scholarly journals Systematic Risk and the Performance of Mutual Funds Pursuing Momentum and Contrarian Trades

2009 ◽  
Author(s):  
Grant Stewart Cullen ◽  
Dominic Gasbarro ◽  
Gary S. Monroe ◽  
J. Kenton Zumwalt
Keyword(s):  
Mutual Funds ◽  
Systematic Risk

Derivatives, Short Selling and US Equity and Bond Mutual Funds

2016 ◽  
Vol 06 (01) ◽  
pp. 1640002
Author(s):  
Kaveh Moradi Dezfouli ◽  
Lawrence Kryzanowski
Keyword(s):  
Mutual Funds ◽  
Family Size ◽  
Systematic Risk ◽  
Short Selling ◽  
Negatively Associated ◽  
Bond Funds ◽  
Equity Funds ◽  
Net Assets ◽  
Bond Mutual Funds ◽  
Fund Size

The use and effect of derivatives and short selling by US equity and bond open-end mutual funds are studied using a large and unique database. We find that the likelihood of their use is positively related to fund size, family size, and fund turnover for both fund types except for short selling by equity funds from larger families. Our findings suggest that funds that use derivatives exhibit significantly higher benchmark-adjusted performances based on both gross- and net-of-fees returns. This is done without adversely affecting market betas, net expense ratios (NERs), or brokerage fees as a proportion of total net assets (TNA). We find that for bond funds derivative use is negatively associated with non-systematic risk and short selling use is positively associated with total and systematic risk.

scholarly journals Chasing returns with high-beta stocks: evidence from tax-privileged mutual funds in Thailand

2021 ◽  
Vol 10 (1) ◽  
pp. 37-44
Author(s):  
Roongkiat Ratanabanchuen ◽  
Kanis Saengchote
Keyword(s):  
Mutual Funds ◽  
Capital Markets ◽  
Public Policies ◽  
Systematic Risk ◽  
Unintended Consequences ◽  
Risk Exposure ◽  
Fund Flows ◽  
Equity Mutual Funds ◽  
Tax Benefits ◽  
High Beta

One proposed explanation for the low-beta anomaly – a puzzling finding that stocks with low systematic risk tend to earn higher returns than the CAPM predicts and vice versa – is that mutual funds drive up demand for high-beta stocks, leading to systematic mispricing. We find evidence that Thai equity mutual funds tend to alter their risk exposure in response to fund flows, but only for incentivized funds where investors receive immediate tax benefits. We argue that the benefits change the way investors make their decisions, raising an issue of how public policies may have unintended consequences in capital markets.

scholarly journals Pengaruh Risiko Sistematis, Market Timing, dan Ukuran Dana Terhadap Kinerja Reksa Dana Pendapatan Tetap Syariah di Indonesia (Periode 2014-2018)

2020 ◽  
Vol 6 (12) ◽  
pp. 2409
Author(s):  
Febrita Kusumastiti ◽  
Muhammad Nafik Hadi Ryandono
Keyword(s):  
Mutual Funds ◽  
Significant Influence ◽  
Mutual Fund ◽  
Market Timing ◽  
Systematic Risk ◽  
Coefficient Of Determination ◽  
Fixed Income ◽  
Fund Size ◽  
The Relationship ◽  
Regression Tests

The purpose of this study is to determine the effect of the systematic of risk, market timing, and fund size toward sharia fixed income mutual funds in Indonesia period 2014-2018 partially and simultaneously. This research uses a quantitative approach and uses multiple linear regression tests to determine the relationship between exogenous variables and endogenous variable. The result of this research shows that systematic risk and fund size are partially have significant influence to the sharia fixed income mutual funds performance. Meanwhile, market timing is partially have insignificant influence to the sharia fixed income mutual funds performance. While simultaneously, systematic risk, market timing and fund size have significant influence to the sharia fixed income mutual funds performance with the coefficient of determination is 31,9% while the remaining 68,1% is influenced by other variables not included in this research.Keywords: Sharia Mutual Fund Performance, Systematic Risk, Market Timing, Fund Size

Using downside risk in evaluating the performance of Malaysian mutual funds

2015 ◽  
Vol 10 (3) ◽  
pp. 427-447 ◽  
Author(s):  
Mohammad Reza Tavakoli Baghdadabad ◽  
Masood Fooladi
Keyword(s):  
Performance Evaluation ◽  
Standard Deviation ◽  
Stock Market ◽  
Mutual Funds ◽  
Systematic Risk ◽  
Rank Correlation ◽  
Downside Risk ◽  
High Rank ◽  
Content Type ◽  
Market Asymmetry

Purpose – The purpose of this paper is to provide the modified measures of risk-adjusted performance evaluation of Malaysian mutual funds using the downside risk concepts, and promote the ability of managers and investors in making logical decisions under the market asymmetry condition. Design/methodology/approach – This study focusses on the performance evaluation of Malaysian mutual funds using eight modified measures of Sharpe, Treynor, M2, Jensen’s α, information ratio (IR), MSR, SPI, and leverage factor. These modified measures use the downside systematic risk and semi-standard deviation instead of systematic risk and conventional standard deviation, respectively, to evaluate the performance of Malaysian mutual funds over the period 2000-2011. Findings – The results indicate that the conventional measures of performance evaluation do not have a crucial influence on the relative evaluation of mutual funds. Three modified measures of Sharpe, Treynor, and M2 have a high correlation with the conventional Sharpe measure and can be used instead of the conventional Sharpe measure. Since, two modified measures of Treynor and M2 display a high rank correlation coefficient with the conventional Treynor measure, they can be replaced with this traditional measure. In addition, two modified IR and MSR measures along with the modified SPI and conventional SPI show very high rank correlation coefficients in relation to each other. The results also document a modified leverage factor less than one for all funds. It can be concluded that the strategy of un-levering the investor’s holding must be followed. Practical implications – The empirical evidence of this study can be utilized as inputs in the process of decision-making by different types of investors who are interested in participating especially in Malaysian stock market and generally in global stock market under the market asymmetry condition. Originality/value – The contribution of this study is to modify five measures of M2, IR, MSR, FPI, and leverage factor in the downside risk framework which is a work on a rather under-researched area.

Pengaruh Faktor Fundamental, Risiko Sistematis Dan Ekonomi Makro Terhadap Return Saham Syariah Yang Tergabung Di Jakarta Islamic Index (JII) Pada Periode 2010 – 2014

2017 ◽  
Vol 24 (1) ◽  
pp. 54-70
Author(s):  
Hasanah Setyowati ◽  
Riyanti Ningsih
Keyword(s):  
Exchange Rate ◽  
Stock Exchange ◽  
Systematic Risk ◽  
Secondary Data ◽  
Analysis Model ◽  
Macroeconomic Factors ◽  
Return On Equity ◽  
Equity Ratio ◽  
Regression Techniques ◽  
The Exchange Rate

This study aimed to obtain empirical evidence on the influence of fundamental factors, systematic risk and macroeconomics on the returns Islamic stock of companies incorporated in the Jakarta Islamic Index in 2010-2014. The variables used were the fundamental factors that are proxied by Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER); Systematic risk is proxied by Beta Shares; macroeconomic factors is proxied by the inflation rate and the exchange rate. The samples of this study are the enterprises incorporated in Jakarta Islamic Index (JII) at the Indonesian Stock Exchange. The sampling method was using purposive sampling. There were 12 samples of Islamic stocks that meet the criteria to be used as samples. The analysis model used is multiple linear regression techniques and the type of data used is secondary data. The study found that all variables, which are Earning Per Share (EPS), Return on Equity (ROE), Debt to Equity Ratio (DER), Beta stock, inflation and the exchange rate do not significantly affect the return of sharia stock either simultaneously or partially.

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