Slovenia with Input-Output model

Slovenia is witnessing a problem of divergence in economic performance of its regions despite the high importance of the balanced regional development on the policy agenda. After the EU accession the problem of regional disparities is addressed through a wide set of financial mechanisms that affect the regional development; i.e. certain elements of CAP, Structural and Cohesion funds and Community initiatives. The paper is evaluating impacts of public expenditure from these sources on the economic performance of the region Peripheral Slovenia by constructing a regional Input-Output model in the present (2004–06) and the following (2007–13) financial perspective. Results show that the analysed funds can stimulate a notable economic growth of the Peripheral Slovenia especially in the following financial perspective. However; comparisons of the output growth at the national level reveal likely lagging of the region. This means that the anticipated increase of regional development disparities in Slovenia would continue in the future.

Ireland's National Forum on Europe: Elite Deliberation Meets Popular Participation

In the wake of the rejection of the Nice Treaty by the electorate in June 2001, the Irish government moved to establish a National Forum on Europe, which was to be the arena for a new socially inclusive and highly visible dialogue on issues arising out of Irish membership of the European Union (EU). The Forum represented an entirely novel approach to consideration of European affairs in Ireland and, as such, an acknowledgement that the old era of ‘permissive consensus’ on EU issues had gone. This article utilises insights from deliberative democracy to analyse the new Irish discourse on Europe that the Forum has helped articulate. The analysis suggests that the Forum has successfully widened the scope and substance of Irish attitudes to Europe. Most importantly, it has helped shift the emphasis from functional cost‐benefit considerations related to receipts from the CAP and structural funding, to more broad‐based and ‘mainstream’ consideration, which encompass the broad ambit of issues connected to the future direction of the European integration project. The article also argues that the Forum has engaged a wider and more inclusive group of societal actors in European debate. Thus, Irish EU debate is no longer concentrated among traditional elites — the political parties, trade unions, business groups and academics. Finally, the article assesses the extent to which the Forum has encouraged greater popular participation in EU debate.

European Mutual Fund Performance

This paper presents an overview of the European mutual fund industry and investigates mutual fund performance using a survivorship bias controlled sample of 506 funds from the five most important mutual fund countries. The latter is done using the Carhart (1997) 4‐factor asset‐pricing model. In addition we investigate whether European fund managers exhibit ‘hot hands’, persistence in performance. Finally the influence of fund characteristics on risk‐adjusted performance is considered. Our overall results suggest that European mutual funds, and especially small cap funds are able to add value, as indicated by their positive after cost alphas. If we add back management fees, four out of five countries exhibit significant out‐performance at an aggregate level. Finally, we detect strong persistence in mean returns for funds investing in the UK. Our results deviate from most US studies that argue mutual funds under‐perform the market by the amount of expenses they charge.