Performance Persistence and Determinants of Indian Fund of Mutual Fund PDF Download

Author: S. Muruganandan
Publisher: LAP Lambert Academic Publishing
ISBN: 9783848486083
Category :
Languages : en
Pages : 140

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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: Muruganandan S
Publisher:
ISBN:
Category :
Languages : en
Pages : 21

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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: Manju Punia Chopra
Publisher: LAP Lambert Academic Publishing
ISBN: 9783847347828
Category :
Languages : en
Pages : 88

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Book Description
This study utilizes few selected performance evaluation techniques on a sample of 36 Indian mutual fund schemes, over the period of January 2001 to September 2009. The broad based S&P CNX NIFTY is used in the study as a benchmark. The results concluded that these 36 mutual fund managers were on average not able to predict security prices well enough to outperform a buy-the-market-and-hold policy. There was very little evidence of any individual fund being able to do significantly better than which was expected from random chance. On the other hand, no evidence of curvature of the characteristic lines, indicating superior timing skill, is found for any of the funds. In addition, the study offers little evidence of persistence in either the stock selection ability or the timing ability of the fund managers. Mutual fund attrition can create problems for a researcher because funds disappear due to presumably poor performance resulting into bias in research outcome. In this study we also revisit the mutual fund performance, including the disappeared mutual fund schemes during sample period. By tracking disappeared funds, the study does not find any evidence of survivorship bias.

Author: Moid U. Ahmad
Publisher:
ISBN:
Category :
Languages : en
Pages : 13

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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: Peter Lückoff
Publisher: Springer Science & Business Media
ISBN: 3834927805
Category : Business & Economics
Languages : en
Pages : 604

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Book Description
Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.

Author: Rakesh Kumar
Publisher: Partridge Publishing
ISBN: 148287508X
Category : Business & Economics
Languages : en
Pages : 178

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Book Description
The services of the asset management companies are getting important for the investors, for assessing markets and investing funds are beyond the capacity of most individuals. Hence, the role of mutual fund firms in India has increased enormously in response to liberal policy regime in the recent decades. This book is an endeavour to study the various facets of the mutual fund industry to understand the complexities therein. The structure, organisation, and competition in the mutual fund industry in India have been discussed in depth. Performance of mutual fund schemes by using conditional and unconditional models has been evaluated, and investors may derive enough inkling towards their future investment plans. After going through this book, the reader is expected to develop confidence while dealing with the instruments of mutual funds.

Author: Soumya Guha Deb
Publisher:
ISBN:
Category :
Languages : en
Pages : 30

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Book Description
Persistence in performance of fund managers has been a topic of interest among finance fraternity for the last four decades. In this paper we evaluated the relative performance of equity mutual funds in India with respect to three performance indicators, and also tested the persistence in their performance with respect to these indicators across time. The performance indicators used for the funds are their raw returns, the tracking error they generate over their benchmarks, and the information ratios they attain. We find that on the whole the funds have done well. Their overall average return, tracking error and information ratio is positive during our study period. For the persistence part, we used a regression approach and a contingency table approach which showed no evidence of persistence for the ELSS funds, and some evidence of persistence for the Growth funds or all funds taken together. Our results were further substantiated with a Spearman Rank Correlation test. Another interesting finding is that evidence of persistence is more apparent over a one year evaluation horizon, compared to a time horizon either less than or more than one year. In fact persistence disappears completely when the horizon is extended to a period of time as long as thirty months or more. This gives the impression of efficiency of the market in the long run. Persistence seems to be marginally more for raw returns compared to that of tracking error or information ratio. On the whole it seems that past performance is hardly a reliable guide for future performance, particularly over a longer time horizon.

Author: John M. Longo
Publisher: World Scientific
ISBN: 9812834664
Category : Business & Economics
Languages : en
Pages : 333

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Book Description
Hedge funds are perhaps the hottest topic in finance today, but little material of substance to date has been written on the topic. Most books focus on how to set up a hedge fund and the basic strategies, while few to none focus on what matters most: generating and understanding investment performance. This book takes an exclusive look at the latter, including an analysis of the areas that are most likely to generate strong investment returns OCo namely, the emerging markets of Brazil, Russia, India and China. The book will be invaluable to not only financial professionals, but anyone interested in learning about hedge funds and their future.

Author: Sanjay Sehgal
Publisher:
ISBN:
Category :
Languages : en
Pages : 23

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Book Description
In this paper, we examine if there is any short-term persistence in mutual funds performance in the Indian context. We find no evidence that confirms persistence using monthly data. Using daily data, we observe that for fund schemes sorted on prior period four-factor abnormal returns, the winners portfolio does provide gross abnormal returns of 10% per annum on post-formation basis. The economic feasibility of zero-investment trading strategies that involve buying past winners and selling past losers is however in doubt. This is owing to the fact that these strategies generate low gross returns and that the winners portfolios involve higher investment costs than losers portfolios, thus destroying a major portion of extra-normal returns. Our empirical findings are consistent with the efficient market hypothesis and have implications for hedge funds and other managed portfolios who rely on innovative investment styles, including the fund of funds trading strategies that implicitly assume short-term persistence.

Author: Javier Vidal-García
Publisher:
ISBN:
Category :
Languages : en
Pages : 39

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Book Description
This paper examines the short term persistence in performance of equity mutual funds around the world between 1990 and 2013. Using a large survivorship bias-free sample for 35 countries, we document strong evidence of persistence in daily mutual fund returns over quarterly measurement periods. We rank countries by abnormal return and estimate the performance of each country the following quarter. We find statistically and economically significant performance persistence, although persistence is much more pronounced for the top and bottom countries. The post-ranking abnormal return disappears when performance is examined over longer time periods. Thus, our results confirm that superior performance is a short-lived phenomenon.