Do Specialist Fund Managers Possess Superior Project (Stock) Picking Ability?

2007 ◽  
Author(s):  
Oghenovo A. Obrimah
Keyword(s):  
Fund Managers ◽  
Stock Picking

scholarly journals Do Managers Of Global Equity Funds Outperform Their Respective Style Benchmarks? Evidence From South Africa

2012 ◽  
Vol 11 (3) ◽  
pp. 269
Author(s):  
Heng-Hsing Hsieh ◽  
Kathleen Hodnett ◽  
Paul Van Rensburg
Keyword(s):  
South African ◽  
Economic Benefits ◽  
Exchange Traded Funds ◽  
The South ◽  
Fund Managers ◽  
Study Results ◽  
Significant Difference ◽  
Equity Funds ◽  
Investment Styles ◽  
Stock Picking

The results of our prior research on internationally-domiciled global equity funds suggest that active managers do not provide economic benefits, in addition to their underlying investment style benchmarks. This finding implies that the performances of global equity funds are derived mainly from the broad investment styles followed by the active managers rather than the stock-picking activities of the managers. We replicate our earlier research to investigate the performances of the six well-established global equity funds in the South African unit trust industry. Our results indicate that four out of the six South African fund managers under examination substantially underperform their passively-replicated style benchmarks. Our prior study results indicate that there is no significant difference between the performances of the internationally-domiciled global equity funds and their respective style benchmarks. By contrast, the stock-picking decisions of the South African fund managers are found to destroy value created by their respective style benchmarks in this study. Our findings suggest that investors who wish to follow particular investment styles would be better off by investing in exchange traded funds (ETF) that passively track the performances of their mandated investment styles in the global equity market with minimal costs.

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

Mutual Fund Performance Using Unconditional Multifactor Models: Evidence from India

2018 ◽  
Vol 17 (2_suppl) ◽  
pp. S157-S184 ◽  
Author(s):  
Pankaj K. Agarwal ◽  
H. K. Pradhan
Keyword(s):  
Mutual Fund ◽  
Developed Countries ◽  
Fund Performance ◽  
Superior Performance ◽  
Capital Asset Pricing ◽  
Multifactor Models ◽  
Asset Pricing Model ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Stock Picking

In contrast to developed countries, Indian capital markets do not exhibit strong efficiency and therefore it appears possible that fund managers beat the benchmarks. We examine the existence of superior performance of open-ended equity mutual funds in India with various models including traditional Capital Asset Pricing Model (CAPM)-based as well as recent Fama–French–Carhart (FFC)-factors-based models. We use a survivorship-bias free database including all schemes since inception till recently. We found evidence of stock picking and timing abilities in Indian fund managers. Our results are robust to changes in benchmarks, return frequency, and effects of heteroscedasticity and autocorrelation (HAC).

Style and Skill: Hedge Funds, Mutual Funds, and Momentum

2020 ◽  
Vol 66 (12) ◽  
pp. 5505-5531 ◽  
Author(s):  
Mark Grinblatt ◽  
Gergana Jostova ◽  
Lubomir Petrasek ◽  
Alexander Philipov
Keyword(s):  
Mutual Funds ◽  
Hedge Funds ◽  
Mutual Fund ◽  
Hedge Fund ◽  
Fund Performance ◽  
Short Sales ◽  
Fund Managers ◽  
Liquidity Provision ◽  
Stock Picking ◽  
Hedge Fund Performance

Classifying mandatory 13F stockholding filings by manager type reveals that hedge fund strategies are mostly contrarian, and mutual fund strategies are largely trend following. The only institutional performers—the two thirds of hedge fund managers that are contrarian—earn alpha of 2.4% per year. Contrarian hedge fund managers tend to trade profitably with all other manager types, especially when purchasing stocks from momentum-oriented hedge and mutual fund managers. Superior contrarian hedge fund performance exhibits persistence and stems from stock-picking ability rather than liquidity provision. Aggregate short sales further support these conclusions about the style and skill of various fund manager types. This paper was accepted by Tyler Shumway, finance.

Why Do Indian Companies Repurchase Their Shares?

2019 ◽  
pp. 097215091985493
Author(s):  
Ravinder Kumar Arora
Keyword(s):  
Share Repurchases ◽  
Share Repurchase ◽  
Firm Characteristics ◽  
Tobit Regression ◽  
Fund Managers ◽  
Financial Firms ◽  
Average Return ◽  
Main Motive ◽  
Stock Picking ◽  
Tobit Regression Model

The study explores the share repurchase behaviour of Indian firms in the context of many hypotheses propounded in the existing literature related to share repurchases. The sample consists of non-financial firms comprised in the S&P BSE-500 Index for the period 2003–2017. The repurchase sample consists of 115 repurchases. A Tobit regression model is used to identify firm characteristics associated with repurchasing firms. Unlike prior studies in India, this study finds strong evidence of share undervaluation as the main motive for the Indian companies to repurchase shares. The share repurchasing companies in the sample (excluding those that have repurchased shares in the year 2017) have provided an average return of nearly 60 per cent during the year after the repurchase. The findings of the study can be used by fund managers and investors for stock picking.

scholarly journals Arch Effects in Multifactor Market-Timing Models of Polish Mutual Funds

2012 ◽  
Vol 10 (2) ◽  
pp. 60-80
Author(s):  
Joanna Olbryś
Keyword(s):  
Mutual Funds ◽  
Stock Exchange ◽  
Market Timing ◽  
Market Returns ◽  
Fund Managers ◽  
Warsaw Stock Exchange ◽  
Q Model ◽  
Traditional Performance ◽  
Timing Models ◽  
Stock Picking

Arch Effects in Multifactor Market-Timing Models of Polish Mutual FundsPerformance measurement of investment managers is a topic of interest to practitioners and academics alike. The traditional performance evaluation literature has attempted to distinguish stock-picking ability (selectivity) from the ability to predict overall market returns (market-timing). However, the literature finds that it is not easy to separate ability into two such dichotomous categories. To overcome these problems multifactor alternative market-timing models have been proposed. The author's recent research provides evidence of strong ARCH effects in the market-timing models of Polish equity open-end mutual funds. For this reason, the main goal of this paper is to present the regression results of the new GARCH(p, q) versions of market-timing models of these funds. We estimate multifactor extensions of classical market-timing models with Fama & French's spread variables SMB and HML, and Carhart's momentum factor WML. We also include lagged values of the market factor as an additional independent variable in the regressions of the models because of the pronounced "Fisher effect" in the case of the main Warsaw Stock Exchange indexes. The market-timing and selectivity abilities of fund managers are evaluated for the period January 2003-December 2010. Our findings suggest that the GARCH(p, q) model is suitable for such applications.

scholarly journals Do Managers Of Global Equity Funds Outperform Their Respective Style Benchmarks? An Empirical Investigation

2012 ◽  
Vol 10 (12) ◽  
pp. 1
Author(s):  
Heng-Hsing Hsieh ◽  
Kathleen Hodnett
Keyword(s):  
Empirical Investigation ◽  
Economic Benefits ◽  
Empirical Literature ◽  
Decomposition Approach ◽  
Fund Managers ◽  
Return Decomposition ◽  
Equity Funds ◽  
Prior Literature ◽  
Stock Picking ◽  
Allocation Decisions

Empirical literature suggests that stock-picking of fund managers do not provide economic benefits in addition to passively-replicated style benchmarks. This paper constructs a 4-factor style model using the Morgan Stanley Capital International (MSCI) World Index and the global size, value and momentum proxies to replicate the style benchmark returns of 12 actively-managed global equity funds based on the return-decomposition approach of Sharpe (1992). In line with prior literature, it is found that the returns of the global equity funds under investigation are primarily driven by their respective style benchmarks. The selection returns of the analyzed funds are insignificant after adjustments for the inherent style risks. We thus conclude that active stock-picking of fund managers do not provide significant value in addition to asset and style allocation decisions.

Hidden Cost of Trading and Portfolio Performance: A Short Note on Implementation Shortfall

2018 ◽  
Keyword(s):  
Transaction Costs ◽  
Short Note ◽  
Opportunity Costs ◽  
Portfolio Performance ◽  
Short Article ◽  
Seminal Paper ◽  
Fund Managers ◽  
Fixed Charges ◽  
Hidden Cost ◽  
Stock Picking

Chasing performance is a constant battle among fund managers and other investors. Stock picking ability is not the only means to perform that chase well. Trading wisely by managing transaction costs, which comprise all visible, invisible, and implied or hidden costs, is also a significant factor. In his seminal paper, Perold (1988) was the first to point out that fixed charges are not the only costs of trading. Instead, they are rather a small portion of the total transaction costs that include other costs known as “implementation shortfall.” In this short article, the authors extend the existing literature by highlighting various aspects of the execution and opportunity costs that can give traders a much clearer understanding of implementation shortfall and help them to use this guidance in trading wisely.

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