scholarly journals Measuring the True Cost of Active Management by Mutual Funds

2005 ◽  
Author(s):  
Ross M. Miller
Keyword(s):  
Mutual Funds ◽  
Active Management ◽  
True Cost

Measuring the True Cost of Active Management by Mutual Funds

CFA Digest ◽  
2007 ◽  
Vol 37 (3) ◽  
pp. 74-76
Author(s):  
Stephen Phillip Huffman
Keyword(s):  
Mutual Funds ◽  
Active Management ◽  
True Cost

Actively managed Russian mutualfunds: Good or bad for investors?

2018 ◽  
pp. 64-79 ◽  
Author(s):  
E. V. Inozemtsev ◽  
E. B. Tarassov
Keyword(s):  
Mutual Funds ◽  
Active Management ◽  
Capital Management ◽  
Index Funds ◽  
Net Profit ◽  
Passive Management

The paper considers the degree of activity of Russian mutual funds. According to the results obtained, index funds on average deviate by 12% from their base index, while active funds deviate by 56%. It is shown that more active funds are more costly for the shareholders, but at the same time demonstrate a lower net profit adjusted for risk. The deviation of index funds from the base index leads to an even greater loss of profitability than in the case of active funds. The results show that active management of capital in Russia is experiencing difficulties both in terms of high fees and low profitability. Market underdevelopment and low competition create all the prerequisites for the existence of such a situation. As a solution, we propose to develop the market of passive capital management both by monitoring the prices of their products, and through measures aimed at increasing the understanding of the essence of passive management by the mass investor.

Determinants of return rates of Russian equity and bond mutual funds: Active investment strategies and commissions

2020 ◽  
pp. 40-60
Author(s):  
T. V. Teplova ◽  
T. V. Sokolova ◽  
A. Fasano ◽  
V. A. Rodina
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Management Style ◽  
Active Management ◽  
Investment Strategies ◽  
Russian Market ◽  
Return Rates ◽  
Equity Mutual Funds ◽  
Bond Mutual Funds ◽  
First Time

In our paper, we study the impact of active investment strategies and factors of their success in the Russian market of collective investment — self-confidence of managers, commissions of management companies (MC) — on return rates of mutual funds. For the first time, not only equity mutual funds, but also bond mutual funds are considered as an object of study; the time period is since 2012. Our study is based on data on the structure of mutual fund portfolios provided by Investfunds. We propose a number of original indicators of an active management style and consider the profitability of mutual funds relative to various benchmarks. Based on testing of multivariate regression models, it has been revealed that the return rate of equity mutual funds is negatively affected by a share of stocks in the fund portfolio which are not included in the market index. When managers take into account their previous negative investment experience, it contributes to the growth of mutual fund return rates. Active investment strategies correlate with increased commissions (up to 4.5% of NAV), but they do not allow an investor to receive higher return rates than index investments. An increase in the share of corporate bonds allows the fund manager to outperform benchmarks for bond funds. For the first time, a nonlinear relationship between the size of mutual funds and the value of commissions has been revealed for the Russian market.

scholarly journals Investing in mutual funds: are you paying for performance or for the ties of the manager?

2020 ◽  
pp. 153-164
Author(s):  
Costas Siriopoulos ◽  
Maria Skaperda
Keyword(s):  
Mutual Funds ◽  
Hurst Exponent ◽  
Surrogate Data ◽  
Active Management ◽  
Range Analysis ◽  
Management Fees ◽  
Time Period ◽  
Rescaled Range ◽  
Rescaled Range Analysis ◽  
Morning Star

This study analyses the performance of US Mutual Funds, from the perspective of Long Memory (LM), exploring if the returns of MFs are systematic due to their active management or they are random. The sample was 200 US equity MFs, from four categories, Large Cap, Middle Cap, Small Cap and World Stock, both 1- and 5-stars rating funds according to Morning Star rating. The time period was starting between 1981 and 2006 and ending 2016. Rescaled Range Analysis (R/S) employed for the Hurst exponent estimation, so to detect LM. Using Surrogate Data Analysis (SDA), the study was extended to Hurst exponent estimation for surrogate time series. The findings suggest that the selection of a MF presents a lot of complexity for investors. The 5-star MFs, with high qualified, and so expensive managers, tend to achieve random returns, while the returns of 1-star MFs, are more systematic. These MFs have higher fees than the 5-star MFs, but the management fees paid are quite inferior. This leads to the conclusion, that it might be preferable to pay for gaining an almost the same, but systematic return than to pay for the ties of the manager.

scholarly journals Performance Appraisal of Asset Management Companies in Bangladesh

2019 ◽  
Vol 11 (8) ◽  
pp. 53
Author(s):  
Avijit Mallik ◽  
Saad Niamatullah ◽  
Swarup Saha
Keyword(s):  
Performance Appraisal ◽  
Mutual Funds ◽  
Asset Management ◽  
Mutual Fund ◽  
Active Management ◽  
Index Funds ◽  
Small Investors ◽  
Zero Sum ◽  
Managed Funds ◽  
Asset Managers

Mutual funds are a type of collective investment scheme where a large number of small investors pool their savings together and entrust it to an asset manager, who manages the capital to maximize returns in exchange for a management fee. While mutual funds and other collective investment schemes are popular in developed markets, with assets under management (AUM) to GDP ratio of 62% globally, they are yet to gain popularity in Bangladesh, where AUM-to-GDP ratio stands at only 0.53%. However, mutual funds and asset management companies have been growing at high rates, with 37 closed-end and 42 open-end funds now in operation, and there is enormous potential for growth in the mutual fund industry in Bangladesh. Since mutual funds are a new product in the Bangladeshi market, a detailed study was performed in order to distinguish skilled asset managers from unskilled asset managers. In this study, “skill” has been defined as the ability to beat the broad-market DSEX index on after-fee basis, with the underlying logic that managers - all of whom charge a management fee - should at least be able to beat a passive investment in the broad DSEX. For purposes of the study, the weekly NAV at market value was of 76 mutual funds managed by 16 asset management companies (AMCs) were collected. The weekly returns for the DSEX and each fund under consideration were calculated separately. Four well-known measures were used to rank each mutual fund utilizing the weekly returns. The measures were Jensen’s Alpha, the Sharpe Ratio, the Treynor Ratio and the Modigliani M2 Alpha ratio. For AMCs managing multiple funds, the measures were asset-weighted to calculate the measure for the AMC as a whole. Our findings illustrated that only 5 out of 16 AMCs managed to beat the DSEX index and earn an alpha over the benchmark. Our findings were in line with academic consensus which states that active management is a zero-sum game and that the majority of actively managed funds will underperform the index on an after-fee basis. Our recommendation is for AMCs to introduce passively-managed index funds which will at least keep up with the market return and minimize fees and trading costs.

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