Fund Returns Research Articles

Performance Evaluation of Mutual Funds Using Risk Return Relationship Models - An Empirical Study

Purpose: The main purpose of this study is to analyse the performance of mutual funds using Risk- Return Relationship Models. Theoretical framework: One of India's most important financial intermediaries, mutual funds can provide a wide range of financial services to small and large investors. They are also involved in the country's transformation, and their market participation has become more important. Evaluating a mutual fund's performance concerns investors, researchers, and fund managers. It should be conducted in a way that helps investors make informed decisions and maximize returns. A regular evaluation of a fund's performance is also essential for investors. Design/methodology/approach: The performance of 12 growth-oriented mutual funds has been evaluated using three Risk Adjusted performance measures, namely the Treynor index, Sharpe index, and Jensen measure. Treynor Index, developed by Treynor and Mazuy (1966), defined the measure as the ratio of returns to systematic Risk (Beta). The higher the ratio better the performance. Sharpe Index, developed by Sharpe (1964) defined as the ratio of returns to the variability of returns. Jensen's measure (Jensen 1968) regresses excess fund return with the excess market return. Monthly data was used during the period from Jan 2015 to Dec 2019. Further monthly returns of 12 diversified Equity mutual funds were compared with the returns of the B.S.E.( Bombay Stock Exchange) national index during the same period. Findings: It is identified from the results that the mutual funds have not performed better than their benchmark indicators except the ICICI Multi-asset fund and HDFC mid-cap opportunity fund in terms of a non-risk adjusted measure of the average returns as well as in terms of Risk-adjusted performance measures. Research, Practical & Social implications: Fund houses, Fund managers, researchers, and mutual fund investors can benefit more from a strong risk management foundation. It can help them make informed decisions and maximize their returns. Originality/value: This study differs from past studies because it examined the risk-adjusted performance of a few mutual funds, which ultimately may use by investors and policymakers to enhance the returns in these funds.

Burned by leverage? Flows and fragility in bond mutual funds

Does leverage drive investor flows in bond mutual funds? Leverage can increase fund returns in good times, but it can also magnify investors’ losses and their response to bad performance. We study bond fund flows to provide new evidence for the link between mutual fund leverage and financial fragility. We find that outflows are greater in leveraged funds during stressed periods and after bad performance, compared with unleveraged funds. We provide supporting evidence that leverage exacerbates the negative externality in investors' redemption decisions. In this regard, we find that fund managers in leveraged funds react more procyclically to net outflows compared with fund managers in unleveraged funds. Such procyclical security sales in leveraged funds may increase investors’ first-mover advantages and their response to bad performance. These findings suggest that leverage amplifies fragility in the bond mutual fund sector. JEL Classification: G01, G20, G23

Comparing the Performance of Private and Public Sector Mutual Funds: An Analysis of Factors Influencing Returns

Increasing interest towards mutual funds has significantly attracted attentions of the researchers, investors in mutual fund scheme. Similarly, investment opportunities and interest towards mutual funds have also increased in Pakistan. Therefore, the aim of the research was to empirically analyse and understand the changes in performance of private and public sector of Pakistan Mutual fund. For conducting this research, researcher has relied on secondary quantitative information, and data has been derived from MUFAP on 1 private company (i.e. Al Meezan Investment Management Limited) and 1 public company (i.e. ABL Cash Fund). For data analysis, statistical tools including correlation, and T-test were used through using SPSS software. Findings show that there is a significance difference in performance of both private and public sector. As NAV and return in private sector is found to be statistically different from public sector. Additionally, risk in mutual fund of private sector is also found to be statistically different from public sector. Further, findings in the current research have also shows a negative association between return and risk of both private and public mutual funds. Findings in the current research can be used to fill a gap in previous studies. Further, findings in the current research can also be used in future studies through increasing sample size, and other factors. Moreover, it can also be used for cross countries, companies, and region.

Optimal Leveraged Portfolio Selection Under Quasi-Elastic Market Impact

Dangers of Ignoring Market Friction When Leveraging Financial PortfoliosPortfolio leveraging is a standard industry practice to target higher fund returns, for example, in risk parity asset allocation. However, the existing models of optimal bet sizing fail to integrate analytically the impact on leveraged portfolio selection resulting from market liquidity issues. The paper “Optimal Leveraged Portfolio Selection Under Quasi-Elastic Market Impact” considers a market in which both temporary and permanent impact on trading prices are present with the former impact being sufficiently large relative to the latter. Our analytical conclusions, supported by a case study that uses even relatively more liquid U.S. exchange-traded fund assets, demonstrate that fund managers are ill advised to ignore market friction when leveraging to achieve target higher returns. Not only risk-adjusted returns significantly deteriorate, but also those losses become steeper when setting higher targets requiring increased levels of leverage. Moreover, leverage-constrained and less risk-averse investors ignoring liquidity costs ex ante face the most losses in expected utility ex post.

Alpha Strategy for Stripping Beta Returns for Pure Bond Funds

Contemporarily alpha strategy is favorable by investors and funders for its stable performances among volatility market. Although alpha strategy shows great extra returns, it might have great drawdown on account of the stochastic fluctuations of the market (e.g., hedge funds’ poor performance during COVID-19 early state including Bridge Water). Despite from stocks and futures, the bond funds are rather a low volatility type underlying assets, hence the alpha strategy based on pure bond will be more favorable for risk aversion investors. By building a five-factor model, this paper dissolves the returns of pure bond funds to the five factors of level, slope, convex, credit and default, which are separated from each other, and Alpha, which is not directly explained by the factors, and verifies the effectiveness of this alpha factor for selecting pure bond funds. Taking 2019 to 2022 as the time interval, the group backtest results show that the alpha factor stripped of beta has a good effect on the selection of pure bond funds in China's public offering fund market, and the base selection ability is better than the Sharpe Ratio and other traditional risk-return factors. Overall, these results shed light on guiding further exploration of portfolio construction with high alpha based on bond funds.

PEMBIAYAAN KREDIT PEMILIKAN RUMAH (KPR) SUBSIDI UNTUK MENINGKATKAN KESEJAHTERAAN MASYARAKAT BERPENGHASILAN RENDAH

The house is a primary need that is not easily owned by everyone first for low-income people. This study aims to determine the implementation, inhibiting factors, and the impact of mortgage loans. This research was conducted because there has been no similar research that includes information from housing developers. The context for improving the welfare of the community has not yet been studied. This research is a qualitative research based on field research. Data were obtained from interviews with customers, banks, and housing developers. The results show that despite the difficulties in collecting housing loan requirements, it can help and make it easier for people to own a house. There are inhibiting factors, including public awareness, problems with checking BI, dishonesty in the community about salaries, insufficient filing, difficulty in obtaining salary certificates, non-strategic house locations, licensing regulations and bank regulations during the pandemic. Meanwhile, the impact of home ownership loans on customers is to increase the customer's obligations or debts in installments every month. For housing developers, subsidized housing loans make developers take longer to find a location for housing construction that fits the government budget. On the other hand, developers also failed to realize sales due to the pandemic. Meanwhile, for the Karanganyar State Islamic Savings Bank, subsidized housing loans made the obligation to return funds to the government increased. It can be concluded that subsidized ownership credit can help and facilitate low-income people in owning a house.

A Comparative Evaluation of Selected Indian Mutual Funds from the Public and Private Sectors

This study aims to compare and analyse the performance of a ten selected equity schemes in order to grade these funds according to their effectiveness. There are varying levels of risks and returns associated with each of these investing options. While choosing between public and private mutual funds, small investors are often uncertain. To justify the objectives of this research ten equity mutual fund schemes were selected as a sample for this study, for a period of 5 years from financial year 2018 to 2023. T-Test for the difference in the mean is used to compare mean and return of public sector and private sector mutual funds. In comparison researcher observed that most of the selected schemes from both Public Sector and Private Sector Mutual Funds have performed significantly better, primarily due to improved fund allocation, better management, and effective portfolio manager performance. Jensen’s Alpha, Sharpe and Treynor index model have been used to analyse the performance.

Performance measurement of crypto funds

Crypto funds (CFs) are a growing intermediary in cryptocurrency markets. We evaluate CF performance using metrics based on alphas, value at risk, lower partial moments, and maximum drawdown. The performance of actively managed CFs is heterogeneous: While the average fund in our sample does not outperform the overall cryptocurrency market, there seem to be some few funds with superior skills. Given the non-normal nature of fund returns, the choice of the performance measure affects the rank orders of funds. Compared to the Sharpe ratio, the most commonly applied metric in the asset management practice, performance measures based on alphas and maximum drawdown lead to diverging fund rankings. Depending on their ranking order of preferences, CF investors should consider a bundle of metrics for fund selection and performance measurement.

Factors Affecting the Performance of the Mutual Fund in Nepal

This study examines macro and micro factors affecting Nepalese mutual fund results. This study used panel data from March 2016 to November 2022 to determine the success factors of Nepal's 16 mutual funds.
 Nepalese mutual funds' irregular performance is due to national economic conditions and individual fund peculiarities. This research analyzes the influence of economic events and fund attributes on the performance of Nepalese mutual funds by using risk-adjusted returns proposed by William Sharpe (1994). This research evaluated how macroeconomic and fund-factor changes affected Nepal's mutual funds.
 The results show a positive relationship between fund age, assets turnover ratio, fund size, and exchange rate. Liquidity is a non-factor in mutual fund performance, but growth in gross domestic product, inflation, interest rates, and the money supply (M2) all harm fund return. Managers of mutual funds are encouraged to follow the recommendations made in this study to keep their portfolios as diversified as possible.

The Impact of Stock Selection, Market Timing and Equity Fund Size on Equity Funds Performance during Covid-19

Investors in Indonesia pay attention to the financial market's investment tools, including mutual funds. Some mutual funds even provide a higher return on investment than alternative stock investments, with a lower level of risk be-cause investment managers properly manage them. This research aims to determine how stock mutual fund success is affected by factors such as stock selection, market timing, mutual fund size, and Covid-19, with Covid-19 serving as a moderator. Purposive sampling was utilized to conduct research on Indonesian equity funds. This study's sample consists of equity funds administered by fourteen investment management firms authorized and regulated by the Financial Services Authority (OJK). Panel data regression analysis in Eviews is used to examine the information. It was discovered that neither mutual fund size nor Covid-19 played a statistically important role in determining the success of equity funds. However, equity fund returns are significantly influenced by company picking and market timing. As a supplementary benefit, Covid-19 can significantly reduce the beneficial effects of overly optimistic stock picking on the returns of equity funds. This research also demonstrates that the effects of mutual fund size and market timing on stock fund returns are not reduced by using Covid-19.

Analysis of factors affecting the excess profitability of mutual funds in Russia for 2015-2022

The relevance of the study of financial market instruments is undeniable and well aligned with the achievement of Russia's national development goals until 2030. The subject of this article is the excess return of Russian mutual funds (MF) in the period from 2015 to 2022. The authors analyzed in detail the scientific literature and took as a basis the conclusions and results obtained in previous studies on similar topics. The aim of the study was to find the factors determining the excess return of mutual funds, which is the difference between the return of the funds and the return of the selected benchmark. The study was based on data from Investfunds Internet portal, which provides information on investment assets for a wide range of people. Econometric analysis was conducted based on an unbalanced panel consisting of an average of 185 funds per year. To achieve the objective, we studied already existing econometric models for analyzing excess fund returns and used them to construct a pass-through regression model and a fixed-effects model. Analyzing the performance of mutual funds depending on their parameters will allow investors to get relevant recommendations about which fund should be preferred to buy a share in its portfolio, which corresponds to the scientific novelty of the study. The main conclusion of the study is that using econometric criteria, the fixed-effects model was selected as the best of the constructed models. A notable contribution of the authors to the study of the topic is the identification of the main aspects that investors should pay attention to when choosing a mutual fund, namely funds with a high net asset value, the object of investment of which are stocks and money, and the direction of investment - precious metals.

Comparison of investment in stocks, gold, and mutual funds before and during the crisis due to the Covid-19 pandemic in Indonesia

Wuhan, China was the epicenter of the virus epidemic known as COVID-19. The developing COVID-19 issue affects the finances of numerous nations, including Indonesia. The government is taking precautions against the spread of COVID-19 by encouraging people to stay home, decrease their movement, avoid crowded places, and add PSBB in 2020 and PPKM in 2021. This study compared the return and risk of stocks, gold, and mutual funds before and after the COVID-19 pandemic, which happened as a result of a crisis occurrence. The data used spans from January 2015 through December 2022 and includes the LQ45 Index's ending price as retrieved from idx.co.id, Antam's gold price as seen on Logammulia.com, and the primary NAV/unit of Manulife mutual funds as seen on Bareksa's official website, Bareksa.com. By using the One-Way ANOVA test followed by the Tukey HSD follow-up test, the result was that before the Covid-19 pandemic there were differences in returns and risks between investment in stocks, gold and mutual funds where before Covid-19 stocks were investments that had the highest returns and risks. Then, It was found that during the pandemic there were differences in returns and risks between stock, gold, and mutual fund investments, with mutual fund investments having the highest return and risk. his research is limited by the fact that only stocks, gold, and mutual funds were examined, with equity mutual fund statistics from Manulife Saham Andalan used for mutual funds. This study focuses on the time of the crisis brought on by the COVID-19 pandemic, but it is anticipated that future studies will be able to incorporate additional investment tools.

A Novel Black-Litterman Model with Time-Varying Covariance for Optimal Asset Allocation of Pension Funds

The allocation of pension funds has important theoretical value and practical significance, which improves the level of pension investment income, achieves the maintenance and appreciation of pension funds, and resolves the pension payment risk caused by population aging. The asset allocation of pension funds is a long-term asset allocation problem. Thus, the long-term risk and return of the assets need to be estimated. The covariance matrix is usually adopted to measure the risk of the assets, while calculating the long-term covariance matrix is extremely difficult. Direct calculations suffer from the insufficiency of historical data, and indirect calculations accumulate short-term covariance, which suffers from the dynamic changes of the covariance matrix. Since the returns of main assets are highly autocorrelated, the covariance matrix of main asset returns is time-varying with dramatic dynamic changes, and the errors of indirect calculation cannot be ignored. In this paper, we propose a novel Black–Litterman model with time-varying covariance (TVC-BL) for the optimal asset allocation of pension funds to address the time-varying nature of asset returns and risks. Firstly, the return on assets (ROA) and the covariance of ROA are modeled by VARMA and GARCH, respectively. Secondly, the time-varying covariance estimation of ROA is obtained by introducing an effective transformation of the covariance matrix from short-term to long-term. Finally, the asset allocation decision of pension funds is achieved by the TVC-BL model. The results indicate that the proposed TVC-BL pension asset allocation model outperforms the traditional BL model. When the risk aversion coefficient is 1, 1.5, and 3, the Sharp ratio of pension asset allocation through the TVC-BL pension asset allocation model is 13.0%, 10.5%, and 12.8% higher than that of the traditional BL model. It helps to improve the long-term investment returns of pension funds, realize the preservation and appreciation of pension funds, and resolve the pension payment risks caused by the aging of the population.

Hedge funds trading strategies and leverage

We introduce learning into the hedge fund managers’ risk choice problem with imperfect information. We find that with a constant but unobserved expected return on investment, learning induces managers to take more risks and increases manager compensation. When the return is stochastic, learning increases manager compensation and induces an aggressive leverage choice when funds perform poorly or managers’ belief about fund returns is low. When funds are close to the high-water mark or the return belief is high, the learning effect reverses. This situation generates a flatter leverage ratio, which helps explain the cross-sectional dispersion of hedge fund strategies’ market betas. Finally, comparative statistics for transition intensity show that procyclicality in the hedge fund industry declines.

Nonparametric tests for market timing ability using daily mutual fund returns

When using daily mutual fund returns to study market timing ability, heavy tails and heteroscedasticity significantly challenge the existing methods. We propose a weighted nonparametric measure and test for market timing. The test finds different results from the traditional parametric inference concerning timing. By examining the holding characteristics of the funds with different levels of timing ability, we find that funds with positive timing ability hold stocks with lower trading frictions. We find evidence of a tradeoff between market timing ability and stock picking skill after excluding funds with zero timing ability, which is robust to different benchmark models.

Study on Relationship Between the Financial Index of Corporations and ESG Performance: Based on the Perspective of Investors of A-shares

After China proposed to achieve the goal of "double carbon", the concept of ESG gradually become popular in China's securities market. According to the relevant data disclosed by the CSRC, the returns of ESG related theme funds and stocks will lead the market after 2018, and the returns of high ESG enterprises and ESG theme funds will be higher than the annualized growth rate of the main board index. However, the vast majority of participants in China's securities market are mainly individual investors, and their return rates are low. Based on the above facts, this paper analyzes the correlation between ESG performance and financial indicators frequently used by listed companies, and uses the correlation coefficient analysis method to calculate the correlation coefficient between the two variables to get the final results. Furthermore, this paper hope to be able to make some practical suggestions for A-shares investors based on the data and conclusions obtained in this study.

A multivariate analysis of SIEFORE daily returns

This document presents a multivariate analysis of the relationship among daily returns of pension funds in Mexico from 1997 to 2019. We provide evidence of a positive relationship among daily returns through five statistical methods. We find Granger causality of the returns of some funds to others, showing that some managers’ decisions affect the others’ investment decisions. We introduce financial-connectedness indicators for daily returns, finding a high degree of linkage and spillovers. The high levels of financial connectedness observed suggest that shocks on the economy affect the SIEFORE returns in the same direction and with generally similar magnitude.

Perlindungan Hak Konsumen dalam Layanan e-Commerce melalui Sistem COD: Elaborasi dalam Kerangka Hukum Islam

Online buying and selling are a form of buying and selling activity that has its own characteristics, which utilizes the internet. Such conditions are very favorable to consumers on the one hand, because they provide an opportunity to have many choices in obtaining goods and services. After all, violations of consumer rights are possible. Therefore, it is necessary to protect consumer rights in buying and selling online. This study aims to analyze the protection of consumer rights in e-Commerce services through the COD system at JNE Galagamba-Ciwaringin-Cirebon and its elaboration within the framework of Islamic law. This research is a qualitative research with data collection using observation techniques, documentation, and interviews. Protection of consumer rights in e-commerce transactions through the COD system carried out at JNE Galagamba-Ciwaringin-Cirebon is basically in accordance with Islamic law because there are khiyar rights, namely the return of goods and funds. delivery of goods with the COD system where it has been carried out according to the procedure for customers who order online.

The Power of Financial Incentives versus the Power of Suggestion for Individual Pension: Are Financial Incentives or Automatic Enrollment Policies More Effective?

This study investigates and compares the impacts of two important reforms in retirement savings—matching contribution and automatic enrollment—on participation in the individual pension system (IPS) in Turkey by using a dataset containing information about over 40 million pension contracts for the period of 2004–2021. Unlike the automatic enrollment system (AES), the state matching contribution policy imposes a burden on the state’s budget; understanding the relative effectiveness of the two policies can help protect the public budget from such burdens, especially by taking individual attitudes into account in future policy recommendations. Our estimations indicate that both reforms led to an overall increase in participation. However, the AES is not efficient at encouraging participants to make an active decision on plan characteristics, such as portfolio choices. We also evaluate the effects of the two reforms on IPS participation among different demographic groups. We find that males and married individuals are more responsive to matching contributions, and education levels seem to be closely related with IPS participation. Participants are also sensitive to both the returns of pension funds and alternative investment instruments. All the findings imply that individuals must be encouraged to recognize the need for effective financial preparation in their post-retirement lives. To accomplish this, policymakers could utilize a comprehensive informative campaign and workplace seminars about both the system as a whole and the returns, and they could improve the plan characteristics to be compatible with the needs of individuals before retirement as well as after.

De facto time‐varying indices‐based benchmarks for mutual fund returns

AbstractWe question time‐invariant indices as fund benchmarks and propose a regime‐switching methodology to identify time‐varying de facto benchmarks from a pool of market‐based indices, with or without a risk‐free asset. To ameliorate the benchmark mismatch issue, we highlight the importance of using time‐varying indices‐based benchmarks for fund performance evaluation. Our de facto benchmark captures fund styles better than other benchmark choices, substantially improves the identification of significant fund alphas, and provides better out‐of‐sample forecasts. We uncover several new findings in terms of fund performance evaluation using our de facto benchmarks.