Mutual Fund Performance Research Articles

STUDI KOMPARATIF KINERJA REKSADANA SAHAM SYARIAH DAN KONVENSIONAL STUDI KASUS DI INDONESIA

This study aims to determine whether there is a difference between the performance of conventional and sharia mutual funds and to find out the difference between the sharia index (JII) and the conventional index (IHSG). The population of this research is all stock mutual funds that cooperate with Indo Premier Sekuritas. Based on the purposive sampling method, there were 65 samples consisting of 14 Islamic stock mutual funds and 51 conventional stock mutual funds. Empirical results show that the performance of Islamic mutual funds is lower than that of conventional mutual funds. In addition, the performance of Islamic and conventional equity mutual funds is better than JII and JCI.

Pengaruh Tingkat Inflasi, Suku Bunga, Harga Emas, Nilai Tukar, dan Indeks Harga Saham Gabungan terhadap Kinerja Reksa Dana Saham Syariah Periode 2017-2021

This study aims to determine the influence of variable inflation, interest rates, gold prices, exchange rates, and composite stock price indices on the performance of Islamic stock mutual funds. The data used are 8 sharia stock mutual fund data registered with the Financial Services Authority (OJK) in the 2017-2021 period. Data analysis techniques are carried out by classical assumption testing, hypothesis testing using multiple linear regression analysis. The results showed that inflation, interest rates, gold prices, rupiah exchange rates against the US dollar (USD) and JCI simultaneously had a significant effect on the performance of Islamic stock mutual funds. Partial inflation with a regression value of 0.0403, interest rate with a regression value of 0.0361, gold price with a regression of 0.0428, and exchange rate with a regression of 0.0002 has a significant effect on mutual fund performance. As for the JCI with a regression value of 0.05218, there is no significant influence on the performance of Islamic stock mutual funds.

Net Assets Value and its Determinants of Mutual Funds in Nepal: An Analysis of Monthly Returns

The research work has been conducted to examine the impact of age, total expense, total investment, and turnover ratio on financial performance of mutual funds in Nepal. Out of 29 mutual funds reported by Nepal Stock Exchange Ltd (as on 15 January, 2022), a total of 10 mutual funds following judgmental sampling technique have been selected as sample of the study. Samples are selected with the objective of getting 32 months data (from 12-Feb 2019 to 16-Sep 2021) resulted 320 observations. The required balanced panel data have been extracted from the monthly reports published on respective websites. Based on the regression result, it has been found that the age, total investment and turnover ratio have significant positive impact on net asset value but the magnitude of turnover ratio is negligible. However, impact of total expense on net asset value is positive but not found significant. The result can give mutual fund managers an insight on improving funds performance. On the other hand, the result can be helpful to investors in deciding their investment on mutual funds. Analysis with adding more variables will be beneficial in increasing the generalizability of the findings.

Application of Analytical Hierarchy Process to Evaluate Ten Years of Mutual Fund Performance in Indonesia

Background – Mutual funds are one of the investment instruments whose popularity is increasing every year. Throughout August 2020 all types of mutual funds showed positive performance and equity funds became the mutual funds that had the highest performance among other types of mutual funds. Investors must be observant and careful in choosing which mutual funds are worth buying and have the best performance so that the risk of loss can be minimized. The decision-making process is not easy, so a decision-making tool called the Analytical Hierarchy Process (AHP) is needed. 
 Purpose – This study aims to analyze the performance of equity funds as a consideration for investors in choosing the best mutual funds with the Risk Adjusted Return (RAR) method, Sharpe Ratio, Treynor Ratio, and Jensen Alpha. 
 Design / Methodology / Approach – This research approach is quantitative. The population in this study are all equity funds which are then sampled with criteria of more than 10 years having the largest Asset Under Management (AUM) as of December 2020 and one mutual fund product representing an investment manager. The data analyzed are primary data and secondary data. The data analysis method in this study uses the Analytical Hierarchy Process (AHP) as a decision-making tool for 10 alternative mutual funds. 
 Result and Discussion – Based on the results of the analysis, it shows that the RAR method is the criterion that shows the most consistency in assessing the performance of mutual funds. This result is also supported by the opinions of several competent investment managers regarding mutual fund investment as respondents in this study. The overall results of selecting the best mutual fund performance in terms of the 4 criteria used show that the FWD Asset Dividend Yield Equity Fund is the best alternative choice with an overall inconsistency shown of less than ten percent, which means that the data comparison in this study is valid and consistent. 
 Conclusion – Based on the AHP method, it shows that the FWD Asset Dividend Yield Equity Fund has superior performance compared to the other eight mutual funds with the largest final weight of 0.155. 
 Research Implication – This research can be used as a basis for making investment decisions in mutual funds so that investors know the best performance information on mutual funds using the 4 criteria. 
 Research Limitations – This study has limitations related to the criteria, namely Risk Adjusted Return (RAR), Sharpe Ratio, Treynor Ratio, and Jensen Alpha and the alternative used is only 10 equity mutual funds, so that it can be developed using other criteria or adding sub-sub-criteria, and can use other mutual fund alternatives.

Performance persistence and style consistency of Indian fixed income mutual funds – A longitudinal study

In this study, we evaluate the performance of Indian fixed-income mutual funds using a comprehensive sample over a ten-year period from April 2010 to March 2020. We examine performance persistence of 190 fixed income funds across 16 fund categories and analyze investment style of the most persistent and top performing funds. We assess performance persistence using recursive portfolio formation test, and analyze investment style using Sharpe's (1992) asset class factor model supplemented with Lobosco and diBartolomeo (1997) approach for statistical robustness. We also study the correlation between performance persistence and style consistency and find persistent funds to be less consistent in style. Our findings indicate that a substantial proportion (73%) of the funds considered were under-performers. Our results pertaining to style analysis indicate substantial drift in investment style from regulator-mandated investment objectives. Further, the study nudges regulators to revisit the prevailing practice of fund classification based on Macaulay's duration. In light of the growing prominence of Indian fixed income securities, the findings of this study are all the more pertinent to investors, asset management companies and policy makers.

The Impact of ESG Risks on the Performance of Infrastructure Mutual Funds

Prior studies find mixed evidence on the impact of environmental, social, and governance (ESG) risk ratings on mutual fund performance. These studies implicitly assume that ESG risks are equally important for all sectors. In this article, we argue that ESG risk ratings are more likely to matter for securities related to a sector with a highly visible footprint. We provide complementary evidence to the existing literature by focusing on the performance of mutual funds investing in the infrastructure sector (IMFs). Using a sample of US equity IMFs, we find that lower ESG commitment is associated with higher performance (Carhart alpha) during normal periods, whereas it is associated with lower performance during recessions or bear market periods. Interestingly, our results also show that ESG risk scores do not affect the performance of comparable mutual funds not investing in the infrastructure sector (even in bear market periods).

Fund family versus mutual fund performance: evidence from the Indian investors’ perspective

Fund family versus mutual fund performance: evidence from the Indian investors’ perspective

Market Timing, Selectivity, and Performance of Technology Exchange-Traded Funds and Mutual Funds

This study compares the risk-adjusted performance of technology mutual funds and exchange-traded funds with several benchmark indexes from January 2010 to July 2021. It is discovered that the average monthly returns on technology mutual funds and exchange-traded funds were highly correlated with the DJIA US Technology, NASDAQ 100 Tech, NYSE Arca Tech 100 Index, and S&P 500 Information Technology benchmark indexes. Furthermore, technology mutual funds outperformed exchange-traded funds and benchmark indexes in absolute and risk-adjusted performance. In addition, it is discovered that institutional technology funds’ risk-adjusted performance was marginally greater than noninstitutional funds’ risk-adjusted performance, and index technology mutual funds outperformed nonindex funds in risk-adjusted performance. Unconditional models indicated that technology mutual fund managers may have some market timing ability but no security selection skill. Conditional performance evaluation models indicated that fund managers do not have superior security selection techniques or the ability to time the market.

The Journey is the Reward: A Study of Corporate Site Visits and Mutual Fund Performance

The Journey is the Reward: A Study of Corporate Site Visits and Mutual Fund Performance

Mutual Fund Performance and Flow-Performance Relationship Under Ambiguity

Mutual Fund Performance and Flow-Performance Relationship Under Ambiguity

Talent Acquisition and Mutual Fund Performance

Talent Acquisition and Mutual Fund Performance

Investor Learning and Mutual Fund Performance

Investor Learning and Mutual Fund Performance

The Influence of Management Design on Mutual Fund Performance

The Influence of Management Design on Mutual Fund Performance

Performance of Equity Mutual Funds considering ESG investments, Financial Constraints, and the COVID-19 Pandemic

Performance of Equity Mutual Funds considering ESG investments, Financial Constraints, and the COVID-19 Pandemic

Evaluating the Performance of Selected Hybrid Mutual Funds

Though there are numerous financial assets in our capital market for the investors to invest their money for the attainment of more return, Mutual Funds play a predominant role in acting as a most favorable asset for investors to increase their wealth by offering numerous schemes. Investors who are eyeing on the mix of various assets in one single scheme can consider investing in hybrid funds. That is why we are conducting a study on selected hybrid mutual funds. Though there are various types of hybrid mutual funds we have taken 5 Hybrid Equity Mutual Funds with Regular Plan and Growth Option. The Financial ratio analysis is used for the performance evaluation of the fund, in that we are taking NAV (Net Asset Value) return of recent 5 years data. Finding Standard deviation, Beta, Sharpe ratio, Jensen ratio and Treynor’s ratio based on the last five years’ data. Performance Evaluation of hybrid mutual fund schemes is important both for the investors as well as for portfolio managers, which enables the investors to access how much return is generated by the portfolio manager and what risk and return have been assumed to the use of Hybrid mutual fund schemes. The study helps us to know about the various components of a mutual fund, knowledge about the hybrid mutual fund performance, its relationship with the capital market, growth, regulation, risk, and return involved. The existing study was supposed to be beneficial to the present and potential investors, managers of Mutual fund, agents of Mutual fund, present and future investors, and research scholars. This study will show you the calculations of NAV Return, Risk, risk-adjusted ratios like Sharpe’s, Treynor’s and Jensen’s Ratio.

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

Canadian-based Equity Mutual Fund Performance, 2008-2022

Canadian-based Equity Mutual Fund Performance, 2008-2022

Determinants of Mutual Fund Performance in Nepal

This study examines how internal and macroeconomic factors influence mutual fund performance. This study includes an analysis of the impact of internal characteristics such as fund size, fund age, cash ratio, and expense ratio. The macroeconomic factors are the commercial bank rate, the inflation rate, and the stock index. Six mutual funds from the list of closed-end mutual funds were selected as a sample for descriptive and causal-comparative analysis to draw conclusions. Fund size, fund age, cash ratio, expense ratio, commercial bank rate, inflation rate, and Nepal Stock Exchange (NEPSE) index are predictor variables and risk-adjusted performance evaluation approach Sharpe's ratio as a dependent variable in this study. Findings show that mutual funds' performance in Nepal had not satisfactory except NIBL Pragati Fund (NIBLPF). Likewise, evidence suggests that fund age has a significant favorable impact on performance. In contrast, cash ratios, expense ratios, bank rates, inflation, and stock indexes have a significant negative impact on mutual fund performance in Nepal. In contrast, the factors determining fund size are contradictory, but the market index has no effect on Nepalese mutual fund performance. Hence, a fund's internal and macroeconomic forces are major determinants of its performance in Nepal.

Mutual Fund Performance: Impact of Stock Market, Interest Rates, and Inflation.

This quantitative study investigates the relationship between the Composite Stock Price Index (JCI), interest rates, inflation, and the performance of equity mutual funds listed on the Indonesia Stock Exchange (IDX) during the 2017-2020 period. Secondary data from various literature sources, official websites, and company reports were utilized. Multiple linear regression analysis was employed to analyze the data. The findings reveal that both JCI and interest rates significantly influence the performance of stock mutual funds, whereas inflation exhibits a negative but statistically insignificant effect. Moreover, when considered together, JCI, interest rates, and inflation collectively impact the performance of equity funds. These outcomes highlight the importance of considering macroeconomic factors, specifically the stock market and interest rate dynamics, in assessing and managing the performance of equity mutual funds.
 Highlights:
 
 Stock market and interest rates significantly impact equity mutual fund performance.
 Inflation has a negative but statistically insignificant effect on mutual fund performance.
 Considering macroeconomic factors is crucial for assessing and managing equity mutual fund performance.
 
 Keywords: Stock Market Performance, Interest Rates, Inflation, Equity Mutual Funds, Indonesia Stock Exchange (IDX).

A Study on the Performance of Mutual Funds of Indian AMCs

A mutual fund is a pool of money managed by an Asset Management Company (AMC) that collect funds from different individuals as well as institutional investors, and invest those funds in various securities, capital assets such as bonds, real estates, stocks as well as in mutual funds. Most of the Asset Management Companies have different categories of equity mutual funds depending upon the risk associated with such investments. In this case, trailing return and rolling return indicate the performance of a mutual fund. However, a long-term investor has to consider other factors associated with such mutual funds (like asset under management, expenses ratio, number of stocks, and experience of the management) to finalise the selection of mutual funds. 
 In this research paper, an attempt has been made to identify the relationship among the performance of selected equity mutual funds and the parameters considered by the investors for selecting the fund. 't-statistic’ has been used to identify such relationship.
 This research shows that there is no relationship between trailing return of any kinds of Equity mutual funds and the selected parameters by the investors. However, number of stocks and experience of management have a little impact on the rolling return of equity large cap mutual funds and Assets under management has a little impact on rolling return in case of mid-cap mutual fund only.