Decomposing Tracking Error to Identify Mutual Fund Strategies

2020 ◽  
Author(s):  
Andrea M. Buffa ◽  
Apoorva Javadekar
Keyword(s):  
Mutual Fund ◽  
Tracking Error

Fund Manager Performance in Emerging Market: Factor Specialisation and Financial Crisis Impact

2018 ◽  
Vol 17 (1) ◽  
pp. 130-158
Author(s):  
Giuseppe Galloppo ◽  
Mauro Aliano
Keyword(s):  
Mutual Fund ◽  
Emerging Market ◽  
Explanatory Power ◽  
Tracking Error ◽  
Active Management ◽  
Market Model ◽  
Good Representation ◽  
Local Factor ◽  
Equity Funds ◽  
Fama And French

In the branch of literature dealing with analysis of the consistency of management styles, this article investigates the relation between portfolio concentration and the performance of emerging market equity funds. Unlike previous studies, on global and US mutual fund, we focus on emerging markets equity, finding funds with higher levels of tracking error, display lower performance than funds with less diversified portfolios when we do not take into account specific concentration in holdings in different multifactor style. The explanatory power of local models that use local explanatory returns is recently investigated by De Groot, Pang and Swinkels (2012), Cakici, Fabozzi and Tan (2013) and Fama and French (2012). Following the same research line, the most remarkable finding of this article is that the fund-picking process, only based on the level of track error from a broad benchmark, can contribute to disappointing results when it is not also accompanied by information about the fund concentration in multiple market segment. According to the previous work, overall, we found that local factor market model provides quite good representation of local average returns for portfolios formed on size and style factors. The contribution of this research is two-fold. First, we examined emerging market funds from the perspective of active management and second, under the effect of strategies mentioned in Huij and Derwall (2011). Moreover, as additional analysis with respect to most of the previous papers, we also tested the effects of the crisis that we found to have not affected the main result.

Tracking Efficiency of Exchange Traded Funds (ETFs)

Paradigm ◽  
2016 ◽  
Vol 20 (2) ◽  
pp. 176-190 ◽  
Author(s):  
Jaspal Singh ◽  
Prabhdeep Kaur
Keyword(s):  
Regression Analysis ◽  
Present Article ◽  
Mutual Fund ◽  
Negative Impact ◽  
Tracking Error ◽  
Evaluation Criteria ◽  
Panel Regression ◽  
Exchange Traded Funds ◽  
Tracking Ability ◽  
Managed Funds

Exchange traded funds (ETFs) have emerged as a new investment vehicle in the mutual fund industry providing investors with the ability to trade the entire market through a single transaction executed at the exchange. Using a sample of 12 equity ETFs from 1 April 2011 to 31 March 2015, the present article attempts to examine the performance efficiency of ETFs in India and explore factors that drive the performance of ETFs away from their target indices. The study reveals that ETFs exhibit significant tracking error while trying to replicate the returns of their benchmark indices. The results of panel regression analysis further reveal that the assets under management and volume positively affected the tracking ability of ETFs whereas volatility is reported to have negative impact on the tracking efficiency of ETFs. The results will have important implications for investors, managers as well as for the evaluation criteria involved in assessing the performance of actively managed funds.

scholarly journals Performance Analysis of the Index Mutual Fund

2019 ◽  
Vol 8 (1) ◽  
pp. 1-5
Author(s):  
Yasmeen Bano ◽  
S. Vasantha
Keyword(s):  
Performance Analysis ◽  
Mutual Fund ◽  
Tracking Error ◽  
Individual Investors ◽  
Investment Fund ◽  
Index Funds ◽  
Secondary Sources ◽  
The Common ◽  
Managed Portfolios

A mutual fund is a professionally managed investment fund that pools together the savings of a number of investors who shares the common financial goals. These investors may be retail or institutional in nature. It offers small or individual investors access to professionally managed portfolios of equities, bonds and other securities. The paper is the study of the performance of Index fund. This is analyzed empirically since the period of 2012 – 2017. The main objective of this research is to evaluate the performance of Index funds. The study examined three parameters such as active returns, tracking error and Jensen’s alpha. In this paper the data has been collected from the secondary sources.

scholarly journals Mutual Fund Trades: Timing Sentiment and Managing Tracking Error Variance

2012 ◽  
Author(s):  
Dominic Gasbarro ◽  
Grant Stewart Cullen ◽  
Gary S. Monroe ◽  
J. Kenton Zumwalt
Keyword(s):  
Mutual Fund ◽  
Tracking Error ◽  
Error Variance

Does past performance affect mutual fund tracking error in Taiwan?

2015 ◽  
Vol 47 (51) ◽  
pp. 5476-5490 ◽  
Author(s):  
Ching-Ping Wang ◽  
Hung-Hsi Huang ◽  
Cheng-Yu Chen
Keyword(s):  
Mutual Fund ◽  
Tracking Error ◽  
Past Performance

scholarly journals Evaluation of Growth of Mutual Funds and Exchange Traded Funds in India

2016 ◽  
Vol 7 (1) ◽  
pp. 41
Author(s):  
R. Venkataraman ◽  
Thilak Venkatesan
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Lower Risk ◽  
Lower Cost ◽  
Tracking Error ◽  
Secondary Data ◽  
Exchange Traded Funds ◽  
Fund Manager ◽  
Risk Return ◽  
Exchange Traded Fund

Investors are always baffled about the risk-return characteristics of their investments. There is often the challenge of the alternative between active&passive investments. In case of active mutual funds there are numerous categories of active funds each tracking a different benchmark. It often leads to confusion about how the performance can be compared between one fund to another. The growth of ETFs' has been phenomenal in the recent years due to various advantages of an exchange traded fund compared to the mutual fund as lower cost of management, lesser dependence on fund manager, ease of transaction to name a few. In this context the research analysedthe passive ETF's&prominent Mutual funds both active and passive to justify superior returns at lower risk. The research was based on secondary data, for a period of 5 years i.e. from 2010 to 2015.The various tools used were Sharpe Ratio, Jenson's Alpha, Treynor's Ratio and Tracking error. The study recommends fund houses to implement proactive strategies to reduce tracking error and make ETF's a better alternative for investment.

Does Prior Performance Affect a Mutual Fund’s Choice of Risk? Theory and Further Empirical Evidence

2009 ◽  
Vol 44 (4) ◽  
pp. 745-775 ◽  
Author(s):  
Hsiu-lang Chen ◽  
George G. Pennacchi
Keyword(s):  
Standard Deviation ◽  
Mutual Funds ◽  
Portfolio Choice ◽  
Mutual Fund ◽  
Empirical Studies ◽  
Tracking Error ◽  
Fund Performance ◽  
Portfolio Risk ◽  
Tracking Errors ◽  
Equity Mutual Funds

AbstractRecent empirical studies of mutual fund competition examine the relation between a fund’s performance, the fund manager’s compensation, and the fund manager’s choice of portfolio risk. This paper models a manager’s portfolio choice for compensation rules that can be either a concave, linear, or convex function of the fund’s performance relative to that of a benchmark. For particular compensation structures, a manager increases the fund’s “tracking error” volatility as its relative performance declines. However, declining performance does not necessarily lead the manager to raise the volatility of the fund’s return. The paper presents nonparametric and parametric tests of the relation between mutual fund performance and risk taking for more than 6,000 equity mutual funds over the 1962 to 2006 period. There is a tendency for mutual funds to increase the standard deviation of tracking errors, but not the standard deviation of returns, as their performance declines. This risk-shifting behavior appears more common for funds whose managers have longer tenures.

The Study of the Determinants Affecting the Performance of Mutual Funds in Indiaequity Mutual Fund

2019 ◽  
Vol 54 (5) ◽  
pp. 58
Author(s):  
Preeta Sinha ◽  
Tamal Taru Roy ◽  
Debi Prasad Lahiri
Keyword(s):  
Mutual Funds ◽  
Mutual Fund
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