Performance Evaluation Of Mutual Funds Research Articles

Optimizing Fund Performance: A Communication Systems Approach to Data Mining in Large- Cap Equity Mutual Funds

Mutual funds represent a secure and technologically driven conduit for Indian investors to engage with the dynamic Indian financial markets. These professionally managed funds strategically allocate investments across a spectrum of securities, including equities, bonds, government securities, and gold, leveraging cutting-edge information technology infrastructure for seamless operation and optimization. Within this landscape, performance emerges as a pivotal metric, driving the flow of savings into these digitally enabled funds, indicative of investors' confidence and expectations in the realm of data-driven decision-making. The core objective of this paper is to construct a robust mutual fund performance evaluation model utilizing the Statistical Package for the Social Sciences (SPSS), a sophisticated software platform renowned for its advanced analytics and predictive modeling capabilities in the information technology domain. The work focused specifically on equity mutual funds, this study meticulously examines top-rated funds within the large-cap category, drawing insights from a comprehensive validation period spanning the last fifteen years from April 2007 to March 2021. Through the systematic evaluation of various performance metrics within the context of information technology-driven analysis, this model aims to deliver actionable insights and strategic foresight, benefiting researchers, society, and financial analysts alike, while catalyzing innovation and driving positive impacts in the intersection of technology and finance.

Performance Evaluation Disagreement

This paper studies investor disagreement in the performance evaluation of equity mutual funds by comparing two existing approaches and estimating its relations with fund characteristics, active management level and fund flows. We find that investors disagree more about the performance of funds that have higher expense ratio and turnover, lower manager tenure and dividend yield, and that are older, smaller and part of a larger family. Disagreement is also higher for funds that follow riskier investment style strategies and deviate more from their benchmarks. Finally, larger disagreement leads to more net fund flows. These findings suggest that heterogeneous investors do not value funds with aggressive active trading strategies similarly, and that favorable valuations by some clienteles result in positive demands for this type of management.

Persistent Performance of Alpha in Evaluating and Predicting the Returns of Chinese Stock Mutual Funds

Alpha has been examined to be a significant performance indicator for mutual funds. It was developed in 1968 by Jensen and was widely applied as a measure in the evaluation of mutual funds managers. It quantitatively show the gap between the model-based expected returns and the actual fund returns. In my research, I wonder whether the persistence of alpha for different portfolios exist. I apply three mutual fund performance evaluation models in this paper and calculate the alpha of mutual funds under each model. Then I rank the alpha of each fund and group them into four portfolios. I keep tracking the alpha and performance of each portfolio from January 2008 to July 2020, and find that the portfolio with the highest historical alpha keeps beating the other three portfolios while having the highest alpha. Although there are still some parts of the experiment that could be improved, the empirical results of my research show that the alpha seems to be a persistent indicator of the performance of Chinese mutual funds.

EVALUASI KINERJA REKSA DANA SYARIAH: STUDI KASUS PASAR MODAL SYARIAH INDONESIA

This study examines the performance evaluation of Islamic mutual funds in the context of the Indonesian Sharia capital market. Islamic mutual funds are investment instruments that offer attractive alternatives for Muslim investors who wish to participate in the capital market while adhering to Islamic financial principles. In this study, a qualitative research methodology with a case study approach was employed to analyze the performance of Islamic mutual funds in the Indonesian Sharia capital market. The research involved an in-depth analysis of factors influencing the performance of Islamic mutual funds, such as historical performance, associated risks, portfolio characteristics, fund management, and compliance with Sharia principles. The findings of this study indicate that Islamic mutual funds in the Indonesian Sharia capital market have experienced significant growth during the research period from 2019 to May 2023. Although the growth in the number of Islamic mutual funds has been relatively slow, it reflects the increasing interest of investors in investment instruments that align with Sharia principles

Market crises and benchmark-adjusted fund alphas in a small market context

Most mutual fund performance evaluation studies interpret fund alphas as the incremental performance of managers in relation to passive benchmark indices, which should exhibit statistically insignificant alphas. However, if these indices present significant non-zero alphas, standard (non-adjusted) fund alphas are biased. This paper investigates the impact of using benchmark-adjusted alphas to assess the performance of Portuguese-based mutual funds, investing in domestic and European equities. For the period 2000-2020, our results show that fund benchmarks exhibit significantly negative alphas, which lead to an underestimation of mutual fund performance when employing standard models. As a result, benchmark-adjusted alphas are significantly higher than unadjusted alphas for both fund categories, though the differences are larger for domestic than for European funds. We have also found that the impact of the benchmark-adjustment procedure depends on the state of markets. The domestic (European) benchmark exhibits considerably lower (higher) alphas during crisis than during non-crisis periods. During market crises, the differences between pre- and post-adjustment alphas are statistically significant only for domestic funds, whereas during non-crisis periods, both fund categories exhibit significant performance improvements. Our findings suggest that the benchmark-adjustment procedure has a higher impact when benchmark indices exhibit higher concentration.

Performance Evaluation of Chinese Stock Mutual Funds

Based on a data from January 2003 to July 2020, I compare market index with mutual funds in Chinese stock market. First, I compare the cumulative return of market with that of mutual funds. Mutual funds have obvious advantages. Next, I compare their volatilities, Sharpe ratios, Sortino ratios, and maximum drawdowns. Based on these performance proxies, Chinese stock mutual funds still outperform the market index. Finally, I research the persistence of fund performance. Mutual funds with better performance in the past year tend to have higher returns in the next month.

Conventional or Shariah Compliant Investment: Performance Evaluation of Mutual Funds in Pakistan

The current study was initiated to compare the performance of conventional and Shariah-compliant mutual funds in Pakistan, keeping in view the contradictory opinions found in the literature in this regard. The data utilized to conduct the analysis covered the time span 2013-2021. Assessment of risk and return tradeoff was made with three ratios, namely Jenson’s alpha, Treynor ratio, and Sharpe ratio by evaluating the monthly returns of conventional and Shariah-compliant mutual funds. The findings revealed that Shariah-compliant mutual funds outperformed conventional funds in terms of absolute risk measure, higher Sharpe ratio, and low coefficient of variation. While, in terms of funds’ exposure to systematic risk, mixed results were obtained for both types of funds. The results produced sufficient information about the risks and returns associated with the two kinds of mutual funds which would enable fund managers and investors to make informed decisions while selecting the best mutual fund, thus generating maximum returns and with minimum risks.

Testing of Performance Consistency And Performance Determinants Of Mutual Funds: A Study On Fixed Income Mutual Funds in Indonesia (2017 – 2021)

This study evaluates the performance of fixed-income mutual funds in Indonesia in 2015-2017 using 123 research samples. Mutual fund performance evaluation is done through three measurement models: Sharpe, Treynor, and Jensen's Alpha. Mutual fund performance is compared to market performance (Indonesia Composite Bond Index/ICBI) to assess whether the performance is better (outperforming), the same as the market, or worse (underperforming). The test results show that the three measurement models consistently assess mutual fund performance. Furthermore, this study examines the determinants of mutual fund performance in the form of funds under management, past performance, the flow of funds, and the age of mutual funds. From a population of 398 fixed-income mutual funds, 123 active fixed-income mutual funds were selected during the 2017-2021 period using a purposive sampling technique in order to obtain 614 observational data. The test results show that past performance, the flow of funds, and the age of mutual funds have a positive effect on mutual fund performance, while managed funds have a negative effect on mutual fund performance.

Accounting for International Exposure in Mutual Fund Performance Evaluation: Evidence from Target Date Funds

Accounting for International Exposure in Mutual Fund Performance Evaluation: Evidence from Target Date Funds

Performance Evaluation of Mutual Funds in Pakistan

In Pakistan Mutual Funds were introduced in 1962, when the public offering of National Investment (Unit) Trust (NIT) was introduced which is an open-end mutual fund. In 1966 another fund that is Investment Corporation of Pakistan (ICP) was establishment. ICP subsequently offered a series of closed-end mutual funds. Up to early 1990s, twenty six (26) closed-end ICP mutual funds had been floated by Investment Corporation of Pakistan. After considering the option of restructuring the corporation, government decided to wind up ICP in June, 2000. In 2002, the Government started Privatisation of the Investment Corporation of Pakistan. 25 Out of 26 closed-end funds of ICP were split into two lots. There had been a competitive bidding for the privatisation of funds. Management Right of Lot-A comprising 12 funds was acquired by ABAMCO Limited. Out of these 12, the first 9 funds were merged into a single closed-end fund and that was named as ABAMCO Capital Fund, except 4th ICP mutual fund as the certificate holders of the 4th ICP fund had not approved the scheme of arrangement of Amalgamation into ABAMCO capital fund in their extra ordinary general meeting held on December 20, 2003. The fund has therefore been reorganised as a separate closedend trust and named as ABAMCO Growth Fund. Rest of the three funds were merged into another single and named as ABAMCO Stock Market Fund. So far as the Lot-B is concerned, it comprised of 13 ICP funds, for all of these thirteen funds, the Management Right was acquired by PICIC Asset Management Company Limited. All of these thirteen funds were merged into a single closed-end fund which was named as “PICIC Investment Fund”. Later on the 26th fund of ICP (ICP-SEMF) was also acquired by PICIC Asset Management Company Limited.

Study on Performance Evaluation of Mutual Funds

Study on Performance Evaluation of Mutual Funds

Comparative Study on Performance Evaluation of Mutual Funds with Reference to Banking Funds

Comparative Study on Performance Evaluation of Mutual Funds with Reference to Banking Funds

Performance Evaluation of Mutual Funds in Egypt

Performance Evaluation of Mutual Funds in Egypt

Benchmark versus Index in Mutual Fund Performance Evaluation

Benchmark versus Index in Mutual Fund Performance Evaluation

Performance evaluation of Indian equity mutual funds: a bootstrap analysis

The majority of Indian studies on mutual funds have documented superior performance of equity funds vis-à-vis the market benchmark. The question is whether this superior performance, demonstrated by fund managers, is the result of genuine stock selection abilities or merely the outcome of luck. We apply a bootstrap statistical technique as suggested by Kosowski et al. (2006) to evaluate the performance of the Indian open-end, domestic growth-oriented equity mutual fund schemes over the 2000 to 2019 period. The bootstrap analysis helps to segregate genuine stock-selection skills from luck. Our findings signify that superior performance demonstrated by the top mutual funds cannot be attributed to the sampling variation (luck) and these fund managers do possess genuine stock-picking skills.

Performance evaluation of Indian equity mutual funds: a bootstrap analysis

Performance evaluation of Indian equity mutual funds: a bootstrap analysis

Performance Evaluation of Select Mutual Funds in India

Performance Evaluation of Select Mutual Funds in India

A comparative study on performance of equity, debt and hybrid mutual fund schemes in india

The Indian Mutual Fund Industry is segmented and grounded on asset classes (Debt-Oriented Schemes, Equity-Oriented Schemes, Money Market Funds, ETFs and FoFs) and sources of funds (banks, retail investors, Indian institutional investors, FIIs, insurance companies, and other sources). The Average Assets Under Management (AAUM) of the Indian Mutual Fund Industry for the month of February 2022 lay at 39,87,990 crore. The AUM of the Indian MF Industry has raised from 7.20 trillion as on September 30, 2012 to 38.42 trillion as on September 30, 2022 further than 5 fold expansion in a span of 10 years. The MF Industry's AUM has raised from 20.40 trillion as of September 30, 2017 to 38.42 trillion as of September 30, 2022, around a 2-fold expansion in a span of 5 years. The entire number of accounts (or folios, as per mutual fund parlance) as of September 30, 2022, was at 13.81 crore (138.1 million), while the number of folios under equity, hybrid, and solution-oriented schemes, wherein the utmost investment is from the retail segment, stood at around 11.03 crore (110.3 million). The Indian mutual fund industry over the years noted a dramatic improvement in terms of volume as well as quality of the product and service offerings. In this paper, equity, debt, and hybrid mutual fund performance evaluation is measured through statistical ratios like standard deviation, beta, Sharpe's ratio, Jensen's alpha, and Treynor's ratio. All the ratios were calculated based on the daily returns over the last 3 years. The data was taken from the websites, and the yearly return was calculated on the basis of NAV. The results were obtained from a sample of 8 equity funds, 8 debt funds, and 8 hybrid funds. It was found that an investor must take the risk ratios into consideration before investing.

A Performance Evaluation of Ethical Mutual Funds: Evidence from India

Since the last decade, ethical investment has gained significant development in the Indian financial market. With the increasing focus on social responsibility and the importance of ethical funds, investors pay more attention to the activities of these funds and their impact on society. Whether ethical fund investment affects portfolios’ return performance is still questionable. To address this question, this paper investigated the performance of various ethical mutual fund schemes and compared them with benchmark index (NIFTY 500 Shariah Index) using data from 2014-15 to 2019-20. The performance of the sample schemes was measured based on the risk-return profile and Sharpe’s ratio, Treynor’s ratio and Jensen’s alpha measures. The results indicated that nine out of ten ethical schemes outperformed the benchmark index during the study period. This implies that ethical funds generated positive returns with lower risk. As a policy implication, investment funds and financial institutions should develop fund schemes and stocks that incorporate ethical considerations in an investment.

Assesment of Mutual Fund Performance Using the Calculation Methods of Sharpe Ratio, Treynor Ratio, Jensen Alpha, and M-Square (Study on Indonesia Mutual Fund for the 2016-2018)

The purpose of this study is to determine the difference in returns on the JCI or stock mutual funds returns and to find out how well the performance of the four stock mutual funds is in the conclusion that there is a difference or not in the consistency of the performance of stock mutual funds. In this study, the Mutual Fund Performance Evaluation Method used includes the Sharpe Ratio, Treynor Ratio, Jensen Alpha, and M-Square. The population in this study is equity mutual funds registered with the Financial Services Authority (OJK) for the 2016-2018 period. The results of the study based on the Wilcoxon signed rank test showed that there was a significant difference between stock mutual fund returns and JCI returns. Meanwhile, based on the Kruskal-Wallis test, it shows that there are differences in the consistency of the calculation of the Sharpe Ratio, Treynor Ratio, Jensen Alpha, and M-Square methods.