Mutual Fund Performance Research Articles

A STUDY ON RISK ADJUSTED PERFORMANCE OF OPEN-ENDED EQUITY MID CAP AND MULTI – CAP MUTUAL FUND SCHEMES IN INDIA BY SHARPE RATIO : PRE COVID SCENARIO

Mutual funds are risky financial instruments, they are governed by the normal risks involved in investments. It is difficult to predict the performance of a mutual fund just on the basis of the return of the fund. The performance can only be evaluated in a correct manner if the risk is considered in evaluating the return. Hence a mutual fund's performance is accurate only if it is risk-adjusted performance. In this study, 21 Open Ended Multi Cap Funds and 17 Open Ended Mid Cap funds are compared using the Sharpe Model by William F. Sharpe, who developed it in 1966. The data of 10 calendar years of pre covid is taken for the period between 1st January 2009 – 31st December, 2019. The S&P BSE SENSEX is taken as the benchmark index under this study. It was found that most of the funds had outperformed the market and given good returns.

Financial performance of mutual and pension funds focused on the natural resources sector

The natural resource sector plays a critical role in advancing sustainable development. However, fossil fuels, precious metals, and mineral extraction require large investments, which mutual and pension funds may assume when allowing fund managers to fulfil their fiduciary duties. This study examines the financial performance of conventional, natural resource, energy, and precious metal-related mutual and pension funds, considering the effects of the COVID-19 pandemic. We adopted a five-factor model with a sample of 42 natural resource funds, 45 energy funds, 45 precious metal funds, and 2172 conventional funds from January 2016 to December 2022. The results indicate that driven by fund managers’ reverse stock-picking skills, the precious metal fund category reaches the lowest mean risk-adjusted return in relation to the energy, natural resources, and conventional fund categories. Additionally, the COVID-19 global health crisis negatively affected the mean risk-adjusted returns on the energy, precious metals, and conventional funding categories. A similar effect is observed in the natural resource pension fund category, while its matching mutual fund category achieves similar financial performance during the non-crisis and crisis periods.

Catalyzing Sustainable Investment: Revealing ESG Power in Predicting Fund Performance with Machine Learning

AbstractIn today’s dynamic financial landscape, the integration of environmental, social, and governance (ESG) principles into investment strategies has gained great significance. Investors and financial advisors are increasingly confronted with the crucial question of whether their dedication to ESG values enhances or hampers their pursuit of financial performance. Addressing this crucial issue, our research delves into the impact of ESG ratings on financial performance, exploring a cutting-edge machine learning approach powered by the Extreme Gradient algorithm. Our study centers on US-registered equity funds with a global investment scope, and performs a cross-sectional data analysis for annualized fund returns for a five-year period (2017–2021). To fortify our analysis, we synergistically amalgamate data from three prominent mutual fund databases, thereby bolstering data completeness, accuracy, and consistency. Through thorough examination, our findings substantiate the positive correlation between ESG ratings and fund performance. In fact, our investigation identifies ESG score as one of the dominant variables, ranking among the top five with the highest predictive capacity for mutual fund performance. As sustainable investing continues to ascend as a central force within financial markets, our study underscores the pivotal role that ESG factors play in shaping investment outcomes. Our research provides socially responsible investors and financial advisors with valuable insights, empowering them to make informed decisions that align their financial objectives with their commitment to ESG values.

Relating Mutual Funds Performance & Stock Market Performance: Evidence from Egyptian Exchange (EGX)

Relating Mutual Funds Performance & Stock Market Performance: Evidence from Egyptian Exchange (EGX)

Impact of Herding Behavior on Mutual Fund Performance

n this study, we look at how herd mentality affects the efficiency of mutual funds. It is well-documented that investors often engage in herding behaviour in the financial markets, when they blindly follow the actions of others rather than evaluating information independently. Yet, there has been a dearth of empirical research into its particular consequences for mutual funds. To analyse the impact of herding behaviour on fund performance, this research uses a thorough dataset of mutual fund returns and investor flows. The first step of the research is to use literature-established metrics to determine whether mutual fund investors herd. After that, we use risk-adjusted returns, volatility, and alpha to evaluate the herding behaviour vs. fund performance connection. The research further delves into the ways in which herding affects the performance of funds by looking at things like trading fees, liquidity restrictions, and market circumstances. Herding behaviour has a substantial impact on mutual fund performance, according to preliminary data. However, the exact nature of this impact varies across fund kinds and market conditions. Although herding may provide short-term gains in price momentum and liquidity-driven returns, it eventually causes mispricing and reversals if it continues. In addition, less liquid asset classes may have their long-term performance eroded by herding-induced trading costs and portfolio churn. These results have consequences for fund managers and investors alike. By learning the ins and outs of herd mentality, investors may make better investing choices that stay true to their long-term value drivers and avoid the traps of herd mentality. To lessen the impact of market emotion on fund performance, fund managers should be aware of investors' herding tendencies so they can create portfolios and use risk management methods. Keywords – Herding Behavior, Mutual Funds, Investor Behavior, Market Sentiment, Performance Measurement

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.

A Study on Performance of Mutual Fund with Reference to Equity Growth Fund

This research aims to analyze the performance of mutual funds, specifically focusing on Equity Growth Funds, within the context of the dynamic financial market. Mutual funds play a pivotal role in channeling investments into various financial instruments, and Equity Growth Funds, in particular, are designed to capitalize on opportunities in the equity markets to achieve long-term capital appreciation. This study employs a comprehensive approach to assess the performance of these funds, taking into account various financial metrics, market trends, and risk factors. The research methodology involves a thorough examination of historical fund performance, benchmark comparisons, and risk-adjusted returns. Additionally, the study explores the impact of macroeconomic factors, market volatility, and fund manager expertise on the overall performance of Equity Growth Funds. Utilizing both quantitative and qualitative analysis, the research aims to provide valuable insights for investors, fund managers, and financial institutions seeking a deeper understanding of the dynamics influencing mutual fund performance.

Practice What You Preach: Strategy Consistency and Mutual Fund Performance

Practice What You Preach: Strategy Consistency and Mutual Fund Performance

To Study: The Trends And Analysing Mutual Fund Performance; A Study Specific On The State Bank Of India

To Study: The Trends And Analysing Mutual Fund Performance; A Study Specific On The State Bank Of India

Analysis of Financial Performance of Islamic Mutual Funds & Islamic Pension Funds in Pakistan

The Islamic finance industry is growing exponentially at global level catering to the demands of Muslim consumers. The same trend is being observed in Pakistan as many Islamic mutual funds and Islamic pension funds are working alongside traditional funds. This research seeks to explore the financial performance of various Islamic mutual funds and Islamic pension funds in Pakistan from 2015-2022. For this purpose, we selected 10 Islamic mutual funds and 5 Islamic pension funds on random basis and employed Sharpe Ratio, Treynor Ratio, and Jenson’s Alpha techniques to analyze the financial performance of these funds in terms of returns generated and their comparison with the industry results. The study's findings showed that Islamic mutual and pension funds in Pakistan are still struggling to provide market-oriented returns to their investors. This gap in generating excess returns may be due to the nature of the Islamic funds that restricts their investment options for diversification due to the Shariah guidance. This study recommends that industry stakeholders including fund management companies, investors, regulatory bodies, Shariah scholars etc. all need to work closely to address the short-comings of the existing operational restrictions of the Islamic funds and ensure a level-playing field along with the traditional fund management companies for generating maximum returns for their investors.

Predicting Mutual Fund Performance based on LSTM Models

Predicting Mutual Fund Performance based on LSTM Models

Can mutual fund characteristics predict future performance? Evidence from Portugal

Purpose This paper aims to investigate not only the performance of Portuguese mutual funds investing in domestic and international equities but also which fund characteristics, such as age, size, family size, expense ratios and flows, influence future performance. Design/methodology/approach Fund performance is evaluated over the 2005–2022 period by a robust six-factor model, while the impact of fund characteristics on performance is assessed by a set of fixed-effects panel data regressions with two-way cluster-robust standard errors. Findings The results show that, while funds investing in domestic equities predominantly exhibit neutral performance, most international equity funds have significantly negative alphas. The authors document a negative and statistically significant relationship between fund age and performance for all fund categories. Total expense ratios have an inverse relationship with domestic equity fund performance but do not impact the performance of international equity funds significantly. Though fund flows have a neutral effect on performance across the overall period, they are important determinants of both domestic and international funds’ performance in more recent years. Originality/value The authors contribute to the literature by carrying out a comprehensive analysis, based on recent and robust methodologies, of the impact of mutual fund characteristics on the future performance of Portuguese equity funds. The research findings serve as a premise for advising investors on how to choose the top-performing funds.

Analisis Kinerja Reksa Dana Saham Syariah Sebelum Dan Setelah Penerapan Roadmap Pasar Modal Syariah 2020-2024

The Islamic capital market in Indonesia has witnessed significant progress, particularly in the development of products such as Shariah equity mutual funds. In the period 2017-2022, the Net Asset Value (NAV) of Shariah equity mutual funds reached IDR 153,40 trillion. However, in terms of performance, Shariah equity mutual funds still recorded minor results. The Financial Services Authority (OJK) has endeavored to enhance the potential of the Islamic capital market through the launch of the Shariah Capital Market Roadmap 2020-2024. To evaluate the positive impact of this policy, this research examines the factors influencing the performance of Shariah equity mutual funds during the period 2017-2022. A quantitative descriptive approach is employed using non-probability judgement sampling. Panel data is analyzed using multiple linear regression, with dummy variables used to identify performance differences before and after the implementation of the Shariah Capital Market Roadmap 2020-2024. Research findings indicate that cashflow, IHSG (Indonesia Stock Exchange Composite Index), and the age of Shariah equity mutual funds significantly influence performance. However, the impact of NAV is observed but not statistically significant. The dummy variable shows a negative and significant value, indicating performance differences between the two observed periods

Determinants of Mutual Fund Performance Manipulation under Different Market Conditions in South Africa

Determinants of Mutual Fund Performance Manipulation under Different Market Conditions in South Africa

Comparative Analysis of Private and Public Mutual Funds: A Performance Evaluation

Abstract: The mutual fund industry is a popular investment avenue that offers investors the opportunity to invest in a diversified portfolio of securities. The industry has witnessed significant growth in recent years, with investors seeking to maximize their returns and reduce risk. This paper presents a comprehensive comparative analysis of private and public mutual funds in terms of their performance. The study aims to evaluate the risk-adjusted returns, expense ratios, fund size, asset allocation, and other relevant factors of both private and public mutual funds to determine which type of fund offers better performance. To conduct the analysis, a sample of four private and four public mutual funds was randomly selected, and their performance was evaluated using various performance metrics such as Sharpe ratio, Treynor ratio, and Jensen's alpha. The data was analyzed using statistical tools such as U test, t-test, and regression analysis. The study found that private sector mutual funds performed comparatively better than public sector mutual funds in terms of risk-adjusted returns, expense ratios, and asset allocation. Private sector mutual funds had higher Sharpe ratios and Treynor ratios compared to public sector mutual funds, indicating that they generated higher returns per unit of risk taken. Private sector mutual funds also had lower expense ratios, indicating that they charged lower fees to investors. In terms of asset allocation, private sector mutual funds had a higher allocation towards equity securities compared to public sector mutual funds, which had a higher allocation towards debt securities. The study also identified significant differences in the investment strategies, portfolio management, and investor base of private and public mutual funds. Private sector mutual funds had a more aggressive investment strategy, with a higher allocation towards equity securities, whereas public sector mutual funds had a more conservative investment strategy, with a higher allocation towards debt securities. Private sector mutual funds were also found to be more actively managed compared to public sector mutual funds. Private sector mutual funds had a higher percentage of assets under management from retail investors, while public sector mutual funds had a higher percentage of assets under management from institutional investors. The study provides valuable insights to investors, fund managers, and policymakers regarding the performance of private and public mutual funds. The findings suggest that investors may benefit from investing in private sector mutual funds due to their higher risk-adjusted returns, lower expense ratios, and higher allocation towards equity securities. Fund managers may also benefit from the study by gaining insights into the investment strategies and portfolio management practices of private and public mutual funds. Policymakers may use the study to design policies that promote the growth and development of the mutual fund industry. Overall, this study contributes to the existing literature on mutual funds by providing a comprehensive comparative analysis of private and public mutual funds in terms of their performance. The study adds to our understanding of the factors that affect the performance of mutual funds and provides insights into the investment strategies and portfolio management practices of private and public mutual funds.

Predicting Healthcare Mutual Fund Performance Using Deep Learning and Linear Regression

Following the COVID-19 pandemic, the healthcare sector has emerged as a resilient and profitable domain amidst market fluctuations. Consequently, investing in healthcare securities, particularly through mutual funds, has gained traction. Existing research on predicting future prices of healthcare securities has been predominantly reliant on historical trading data, limiting predictive accuracy and scope. This study aims to overcome these constraints by integrating a diverse set of twelve external factors spanning economic, industrial, and company-specific domains to enhance predictive models. Employing Long Short-Term Memory (LSTM) and Multiple Linear Regression (MLR) techniques, the study evaluates the effectiveness of this multifaceted approach. Results indicate that incorporating various influencing factors beyond historical data significantly improves price prediction accuracy. Moreover, the utilization of LSTM alongside this comprehensive dataset yields comparable predictive outcomes to those obtained solely from historical data. Thus, this study highlights the potential of leveraging diverse external factors for more robust forecasting of mutual fund prices within the healthcare sector.

Effects of Macroeconomic Variables on the Performance of Mutual Funds: Evidence from Bangladesh Financial Market

Using multiple regression analysis in this research paper, this is examined that these macroeconomic variables (Money Supply-M2, Inflation Rates and Exchange Rates) have significant relationships with the performance of mutual funds (represented by monthly return based on NAV) in Bangladesh. According to this project paper, money supply M2 has negative relationship with the performance of mutual funds in the financial market of Bangladesh. Because, higher level of money supply in the market weaken the monetary value of taka which makes the market more vulnerable. And this vulnerable market leads a negative impact on the whole financial market as well as mutual fund industry. Interest rates have positive relationship with the performance of mutual funds in the financial market of Bangladesh because higher level of interest rate increases the tendency of savings in the ultimate consumers and they try to consume less and save more. This savings is going to be invested in the capital market as well as in mutual fund industry which leads the market to a better position for the fund managers. Inflation rates have negative relationship with the performance of mutual funds in the financial market of Bangladesh as the higher level of inflation make the price of commodities higher and the monetary price of the taka lower. This tendency of making the less value of money, most of the investors want to withdraw their investment from the market which leads a downturn in the financial market as well as in the mutual fund industry. At the end, exchange rates have positive relationship with the performance of mutual funds as the higher level of exchange rate makes the Bangladeshi taka more powerful in the international market.

Assessing Energy Mutual Funds: Performance, Risks, and Managerial Skills

This study investigates the risk-adjusted performance of energy equity mutual funds across a 23-year period, employing the Cumulative Wealth Index (CWI) to gauge their long-term performance relative to benchmark indices. Despite inherent volatility due to the energy sector’s cyclical nature, these funds consistently outperformed benchmarks based on monthly returns, showcasing resilience amid market fluctuations. However, challenges emerged during the COVID-19 pandemic, with notable improvements post-vaccination. Utilizing a multi-factor model, the research highlights the interconnectivity of energy equity mutual funds with broader market movements and systemic factors. Despite their primary focus on the energy sector, these funds exhibit sensitivity to larger market trends, rendering them susceptible to market dynamics. Additionally, an assessment of portfolio manager expertise reveals some proficiency in security selection post-vaccinations against COVID-19.

Asymmetry risk and herding behavior: a quantile regression study of the Egyptian mutual funds

PurposeThis paper deeply investigates the herd behavior of the Egyptian mutual funds under changing and different conditions of the market pre- and post-events and compares the impact of asymmetric risk conditions on the herding behavior of the Egyptian mutual funds in both up and down markets.Design/methodology/approachWe test for the existence of herding for the whole period from 2003 to 2022, as well as for the pre-and post-different Egyptian uprising periods. We employ two well-known models, namely the cross-sectional standard deviation (CSSD) and cross-sectional absolute deviation (CSAD) models. Additionally, we use the quantile regression approach.FindingsWe find that the behavior of mutual funds does not change following the different political and social events. For the whole period, we find evidence of herding behavior using only the model of CSAD in down-market conditions. We generalize our finding to be evidence of the existence herding behavior in different quantiles, under only the down market in specific points’ pre, post or both given events throughout the whole series. Conversely, during the upper market, we show a full absence of herding behavior considering all different quantiles. When the market is down, managers are afraid of the condition of uncertainty, neglecting their own private information, avoid acting independently and consequently, following other mutual funds. When the market is up, managers become rational and act fully independent.Research limitations/implicationsFuture research should delve deeper into the drivers of herding behavior, assess its longer-term effects, develop risk management strategies and consider regulatory measures to mitigate the potential negative impact on mutual fund performance and investor outcomes.Practical implicationsThe study reveals that the behavior of mutual funds remains consistent despite various political and social events, suggesting a degree of resilience in their investment strategies. The research uncovers evidence of herding behavior in both high and low quantiles, but exclusively in down markets. In such conditions of market decline, fund managers appear to forsake their private information, exhibiting a tendency to follow the crowd rather than acting independently.Social implicationsThe study reveals that the behavior of mutual funds remains consistent despite various political and social events, suggesting a degree of resilience in their investment strategies. The research uncovers evidence of herding behavior in both high and low quantiles, but exclusively in down markets. In such conditions of market decline, fund managers appear to forsake their private information, exhibiting a tendency to follow the crowd rather than acting independently. Future research should delve deeper into the drivers of herding behavior, assess its longer-term effects, develop risk management strategies and consider regulatory measures to mitigate the potential negative impact on mutual fund performance and investor outcomes.Originality/valueThe paper investigates the herd behavior of the Egyptian mutual funds under asymmetric risk conditions, the study follows the spectrum of the herding behavior analysis and Egyptian mutual funds, extending the research with imperial analysis of market conditions pre- and post-events including currency floating, COVID-19 and political elections. The study gives substantial recommendations for policymakers and investors in emerging markets mutual funds.

MUTUAL FUND PERFORMANCE IN A BULLISH MARKET DURING THE COVID-19 CRISIS

Active funds vs passive funds represent one of the most prominent investment decisions that ought to be undertaken by investors over the decades. Our paper seeks to offer an insight into the average performance of equity mutual funds during the period when there were roughly 70 ‘all-time-highs’ recorded by S&P 500 amid the COVID-19 health crisis. Additionally, our paper aims to explore the robustness and persistence of the explanatory powers of Morningstar sustainability globes, ratings from agencies and growth tilt during the health crisis. Our results indicated that the benchmark indexes seemed to dominate mutual funds in most cases during our sampling period. The ratings from Morningstar and/or Lipper together with growth investing appeared to be ideal elements to contemplate when making investment decisions during the COVID-19 health crisis.