scholarly journals Runs on Money Market Mutual Funds

2016 ◽  
Vol 106 (9) ◽  
pp. 2625-2657 ◽  
Author(s):  
Lawrence Schmidt ◽  
Allan Timmermann ◽  
Russ Wermers
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Money Market ◽  
Fund Flows ◽  
Dynamic Interactions ◽  
Cross Sectional ◽  
Class Level ◽  
Money Market Mutual Funds ◽  
The Individual ◽  
Mutual Fund Flows

We study daily money market mutual fund flows at the individual share class level during September 2008. This fine granularity of data allows new insights into investor and portfolio holding characteristics conducive to run risk in cash-like asset pools. We find that cross-sectional flow data observed during the week of the Lehman failure are consistent with key implications of a simple model of coordination with incomplete information and strategic complementarities. Similar conclusions follow from daily models fitted to capture dynamic interactions between investors with differing levels of sophistication within the same money fund, holding constant the underlying portfolio. (JEL D14, G11, G23)

scholarly journals KINERJA REKSA DANA PASAR UANG DENGAN METODE SHARPE, TREYNOR DAN JENSEN PADA BURSA EFEK INDONESIA (BEI) – PERIODE 2013 – 2017

2019 ◽  
Vol 7 (1) ◽  
Author(s):  
Dra. Budhi Suparningsih
Keyword(s):  
Mutual Funds ◽  
Asset Allocation ◽  
Mutual Fund ◽  
Money Market ◽  
Individual Risk ◽  
Expected Return ◽  
Money Market Mutual Funds ◽  
Quantitative Design ◽  
The Individual ◽  
Actual Return

<em>This study aims to determine the performance of money market mutual funds using the Sharpe, Treynor and Jensen methods for 5 years from 2013 to 2017. This research uses qualitative quantitative design. The selected money market mutual fund products are 5 aggressive money market mutual fund products, where the asset allocation is money assets. Data analysis method uses Sharpe, Treynor and Jensen methods.              In general, the performance of money market mutual funds based on the Sharpe, Treynor and Jensen methods has fluctuated. The higher the value of Sharpe, Treynor and Jensen, the better the performance of the Money Market mutual fund, because it can provide actual return that is higher than the expected return so as to minimize the individual risk that it bears. Mutual funds with Sharpe and Jensen approaches, the best performance of money market mutual funds is PT Bahana Dana Likuid. Whereas according to Treynor’s approach the best is Danamas Rupiah Plus because for five years it gives a positive value. This shows that it is useful to provide information to investors who want to invest in Money Market Mutual Funds, because it results in a higher return on risk-free investment</em>

scholarly journals Does Sustainability Score Impact Mutual Fund Performance?

2019 ◽  
Vol 11 (10) ◽  
pp. 2972 ◽  
Author(s):  
Pablo Durán-Santomil ◽  
Luis Otero-González ◽  
Renato Heitor Correia-Domingues ◽  
Juan Carlos Reboredo
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Value At Risk ◽  
Fund Performance ◽  
Fund Flows ◽  
Socially Responsible ◽  
Equity Fund ◽  
Socially Responsible Investments ◽  
Mutual Fund Flows ◽  
European Equity

Given that sustainable investing constitutes a major force across global financial markets, in 2016 Morningstar began reporting Morningstar Sustainability scores. We used the 2016, 2017 and 2018 scores to study the effects of socially responsible investments (SRI) on European equity fund performance. Sustainability scores impacted positively on performance, which was consistent with the idea that the mutual funds invested in companies with better scores generate better risk-adjusted and not-risk adjusted performance. We also tested the relation on mutual fund flows and risk. The sustainability score in the previous year is significant on the flows, so higher-rated funds receive a larger volume of funds. In terms of risk, the level of sustainability is negatively related to the value at risk (VaR) of the fund, supporting that higher scored mutual funds offer better protection against extreme losses.

Can mutual fund flows serve as market risk sentiment?

2017 ◽  
Vol 18 (2) ◽  
pp. 159-185 ◽  
Author(s):  
Hsin-Hui Chiu ◽  
Lu Zhu
Keyword(s):  
Mutual Fund ◽  
Risk Perceptions ◽  
Money Market ◽  
Fund Flows ◽  
Equity Fund ◽  
Content Type ◽  
Market Sentiment ◽  
Money Market Funds ◽  
Primary Driver ◽  
Mutual Fund Flows

Purpose This paper aims to examine the information content of mutual fund flows and its indication on investors’ preference/tolerance toward risk. Design/methodology/approach Mutual funds are grouped into different categories based on assets with different levels of risk perceptions (e.g. equity fund, money market fund), and this information is publicly accessible. This paper examines the correlation patterns between fund flows and changes in credit default swaps (CDS) spreads. In addition, it also examines such a relation by dividing the samples into different fund types (e.g. retail vs institutional fund flows). Findings This paper suggests that equity fund flows are negatively related to CDS spreads, whereas money market fund flows are positively related to CDS spreads. Furthermore, it indicates that retail fund flows provide insightful information and serve as the primary driver behind the relation between fund flows and CDS spreads. Originality/value The findings of this paper indicate that flows into equity and money market funds could serve as a risk sentiment in credit markets. And this is the first study, to the best of the author’s knowledge, to establish such a linkage between fund flows and CDS spreads to help investors gauge credit market sentiment.

scholarly journals Conventional Versus Sharia Money Market Mutual Funds: Which Performs Better During the Covid-19 Pandemic?

2021 ◽  
Vol 2 (3) ◽  
pp. 35-40
Author(s):  
Dina Yeni Martia ◽  
Muhammad Rois ◽  
Muliasari ◽  
Latifah Risqiana ◽  
Noverdi Radja Dwilega
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Secondary Data ◽  
Money Market ◽  
Sharpe Ratio ◽  
Comparison Approach ◽  
Significant Difference ◽  
Asset Value ◽  
Money Market Mutual Funds ◽  
Better Than

This study aims to determine whether conventional money market mutual funds perform better than sharia money market mutual funds or vice versa during the COVID-19 pandemic in Indonesia. This research method is descriptive with a quantitative comparison approach. This study employed secondary data obtained from IDX, Indonesian Bank, and Pasar Dana website.  The research employed the money market mutual funds data, Net Asset Value, BI 7 Days Repo rate during year 2020. Sharpe ratio utilized in this research to determine the money market mutual funds performance. Then, the result compared by using Independent sample T-test on SPSS. The result uncovers that in general the performance of conventional money market mutual funds performance superior the sharia money market mutual funds performance during covid-19 in Indonesia. However, both mutual funds average Sharpe ratio show the negative number during 2020. Moreover, there are no significant difference between conventional and sharia money market mutual funds returns during the period 2020. The high different return on the maximum return due to some conventional mutual fund perform exceptional during 2020.

scholarly journals Capital markets in Central and Eastern Europe: two selected cases

2017 ◽  
Vol 11 (1) ◽  
pp. 597-606 ◽  
Author(s):  
Luminiţa Nicolescu ◽  
Florentin Gabriel Tudorache
Keyword(s):  
Financial Crisis ◽  
Mutual Funds ◽  
Capital Markets ◽  
Mutual Fund ◽  
Global Financial Crisis ◽  
Fund Flows ◽  
Past Performance ◽  
Individual Level ◽  
The Global Financial Crisis ◽  
Mutual Fund Flows

Abstract The evolution of mutual funds in terms of their inflows and outflows is seen as a good indicator of the capital markets’ performance in different countries. At individual level, investors substantiate their buying decisions on the past performance information and invest asymmetrically in funds with very good performance in the previous periods. Numerous studies, mainly conducted in US, illustrate that mutual fund flows are highly dependent on the funds’ previous performance, as a common behavior of investors resides in looking for highly performing funds than to get rid of poorly performing ones. This paper investigates the flows of funds into and out of Slovakian and Hungarian mutual funds during the period 2007-2014 and has as main purpose to analyze the behavior of investors in mutual funds in these two emerging financial markets. The analysis focuses on identifying patterns in investors’ decision making processes and on checking the similarity of their behavioral patterns and illustrating differences among the two. Given the peculiarities of the studied period, a financially turbulent period, the paper also tries to evaluate if and how the financial crisis affected the investing behavior of Slovakian and Hungarian investors, based on the evolution of inflows and outflows of funds in a period that comprises the global financial crisis and the present period in which recovery has started.

scholarly journals Investors’ Preference Towards Mutual Fund: An Analytical Evidence From Kathmandu Valley

Pravaha ◽  
2020 ◽  
Vol 25 (1) ◽  
pp. 103-111
Author(s):  
Laxman Raj Kandel
Keyword(s):  
Mutual Funds ◽  
Capital Market ◽  
Mutual Fund ◽  
Family Members ◽  
Paper Analysis ◽  
Money Market ◽  
Kathmandu Valley ◽  
Total Respondent ◽  
The Individual ◽  
Financial Securities

This paper analysis investors’ preference towards mutual fund. The study was conducted inside the Kathmandu valley. In terms of familiarity with the various financial securities currently available in the Nepalese capital market, investors have high familiarity with fixed deposits, medium familiarity with shares and low familiarity with bonds and debentures and money market instruments. Incase of the preference for the structure of the mutual fund, more than two-third of the total respondent were in favor of Close Ended Mutual Funds. Potential investors of mutual funds prefer family members followed by self-analysis as a medium for getting understanding to create the awareness of mutual funds; TV Advertisement and Print Newspaper are effective, as these sources are preferred by the potential investors. This study concludes that mutual funds could be an admirable institution for bridging the gap between the individual savers and the established business in Nepal. Investors are showing more interest in mutual fund these days.

scholarly journals Seasonality In Mutual Fund Flows

2015 ◽  
Vol 31 (2) ◽  
pp. 715 ◽  
Author(s):  
Hyung-Suk Choi
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Investment Decisions ◽  
Cash Flows ◽  
Fund Flows ◽  
Equity Funds ◽  
Mutual Fund Flows ◽  
Net Flows

<p>In this paper I establish the presence of seasonality in cash flows to U.S. domestic mutual funds. January is the month with the highest net cash flows to equity funds and December is the month with the lowest net cash flows. The large net flows in January are attributed to increased purchases, and the small net flows in December are due to increased redemptions. Thus, the turn-of-the-year period is the time that most mutual fund investors make their investment decisions.</p>

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