Identifying the Value Premium: A Test of Mutual Fund Performance Measures

Mutual funds dwell in a small market in Nepal. Around seven mutual funds listed in the Nepal stock exchange trade (NEPSE). This paper focused on evaluating the performance of five mutual funds of NEPSE on the basis of monthly returns compared to benchmark return. Risk adjusted performance measures suggested by Jenson, Treynor, Sharpe and statistical models are employed. It is found that, most of the mutual funds have performed better according to Jenson and Treynor measures but not up to the benchmark on the basis of Sharpe ratio. However, few mutual funds are well diversified and have reduced its unique risk. Journal of Advanced Academic Research Vol. 3, No. 2, 2016, Page: 92-100

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Position adjusted turnover ratio and mutual fund performance

Studies in Economics and Finance ◽

10.1108/sef-03-2016-0075 ◽

2018 ◽

Vol 35 (1) ◽

pp. 65-80

Author(s):

Yuhong Fan

Keyword(s):

Performance Measures ◽

Mutual Fund ◽

Trading Volume ◽

Selection Process ◽

Fund Performance ◽

Mutual Fund Performance ◽

Trading Cost ◽

Content Type ◽

Turnover Ratio ◽

The Impact

Purpose The purpose of this study is to examine the impact of position adjusted turnover ratio on mutual fund performance. Design/methodology/approach The author calculates position adjusted turnover ratio in the same three steps as Edelen et al. (2013). Position adjusted turnover ratio is intended to be a trading cost proxy that captures both fund trading volume and per-trade costs. A metric of eight Morningstar performance measures is utilized. Findings Results show that funds with a higher position adjusted turnover ratio tend to have a lower risk-adjusted performance, such as indicated by both Sharpe and Sortino ratios, and even though these funds may have a higher annualized return. Research limitations/implications The sample selection process is subject to a survival bias. Also, this study utilizes Morningstar performance measures rather than the widely used factors models. Practical implications This study examines the impact of invisible costs from fund trading. These findings encourage fund managers to take strategic steps to reduce the overall invisible cost impact to improve fund performance. Originality/value Few studies have investigated fund trading cost measured by position adjusted turnover ratio and its impact on fund performance. Further, this study contributes to current literature by using eight Morningstar fund performance variables, which are practitioner-oriented and are accessible by investors.

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