Performance Of Mutual Fund Managers Research Articles

Actively managed equity mutual funds in emerging markets

In this study, we analyze the performance of mutual fund managers who operate in emerging markets. Emerging stock markets differ from mature markets in significant ways, such as weak prosecution for insider trading, poor corporate governance practices, and a lack of liquidity, which create market inefficiencies that active investment strategies can exploit. We evaluate conditional alphas and multiple measures of liquidity, with a focus on equity funds that invest in emerging markets to achieve abnormal returns. Our analysis shows that smaller funds are significantly impacted by liquidity and that conditioning for public information has a significant effect on the distribution of returns. We find evidence of positive abnormal returns, which suggests that active management in emerging markets can be profitable.

Timing and Selectivity Performance of Mutual Fund Managers: Application of Conditional Models to Indian Equity Diversified Mutual funds

Investors prefer to invest in the mutual funds as the fund managers may augment the returns through their security selection and market timing skills. Both conditional and unconditional evaluation approaches are used in the assessment of these two skills. The conditional performance appraisal methodology eliminates some of the biases that affect conventional unconditional measures when assessing these two skills. This study analyses the security selection and market timing ability of 52 selected Indian equity diversified mutual fund (growth) schemes using conditional approaches. Study found that stock selectivity and market timing coefficients were positive and significant in less than 25% of sampled funds. However, one interesting thing is that study could not find any significantly negative stock selector. With respect to macro-forecasting or timing the market, evidence, however, was strong for “wrong” or “perverse” market timing. The negative correlation between stock picking and market timing coefficients indicates that Indian equity diversified scheme fund managers are unable to demonstrate prowess in both capabilities at the same time.

Limited attention and portfolio choice: The impact of attention allocation on mutual fund performance

AbstractThis study proposes that the performance of mutual fund managers is linked to how efficiently they allocate attention across assets in their investment set. Motivated by existing models of optimal portfolio choice and rational inattention, we posit that the efficiency of attention allocation increases when a manager chooses larger (smaller) active positions in assets that need more (less) information acquisition effort to resolve uncertainty about future payoffs. We show that the efficiency of attention allocation has a significantly positive impact on future fund performance. Efficient attention allocation has a lesser impact on performance as the total demands on a manager's limited attention increase.

Do Equity Mutual Fund Managers Possess efficient Stock Selection Skills?

With a primary and single intent, Investors wants to take a position his hard earning money in such investment product which generate higher returns to him . Bunch of Investment options are there for Today’s Investors in this financial world, starting from Equity Stock investments to Gold, from property to Fixed Deposit and From Mutual Funds to Investments in Commodities. Supported risk craving & return desire, Investors can select from these investment avenues. Lagging in knowledge, experience & resources for directly accessing the capital market, also investors generally don’t have adequate time, they need to depend upon a mediator, which undertakes informed investment decisions & provides substantial benefits of professional proficiency. Therefore investment firm has been came with this plus point for such kind of investors through which they’ll have also access to capital market indirectly. A mutual fund is that the best suited investment for the ordinary saver because it proposes a chance to take a position in a diversified, professionally managed hamper of securities at a moderately squat price.Usually, the main focus in evaluating the performance of a mutual fund has been on fund manager’s skill available in stock selection. This paper is a pragmatic measurement of the performance of mutual fund managers in terms of “Stock selectivity”, within the structure suggested by Eugene Fama (1972). The study examines the performance of 34 Equity Linked Saving Schemes. The reference period for the study is January 2015 to December 2019. Stock selection is that the nub within the investment administration & management process. It involves identifying and selecting undervalued securities which among other things requires the successful forecasting of the corporate specific events or a capability to predict the final behavior of security prices within the future. If the fund manager is in a position to spot and choose the undervalued securities for the portfolio, then it’ll be possible for the fund manager to extend the returns of the schemes and vice versa. In practice fund managers are expected to produce advanced returns for unit holders Constantly as being professionals therefore possess superior skills to gather and analyze the information with the aim to pick the correct style of securities for the portfolio. In this research document stock selectivity skills of fund managers of Equity Linked Savings Scheme were dissected by using Jensen’s Alpha and Fama’s net selectivity measure. The upshot of the study reveal that bulk of the schemes has shown assenting alpha and most of the fund managers possess finer selectivity skills.

Pedigree vs. Grit: Predicting Mutual Fund Manager Performance

An asset management company must replace the manager of its two signature mutual funds, who is about to retire. Two candidates have been short-listed. The management team is divided and cannot decide which of the two candidates would make the better mutual fund manager. The retiring manager presents a linear regression model to examine success factors of mutual fund managers. This linear regression is the starting point for the subsequent analysis.Application of linear regression analysis to analyze the performance of mutual fund managers.

The Sensitivity of Chinese Mutual Fund Investors to Risk Exposures and Its Implication for Performance of Mutual Fund Managers

The Sensitivity of Chinese Mutual Fund Investors to Risk Exposures and Its Implication for Performance of Mutual Fund Managers

Diseconomies of Scope and Mutual Fund Performance

We examine the changes in performance of mutual fund managers that result from changes in the scope of their duties. While confirming that the scope of manager responsibilities is expanded in response to positive past performance, we demonstrate that this expanded scope attenuates subsequent performance after controlling for effects related to fund size. Conversely, reductions in scope enhance performance. Our results suggest a significant diseconomy of scope exists with respect to performance similar to the diseconomies of scale previously highlighted and that, together, these two effects may explain the observed attenuation over time in abnormal relative mutual fund returns.

Another Look in Conditioning Alphas on Economic Information: Indian Evidence

No doubt, Jensen measure is path breaking in the field of investment performance, particularly in stock selection. A large number of Indian researchers have evaluated stock-selection performance of mutual fund managers by using the traditional measure of Jensen and have reported a mixed result. If we think differently, then we can see that the conditional measure provides better performance when compared with the traditional Jensen measure. In India, the performance evaluation of mutual fund based on conditional measure is scanty, while other developed economies have extensively examined the conditional performance and depicted superior results. Therefore, this study makes an attempt to evaluate stock-selection performance of open-ended equity mutual fund managers based on the conditional model and makes a comparison between the traditional model (unconditional) and the conditional model. The finding of the present study is remarkable. After the inclusion of the available public information in the conditional model, the significant stock-selection performance is increased and the alpha values in all cases are improved when compared with the unconditional model. Finally, the statistical test implies that there is significant difference between the two measures in respect of stock-selection performance.

Are mutual fund managers in Nigeria worth their money?

This paper examines the performance of mutual fund managers in Nigeria amidst their claims of portfolio management skills and the impact of management fees on such performance. Secondary data were obtained from the Nigerian Stock Exchange. Funds that had minimum four–year returns were selected and tested for persistence using the non–parametric cross–product ratio. We employed the critical t–test for two samples of unequal variances to uncover the significance of fees on the performance of managers. These results revealed a lack of persistence in the performance of mutual fund managers in Nigeria and the fees paid them do not have a significant impact on their performance. The paper argues that no mutual fund manager has superior skills of portfolio management than other managers, although they are all still rendering a useful service to the nation. To drive the emergence of skilful managers and higher market efficiency in Nigeria, the paper calls for market deepening.

The timing ability and global performance of Tunisian mutual fund managers: A multivariate GARCH approach

It is well-established in the financial literature that the global performance of mutual fund managers is the result of two skills: selectivity and market timing. This paper examines whether the multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) approach improves our perception of the global performance of fund managers compared with the unconditional approach and the conditional approach based on instruments. We find strong evidence that the multivariate GARCH method makes mutual fund performance looks better relative to the existent approaches, but this improvement in the global performance does not mean necessarily that mutual funds outperform traditional benchmarks. Indeed, mixed mutual funds yield neutral performance relative to benchmarks, whereas bond mutual funds generate significant positive global coefficients. The strong performance of bond fund managers comes from their ability to pick profitable bonds, not from their ability to time the market. Also, the empirical tests highlight that the best (worst) bond funds in the past remain at the top (bottom) of the ranking in the following years. These findings suggest that the Tunisian bond market presents strong opportunities for sophisticated investors.

MUTUAL FUNDS PERFORMANCE EVALUATION BASED ON SELECTIVITY AND MARKET TIMING

This paper is an empirical evaluation of the performance of mutual fund managers in terms of “market timing” and “selectivity”, within the framework suggested by Treynor and Mazuy (1966) and Henriksson and Merton (1981). The relevant data set is a balanced panel of 55 (fifty five) mutual funds, over a 17 (seventeen)-month period began from February 2008 until June 2009. The result found that only 4 (four) mutual funds demonstrated a good performance in market timing and 4 (four) mutual funds showed a good performance in stock selection. Both methods have a good indicator to reflect mutual funds performance.

Mutual fund performance: banking versus independent managers

We examine the performance of mutual fund managers for a sample of Spanish mutual funds considering data on active management, loads, size and the number of funds managed per manager. We find evidence of differences in fund performance according to management: independent managers outperform their banking counterparts even when the lower associated fees are considered. Overall, our results suggest that superior active managers do exist and the slight discrepancies which arise between managers can be interpreted as agency problems.

Market Timing And Selectivity: An Empirical Investigation Into The Features Of Greek Mutual Fund Managers

<p class="MsoNormal" style="text-align: justify; margin: 0in 31.5pt 0pt 0.5in; mso-pagination: none;"><span style="mso-bidi-font-style: italic; mso-ansi-language: EN-US;"><span style="font-size: x-small;"><span style="font-family: Times New Roman;">Τhis paper is an empirical assessment of the performance of mutual fund managers in terms of “market timing” and “selectivity”, within the framework suggested by Treynor and Mazuy (1966) and Henriksson and Merton (1981). The relevant data set is a balanced panel of nineteen Greek managers, over a sixty-month period. Empirical evidence does not provide support for correct timing, irrespectively of how the returns of the market index are calculated. It is interesting to note that using the Total Performance Index reduces the ability of managers for selectivity. This result holds for both the models utilized in our study.</span></span></span></p>

Performance Evaluation of Mutual Funds in Indonesia

This paper is an empirical assessment of the performance of mutual fund managers in terms of “market timing” and “selectivity”, within the framework suggested by Treynor and Mazuy (1966) and Henriksson and Merton (1981). The relevant data set is a balanced panel of fifty five mutual funds, over a seventeen-month period beginning on February 2008 until June 2009. The result find that only four mutual fund have a good performance in market timing and four mutual fund have a good performance in stock selection. Both methods have a good indicator to reflect mutual funds performance.

Performance evaluation of Polish mutual fund managers

PurposeThe purpose of this paper is to empirically assess the investment performance of mutual fund managers who operate in the Polish market.Design/methodology/approachThe paper uses monthly mutual fund returns over the period 2000‐2007 to investigate the manager's selectivity and market timing skills. It analyzes three investment mutual fund investment categories: equity, balanced, and bond mutual funds. The paper investigates several performance evaluation models, and shows that the findings are robust with respect to the model choice.FindingsFor each of the three categories, equity, balanced, and bond funds, the paper positive, but insignificant selectivity skill of the mutual fund managers. No evidence is found of bond or equity market timing skills in the sample.Research limitations/implicationsSince not many mutual funds exist over a long period, the sample used is relatively small with 38 mutual funds, while in April 2007 more than 300 funds are listed in the Polish market.Practical implicationsPrivate investors in Poland are not worse off by investing in mutual funds compared to passive market indices. Based on this research, they should select mutual funds that focus on selectivity rather than market timing.Originality/valueThe research on mutual fund manager skill in emerging economies is scarce. In addition, little is known on the performance of balanced and bond mutual funds, even in developed mutual fund markets. This paper contributes by filling both these gaps in the academic literature.

The Impact of the Short‐Short Rule Repeal on the Timing Ability of Mutual Funds

Abstract: Existing empirical studies find little evidence that mutual fund managers time the market. Repealed in 1997, Internal Revenue Service Code Section 851 (b)(3), known as the ‘short‐short rule,’ requires that mutual funds derive less than 30 percent of their gross income from the sale of securities held for less than three months. Failing to comply with the rule means that the Internal Revenue Service taxes the fund's entire gain at the 35 percent corporate tax rate. The short‐short rule likely hinders mutual fund managers from timing the market, as it constrains hedging and trading strategies involving short‐term trades. In this paper we exploit the natural experiment arising from the repeal of the tax regulation. We find that the timing performance of mutual fund managers improves significantly after the short‐short rule repeal. This result suggests that the perverse timing ability documented in the previous literature is partly due to the tax regulation imposed on mutual funds.

Performance Evaluation of Polish Mutual Fund Managers

This study aims at evaluating the performance of mutual fund managers in one of the fastest growing financial markets in emerging Europe. We use well-known performance evaluation measures to investigate whether private investors in Poland have benefited from investing in mutual funds. Our analysis focuses on returns over the period 2000-2007 for three categories of mutual funds: (1) equity, (2), bond, and (3) balanced mutual funds. Our results indicate that mutual funds in each of these three categories have positive, but insignificant selectivity skill, indicating that a private investor would not have been worse of by investing in mutual funds. We do not find any evidence of equity or bond market timing skill by Polish mutual funds. This conclusion does not depend on our choice of evaluation model taking into account the direction and/or the magnitude of the market return.

Market Volatility and Perverse Timing Performance of Mutual Fund Managers

Market Volatility and Perverse Timing Performance of Mutual Fund Managers

Brokers' Recommendations--A Significant Result

In a recently published study in this JOURNAL, Dimson and Fraletti (I986) examined in detail the performance of stocks recommended by a leading broker. They concluded that they 'were unable to detect any significant abnormal performance by the recommended stocks'. Their study of the investment performance of an individual broker was a follow-up study to an earlier investigation (Dimson and Marsh, I984) into the forecasting skills of different financial advisers. What is surprising is that the earlier study had revealed statistically significant evidence of superior forecasting skills by some brokers. In contrast, in this follow-up study, when Dimson and Fraletti investigated, in detail, recommendations made by a broker with above average forecasting skills, they failed to find evidence that this superior forecasting skill resulted in superior investment performance. In this paper it will be argued that, with the sample sizes available to Dimson and Fraletti, then at all plausible levels of the broker's forecasting ability, a rejection of the hypothesis of superior investment performance was almost inevitable. The failure to detect abnormal performance in this case is illustrative of a more general problem with statistical tests of market efficiency. Stock markets are characterised by wide fluctuations in returns relative to the mean return. This results in the power of many statistical tests of market efficiency being weak. A natural consequence is that the statistical evidence is frequently insufficient to reject the null hypothesis that the market is efficient. Thus, when Summers (I986) and Poterba and Summers (I987) re-examined some of the standard tests of weak form efficiency, they concluded that the power of such tests was so weak that unavailably large sample sizes would be required to produce statistically significant positive findings. A similar conclusion would appear to apply to some studies of semi-strong and strong market efficiency. Ashton (I985) re-examined the data used by Jensen (I968) in his study of the performance of mutual fund managers. He concluded that the problem with the study did not arise so much from a misspecification of the null hypothesis, Dybvig and Ross (I985), but rather from the lack of power of the statistical test used. In his analysis oftheJensen study, Ashton (I985) was concerned with the detection of fund managers' ability to time the general rises and falls in the market. In contrast, the Dimson and Fraletti study is concerned with the ability of brokers to select securities which will perform well relative to the market and the analysis just cited does not apply. In this paper, a theoretical model of brokers' forecasts is developed, which enables brokers to identify those shares which will outperform a general market portfolio. This model is then used to derive the expected value and variance of

The Market-Timing Performance of Mutual Fund Managers

The theory and measurement of the investment performance of managed portfolios has received a great deal of attention in the financial economics literature. 1 The topic is important to potential clients, managers evaluating the effectiveness of their strategies, and regulators that formulate policy concerning the operations of the marketplace. The Jensen (1968, 1969) model of riskadjusted performance has been the premier methodology for addressing these issues and testing the strong form of the efficient markets hypothesis (that is, whether any market participant has monopolistic access to any information relevant for price formation). The investment management process can be dichotomized into the activities of stock selection and market timing. Stock selection is based on forecasts of company-specific events and hence the prices of individual securities. Market timing, however, refers to forecasts of future This paper proposes an empirical methodology for measuring the market-timing performance of an investment manager and provides evidence for a sample of mutual funds. The results indicate that at the individual fund level there is evidence of significant superior timing ability and performance. However, the multivariate tests were not inconsistent with the efficient markets hypothesis. That is, fund managers as a group have no special information regarding the formation of expectations on the returns of the market portfolio.