Fund Manager Overconfidence and Investment Performance: Evidence from Mutual Funds

2012 ◽  
Author(s):  
Arman Eshraghi ◽  
Richard J. Taffler
Keyword(s):  
Mutual Funds ◽  
Fund Manager ◽  
Investment Performance

scholarly journals Long-Term Sustainable Investment for Retirement

2021 ◽  
Vol 13 (9) ◽  
pp. 5000
Author(s):  
Iqbal Owadally ◽  
Jean-René Mwizere ◽  
Neema Kalidas ◽  
Kalyanie Murugesu ◽  
Muhammad Kashif
Keyword(s):  
Mutual Funds ◽  
Performance Metrics ◽  
Retirement Income ◽  
Retirement Plans ◽  
Full Account ◽  
Investment Performance ◽  
Management Fees ◽  
Sustainable Investment ◽  
Managed Funds

We consider whether sustainable investment can deliver performance comparable to conventional investment in investors’ long-term retirement plans. On the capital markets, sustainable investment can be achieved through various instruments and strategies, one of them being investment in mutual funds that subscribe to ESG (environmental, social, and governance) principles. First, we compare the investment performance of ESG funds with matched conventional funds over the period 1994–2020, in Europe and the U.S. We find no significant evidence of differing performance (at 5% level) despite using a number of investment performance metrics. Second, we perform a historical backtest to model a UK personal retirement plan from 2000 till 2020, taking full account of investment management fees and transaction costs. We find that investing in an index-tracker fund overlaid with ESG screening delivers a pension which is 10.4% larger than is achieved if the index-tracker fund is used without screening. This is also 20.2% larger than is achieved by investing in a collection of actively managed funds with a sustainable purpose. We conclude that an ESG-screened long-term passive investment approach for retirement plans is likely to be successful in satisfying the twin objectives of a secure retirement income and of sustainability.

scholarly journals Risk-adjusted return, fund manager efficacy, and fund characteristics – An inquiry

2021 ◽  
Author(s):  
Riyazahmed K
Keyword(s):  
Regression Analysis ◽  
Mutual Funds ◽  
Fund Performance ◽  
Sharpe Ratio ◽  
Information Ratio ◽  
Fund Manager ◽  
Data Set ◽  
Dependent Variables ◽  
Corpus Size ◽  
The Impact

Abstract In this study, I examine the risk-adjusted return of mutual funds in India. A data set of 4220 mutual funds is used for the analysis. Sharpe ratio, a metric of risk-adjusted return (Sharpe, 1994) and Information ratio, a metric of outperformance than a fund’s benchmark (Goodwin, 1998) were analyzed. Regression analysis is used to estimate the impact of fund characteristics like fund category, fund type, fund access type, corpus size on the dependent variables i.e., Sharpe Ratio and the Information Ratio. All the funds underperformed in both the Sharpe ratio and Information ratio. Liquid funds found worst. Fund type and corpus size do not impact fund performance. Fund access type was found to be significant on fund performance. The results add to the literature by examining the post-pandemic period.

scholarly journals The Interaction of Market Risk and Idiosyncratic Risk on Equity Mutual Fund Returns

2019 ◽  
Vol 10 (6) ◽  
pp. 1
Author(s):  
John Murugesu ◽  
Chandra Sakaran
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Structural Equation ◽  
Idiosyncratic Risk ◽  
Market Risk ◽  
Fund Manager ◽  
Equity Funds ◽  
Asset Class ◽  
The Relationship ◽  
Equity Mutual Fund

This study examines the importance of idiosyncratic and systematic risks in explaining equity fund returns in Malaysia. The level of market and idiosyncratic risk in a mutual fund depends on what asset class it invests in. Equity type asset classes are exposed to both systematic and idiosyncratic risk but research generally suggest that only systematic risk is relevant in mutual fund selection since idiosyncratic risk can be reduced through fund diversification. This study attempts to expand the insights of the risk-return relationship by providing additional evidence on the direct and indirect effects of investment risk on equity mutual fund returns. Employing partial least squares structural equation modelling (PLS-SEM), we also explore if idiosyncratic risk moderates the relationship between market risk and mutual fund returns. A sample of 150 Malaysian domestic equity mutual funds comprising of large, mid & small-cap equity funds were selected from the Morningstar website.  The results indicate that market risk does not influence mutual funds returns but idiosyncratic risk has a significant and positive effect. Idiosyncratic risk is proxied by fund characteristics comprising of size, age, expenses and fund manager ability. This study shows that fund size, age or expenses are not significant and only the fund alpha which measures fund manager ability is relevant in predicting fund returns. The study also finds that the fund alpha moderates the influence of market risk on returns by changing the nature of the relationship from positive to negative.

Fund Manager Succession in Closed-End Mutual Funds

2000 ◽  
Vol 35 (3) ◽  
pp. 53-78 ◽  
Author(s):  
Wei Wang Rowe ◽  
Wallace N. Davidson
Keyword(s):  
Mutual Funds ◽  
Fund Manager

An empirical analysis of the investment performance of the Chilean pension system

2003 ◽  
Vol 2 (1) ◽  
pp. 7-24 ◽  
Author(s):  
H. FRED MITTELSTAEDT ◽  
JOHN C. OLSEN
Keyword(s):  
Mutual Funds ◽  
Pension System ◽  
Rate Of Return ◽  
Real Rate ◽  
Investment Performance ◽  
Fund Managers ◽  
Individual Account ◽  
Stock Indices ◽  
Monthly Return ◽  
Account System

The Chilean national pension system is often viewed as the model for moving from a pay-as-you-go system to a prefunded, individual account system. One measure of its success has been its 12% average real rate of return. This study uses monthly return data to examine the source of these returns and to compare the risk-adjusted returns of the pension system to those of Chilean stock indices, debt instruments, and mutual funds. Tests using the Sharpe ratio and the multi-factor Jensen alpha suggest that the pension returns are consistent with the overall riskiness of the Chilean economy. Based on our findings, neither the structure of the Chilean pension system nor the performance of the fund managers should permit the system to earn abnormally high returns in the future.

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