Investment Style and Performance: Evidence for International Equity Mutual Funds

2014 ◽  
Author(s):  
Bernhard Breloer
Keyword(s):  
Mutual Funds ◽  
Investment Style ◽  
Equity Mutual Funds ◽  
International Equity ◽  
And Performance

scholarly journals MANAGERIAL ABILITIES AND FACTOR INVESTMENT STYLE PERFORMANCES OF MALAYSIAN MUTUAL FUND MANAGERS

2021 ◽  
Vol 6 (1) ◽  
pp. 118-135
Author(s):  
Pick-Soon Ling ◽  
Ruzita Abdul-Rahim
Keyword(s):  
Mutual Funds ◽  
Portfolio Management ◽  
Mutual Fund ◽  
Market Timing ◽  
Stock Selection ◽  
Investment Style ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Timing Ability ◽  
Stock Picking

Background and Purpose: Studies focusing on mutual fund managerial abilities and investment style strategies are still scarce in the literature. Thus, this study aims to provide new evidence and insights into the managerial abilities and investment style performances of Malaysian fund managers.   Methodology: A total of 444 Malaysian equity mutual funds (EMFs) were evaluated using Carhart’s model incorporated with Treynor-Mazuy (T-M) and Henriksson-Merton (H-M) market timing models for the study period, from January 1995 to December 2017.   Findings: Fund managers displayed superior stock selection skills with 32 percent and 43 percent of funds for T-M and H-M respectively, with perverse market timing ability which accounted for 39 percent and 42 percent of funds for T-M and H-M respectively. Perverse timing ability had reduced the superior stock-picking skills of fund managers. This suggests that the EMFs performance could further improve if respective fund managers perform better in market timing ability. The finding also indicates that size effect (SMB) and value effect (HML) play significant roles in investment style strategies, while results of momentum factor (WML) propose that Malaysian fund managers have followed the contrarian strategy.   Contributions: This study contributes in several ways especially in the literature of portfolio management as the evidence is obtained from the largest mutual funds sample size and the longest study period. Moreover, this study also used the highest frequency data to study the effects of market timing which were overlooked in previous studies.   Keywords: Adjusted carhart, Malaysian market, market timing, mutual fund, stock selection.   Cite as: Ling, P-S., & Abdul-Rahim, R. (2021). Managerial abilities and factor investment style performances of Malaysian mutual funds.  Journal of Nusantara Studies, 6(1), 118-135. http://dx.doi.org/10.24200/jonus.vol6iss1pp118-135

Liquidity, Investment Style, and the Relation between Fund Size and Fund Performance

2008 ◽  
Vol 43 (3) ◽  
pp. 741-767 ◽  
Author(s):  
Xuemin (Sterling) Yan
Keyword(s):  
Mutual Funds ◽  
Fund Performance ◽  
Inverse Relation ◽  
High Turnover ◽  
Investment Style ◽  
Equity Mutual Funds ◽  
Fund Size

AbstractUsing stock transactions data along with detailed stockholdings for a comprehensive sample of U.S. actively managed equity mutual funds from 1993 to 2002, this paper empirically examines the effect of liquidity and investment style on the relation between fund size and fund performance. Consistent with Chen, Hong, Huang, and Kubik (2004), I find a significant inverse relation between fund size and fund performance. Further, this inverse relation is stronger among funds that hold less liquid portfolios. The inverse relation between fund size and fund performance is also more pronounced among growth and high turnover funds that tend to have high demands for immediacy. Overall, this paper's findings suggest that liquidity is an important reason why fund size erodes performance.

Manipulation and performance persistence: an examination of Iranian equity mutual fund performance

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mahsa Hosseini ◽  
Mohammad Khodaei Valahzaghard ◽  
Ali Saeedi
Keyword(s):  
Mutual Funds ◽  
Performance Measures ◽  
Mutual Fund ◽  
Performance Measure ◽  
Performance Persistence ◽  
Content Type ◽  
Lower Tertile ◽  
Time Horizons ◽  
Equity Mutual Funds ◽  
And Performance

Purpose This paper aims to study manipulation and performance persistence in equity mutual funds. To this end, Manipulation-Proof Performance Measure (MPPM) and Doubt Ratio, along with a number of current performance measures are used to evaluate the performance of equity mutual funds in Iran. Design/methodology/approach The authors investigate performance manipulation by 1) comparing the results of the MPPM with the current performance measures, 2) checking the Doubt Ratio to detect suspicious funds. Additionally, the authors investigate performance persistence by forming and evaluating portfolios of the equity mutual funds at several time horizons. Findings The authors conclude that there is no evidence of performance manipulation in the equity mutual funds. Additionally, when comparing the performance of the upper (top) tertile portfolios and the lower tertile portfolios, in all of the studied 1, 3, 6 and 12-month horizons, the authors find performance persistence in the equity mutual funds. Originality/value To the best of the authors’ knowledge, this research is the first study to investigate the performance manipulation in the Iranian equity mutual funds, and also is the first study in Iran that uses the MPPM and the Doubt Ratio in addition to a number of current performance measures to investigate the performance persistence in the equity mutual funds at several time horizons.

International Mutual Fund Performance and Political Risk

2005 ◽  
Vol 08 (01) ◽  
pp. 167-184 ◽  
Author(s):  
Barrie A. Bailey ◽  
Jean L. Heck ◽  
Kathryn A. Wilkens
Keyword(s):  
Mutual Funds ◽  
Event Study ◽  
Mutual Fund ◽  
Abnormal Returns ◽  
Political Risk ◽  
Equity Mutual Funds ◽  
International Equity ◽  
Study Methodology ◽  
The Impact ◽  
Event Study Methodology

Recent years have witnessed phenomenal growth in both the number and size of US based international equity mutual funds. While the benefits of international diversification are well documented in the literature, empirical research relating to the performance of international mutual funds has been limited and contradictory. The purpose of this study is to examine the impact of political risk on the risk-adjusted returns of international mutual funds using a modified event study methodology. More specifically, the dummy variable event study methodology using portfolios rather than individual funds is used. This methodology addresses the problems of multiple event days and calendar clustering. The macro political risk event of interest is the Iraqi invasion of Kuwait. Results of the study suggest that shareholders of international equity mutual funds earn significant abnormal returns in the face of political turmoil.

scholarly journals The Prevalence of the Disposition Effect in Mutual Funds’ Trades

2012 ◽  
Vol 47 (4) ◽  
pp. 795-820 ◽  
Author(s):  
Gjergji Cici
Keyword(s):  
Mutual Funds ◽  
Academic Research ◽  
Fund Performance ◽  
Capital Gains ◽  
Disposition Effect ◽  
Learning Effects ◽  
Substantial Fraction ◽  
Investment Style ◽  
Equity Mutual Funds ◽  
Portfolio Managers

AbstractU.S. equity mutual funds, on average, prefer realization of capital losses to capital gains. Nevertheless, a substantial fraction exhibits the disposition effect of realizing gains more readily than losses. My analysis suggests that learning effects have reduced the manifestation of the disposition effect over time, implying that academic research has influenced industry practices. When funds experience outflows and are managed by teams of portfolio managers, they are more susceptible to selling disproportionately more winners than losers. Disposition-driven behavior affects investment style, causing lower market betas and characteristics of value-oriented and contrarian styles, but has no observable effect on fund performance.

scholarly journals Performance, Expenses and Funds Flows: Evidence from the Greek Mutual Fund Market

2014 ◽  
Vol 3 (1) ◽  
pp. 292-307
Author(s):  
Gerasimos G Rompotis
Keyword(s):  
Mutual Funds ◽  
Capital Markets ◽  
Mutual Fund ◽  
Economies Of Scale ◽  
Negative Relationship ◽  
Flow Reduction ◽  
Expense Ratio ◽  
Developed Markets ◽  
Equity Mutual Funds ◽  
And Performance

This paper examines the factors that affect performance, expense ratios and flows of Greek equity mutual funds during 2002-2005 and provides possible explanations for the rare phenomenon of a stagnated mutual fund market in the midst of growing capital markets in Greece and elsewhere. Results demonstrate strong economies of scale for expenses, a negative relationship between performance and expense ratio, funds flow reduction (increase) with increases in expenses (fund age and fund family), and a significant unexplained portion of funds flows. Also discovered is the inadequate competition due to large load fees and expense ratios of two to three times greater than those in other developed markets and a tradeoff between expense ratio and performance of 1.45 instead of 1 which has been observed in the literature.

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