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Author: S. Muruganandan Publisher: LAP Lambert Academic Publishing ISBN: 9783848486083 Category : Languages : en Pages : 140
Book Description
Fund of Mutual Funds (FoFs) are only an investment strategy of holding a portfolio of other investment funds rather than investing directly in shares, bonds and other securities. This strategy offers high level of diversification to the investors but highly criticised due to additional layer fees associated in it. However, the growing demand for FoFs motivated the researchers to examine the persistence and determinants of performance of FoFs in Indian context. The performance of selected FoFs is tested with the help of average excess return, Sharpe ratio and Jensen's alpha and found that the sample funds outperformed the market index for the given level of risk. Malkiel's Z-test, Brown and Goetzmann Z- test and Kahn and Rudd Chi Square test are used to examine the performance persistence and found the loser pattern of persistence. The determinants of FoFs performance is examined by employing Panel Data model and concluded that the fund managers are enjoying the benefit of economies of scale where as investors are not.
Author: S. Muruganandan Publisher: LAP Lambert Academic Publishing ISBN: 9783848486083 Category : Languages : en Pages : 140
Book Description
Fund of Mutual Funds (FoFs) are only an investment strategy of holding a portfolio of other investment funds rather than investing directly in shares, bonds and other securities. This strategy offers high level of diversification to the investors but highly criticised due to additional layer fees associated in it. However, the growing demand for FoFs motivated the researchers to examine the persistence and determinants of performance of FoFs in Indian context. The performance of selected FoFs is tested with the help of average excess return, Sharpe ratio and Jensen's alpha and found that the sample funds outperformed the market index for the given level of risk. Malkiel's Z-test, Brown and Goetzmann Z- test and Kahn and Rudd Chi Square test are used to examine the performance persistence and found the loser pattern of persistence. The determinants of FoFs performance is examined by employing Panel Data model and concluded that the fund managers are enjoying the benefit of economies of scale where as investors are not.
Author: F. Detzel Publisher: ISBN: Category : Languages : en Pages :
Book Description
This study investigates the determinants of persistence in mutual fund performance. Previous research that uses factor-mimicking portfolios and characteristic benchmarks to model fund performance fails to explain all the persistence in fund returns. This study employs a model that directly relates mutual fund returns to the characteristics of the stocks held by funds. Adjusting fund returns for the size of the stocks in which funds invest and financial ratios intended to capture fund manager investment styles explains all the persistence in mutual fund returns from 1976-1985, the period in which persistence is most prevalent.
Author: Moid U. Ahmad Publisher: ISBN: Category : Languages : en Pages : 13
Book Description
Any study of financial markets during a financial crisis always gives important findings. The time period in this study includes the time period which went into the making of the U.S. financial crisis. It analyzes the trend and tries to study the performance as well as persistence in performance. In this paper the performance evaluation of Indian mutual funds is carried out using certain tertian traditional and modern techniques. The objective of the paper is dual, first to analyze the performance and persistence in mutual funds and second, to be used as a case for understanding the technical concepts related to performance in investments.
Author: Muruganandan S Publisher: ISBN: Category : Languages : en Pages : 21
Book Description
This paper examines the performance persistence of Indian Fund of Mutual Funds (FoFs) during the period from January 2nd 2007 to December 31st 2010. The entire study period classified into three sub-periods based on the movement of BSE 500 index closing value and they are named as First Bull Market Period, Bear Market Period and Second Bull Market Period. The performance of individual FoFs in each sub-period are assessed by employing the performance measures of average excess return, Sharpe ratio and Jensen's alpha. After testing the performance of the sample funds, contingence table is created by classifying the sample funds as winner or loser. Malkiel Z-test, Brown and Goetzmann Z-test and Khan and Rude Chi-square test is used to test the performance persistence of sample funds and found that the fund excel in the bull market do not expect to do well in the bear market. This study also concluded that the investors cannot earn above average risk adjusted return in the bull market period by hiring the above median performer of earlier bull market period.
Author: Philippe Cogneau Publisher: ISBN: Category : Languages : en Pages : 94
Book Description
We process an exhaustive set of 147 portfolio performance measures and their variations, and identify 18 relevant dimensions using a Principal Component Analysis on a sample of 1,625 international equity mutual funds. We isolate three of the seven most informative factors that uncover potential strong performance persistence. These factors reflect various forms of incremental return and preference-adjusted performance. Our paper is the first one that shows statistical and economic evidence that conditioning portfolio formation on past realizations of these factors may produce significant outperformance, from the point of view of naïve portfolio allocation as well as more classical selection criteria like the Sharpe ratio.
Author: Kai Aschick Publisher: ISBN: Category : Languages : en Pages :
Book Description
This thesis contributes to existing literature by analysing the role of performance streaks in the US mutual fund industry. Existing research suggests that performance streaks, i.e. multiple consecutive months of positive or negative performance, are an important determinant of mutual fund flows. My dataset comprises monthly returns and net-flows from US equity mutual funds from 1996 through 2015. My first analysis shows that streaks are not an indication of performance persistence and should not be used in investment decisions. Next, I develop two forecasting models using streaks based on several different performance metrics, such as excess returns and CAPM-alphas. The first one is a probit model that forecasts future investor sentiment, measured by the sign of future net-flows. This model is very robust to different time period specifications. The second one is a multiple linear regression model that forecasts actual future net- flows. The performance of this model strongly depends on the time period specified, as it performs poorly following the financial crisis. In both models the best-performing specification uses streaks based on CAPM-alphas. However, a Shapley decomposition reveals that streaks are, despite being statistically significant, the least-important predictors of future net-flows. Instead, lagged net-flows are the most-important determinants of future net-flows. The results of this thesis suggest that active streaks tip the scales when investors decide between two or more funds with a comparable track record. Hence, the results presented are ambiguous regarding investor rationality.
Author: G. Sekhar Publisher: Springer ISBN: 1137407999 Category : Business & Economics Languages : en Pages : 201
Book Description
Dr. Sekhar offers comprehensive knowledge on the mutual fund industry in India and provides ready-made practical information for investors. He presents an overview of investment patterns for both public and private sector mutual funds, and analyses the performance of selected schemes using various measures of risk.
Author: S. Muruganandan
Author: S. Muruganandan
Author: F. Detzel
Author: Moid U. Ahmad
Author: Muruganandan S
Author: Robert Basist
Author: LI ANNA (TP035750)
Author: Philippe Cogneau
Author: Kai Aschick
Author: Reena Aggarwal
Author: G. Sekhar