scholarly journals Mutual fund performance: Some recent evidence from European equity funds

2021 ◽  
Vol 66 (230) ◽  
pp. 7-33
Author(s):  
Milos Bozovic
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
The United States ◽  
Fund Performance ◽  
Equity Investment ◽  
Asset Pricing Anomalies ◽  
Pricing Anomalies ◽  
Equity Funds ◽  
European Equity ◽  
Passive Strategy

This paper studies the performance of mutual funds that specialise in equity investment. We use a sample of the top sixteen actively managed European equity funds operating in the United States between July 1990 and November 2020. Using standard factor models, we show that none of our sample funds generated a positive and significant alpha. The observed funds could not outperform a simple passive strategy that involves tradeable European benchmark portfolios in the longer run. As a rule, the funds in our sample did not exploit the known asset pricing anomalies.

scholarly journals Does Sustainability Score Impact Mutual Fund Performance?

2019 ◽  
Vol 11 (10) ◽  
pp. 2972 ◽  
Author(s):  
Pablo Durán-Santomil ◽  
Luis Otero-González ◽  
Renato Heitor Correia-Domingues ◽  
Juan Carlos Reboredo
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Value At Risk ◽  
Fund Performance ◽  
Fund Flows ◽  
Socially Responsible ◽  
Equity Fund ◽  
Socially Responsible Investments ◽  
Mutual Fund Flows ◽  
European Equity

Given that sustainable investing constitutes a major force across global financial markets, in 2016 Morningstar began reporting Morningstar Sustainability scores. We used the 2016, 2017 and 2018 scores to study the effects of socially responsible investments (SRI) on European equity fund performance. Sustainability scores impacted positively on performance, which was consistent with the idea that the mutual funds invested in companies with better scores generate better risk-adjusted and not-risk adjusted performance. We also tested the relation on mutual fund flows and risk. The sustainability score in the previous year is significant on the flows, so higher-rated funds receive a larger volume of funds. In terms of risk, the level of sustainability is negatively related to the value at risk (VaR) of the fund, supporting that higher scored mutual funds offer better protection against extreme losses.

scholarly journals ANALISIS UMUR REKSADANA, EXPENSE RATIO DAN KINERJA REKSADANA SAHAM DI PERUSAHAAN MANDIRI INVESTASI PERIODE 2014-2019

2021 ◽  
Vol 6 (1) ◽  
pp. 1-12
Author(s):  
Muhammad Helmi ◽  
Jumali Jumali
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Expense Ratio ◽  
Equity Mutual Funds ◽  
Asset Value ◽  
Net Asset Value ◽  
Equity Funds ◽  
One Year

Mutual funds are investment facilities that are used to raise funds from the investor community for further investment in securities portfolios by investment managers, and subsequently invested in stocks, bonds, time deposits, money market, and so on. Mutual fund performance is influenced by the determining factors of whether a mutual fund performs well or poorly, the mutual fund performance factor, namely the first is the age / age of the mutual fund (Fund Age), the second is the comparison between operating costs in one year and the average net asset value in one year (Expense Ratio) and the third is Net Asset Value (NAV). The formulation of the problems in this research are (1) How is the development of the age of equity funds in Mandiri Investasi for the 2014-2019 period? (2) How is the development of the stock mutual fund expense ratio at the Mandiri Investasi period of 2014-2019? net assets (NAV) of equity mutual funds performance at Mandiri Investasi for the 2014-2019 period. This study aims to determine the development of mutual funds age, expense ratio and net asset value (NAV) of the performance of Mandiri Investa Attractive (MITRA) equity funds in Mandiri Investasi for the period 2014-2019. The objects examined in this study are variables in the form of mutual funds age, expense ratio, and mutual fund performance (NAV). Methods of data analysis in this study using descriptive analysis methods. The results of the research conducted were the age development of Mandiri Investa Attraktf (MITRA) equity funds at the Mandiri Investasi company, which experienced an increase in age in 2014-2019. Expense ratio development in 2014-2019 has decreased. And in the development of equity mutual funds performance, namely the net asset value (NAV) in 2014-2019 experienced fluctuations.

MUTUAL FUND PERFORMANCE IN DEVELOPING AND ADVANCED WORLD NETWORKS

2019 ◽  
Vol 64 (02) ◽  
pp. 399-421 ◽  
Author(s):  
KEYI ZHANG ◽  
RAMAZAN GENÇAY
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Complete Information ◽  
Fund Performance ◽  
Performance Persistence ◽  
Mutual Fund Performance ◽  
Market Information ◽  
Fund Manager ◽  
Equity Funds

We propose a new determinant of mutual fund performance persistence. We argue that different funds have different abilities to generate persistent performance and that such heterogeneity across funds can be explained by fund manager access to market information. To justify this hypothesis, we construct a network of mutual funds based on the commonality of their stock holdings and use network features to characterize how well a fund acquires and utilizes market information. Based on a sample of U.S. equity funds from 2001 to 2014, we find that a mutual fund with more complete information is more likely to possess momentum in performance.

scholarly journals Determinant of Islamic Mutual Fund Performance: A Comparative Study Between Indonesia and Malaysia

2021 ◽  
Vol 9 (1) ◽  
pp. 83
Author(s):  
Mohammad Nur Rianto Al Arif ◽  
Aulia Saifullah
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Secondary Data ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Past Performance ◽  
Equity Mutual Funds ◽  
Panel Data Regression ◽  
Significant Difference ◽  
Equity Funds

<p><em>This study aims to analyze determinant performance of Islamic equity funds and compare the performance of Indonesian Islamic equity funds with Malaysian Islamic equity funds period 2017-2019. Factors that are thought to affect the performance of mutual funds are past performance and inflation. Mutual fund performance itself is measured using the Sharpe Index. This study uses secondary data and the sample is taken using purposive sampling. Methods of data analysis using Panel Data Regression. This study indicates that simultaneously the variables Past Performance and Inflation affect the performance of Islamic equity mutual funds in Indonesia and Malaysia.</em></p><em>Furthermore, it partially shows that Past Performance harms the performance of Islamic equity funds, while inflation positively affects the performance of Islamic equity funds. In addition, this study also shows that there is a significant difference between the performance of Indonesian and Malaysian Islamic equity funds. Malaysian Islamic equity funds were superior to Indonesian Islamic equity funds in 2017-2019.</em>

scholarly journals Performance Evaluation of Equity Funds: 2017-2019

2021 ◽  
Vol 3 (2) ◽  
pp. 43-54
Author(s):  
Rivandi Uchok Imanuel Sianipar ◽  
Bambang Mulyana ◽  
Sri Marti Pramudena
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Market Value ◽  
Fund Performance ◽  
Rate Of Return ◽  
Mutual Fund Performance ◽  
Equity Fund ◽  
Measurement Results ◽  
Equity Funds ◽  
Method Show

Mutual funds are said to perform very well if they can provide a higher rate of return and minimize risk. This study aims to find out if the performance of stock mutual funds has a better performance than the market as a comparison (JCI) using sharpe and jensen methods and to find out if there is a difference in the rating of stock mutual fund performance measurement results between sharpe method and Jensen method.The analysis results using Sharpe method and Jensen method show that 30 mutual funds have a good performance where the performance value of stock mutual funds from sharpe and jensen method is above the average market value (JCI). The result of Sharpe method in 2017 shows that the best performing stock mutual fund is Batavia Stock Fund Optimal Stock Fund. In 2018 and 2019, the best performance was the Sucorivest Maxi Fund, while the result of Jensen's method in 2017, the best performing stock mutual fund was the Sucorivest Maxi Fund. In 2018, it showed the best performance, namely Trim Kapital Equity Fund. The Bahana Trailblazer Fund occupied the highest performance value in 2019. However, each equity fund will experience a change in its rating every year. For the best mutual funds in this research year.

Factor Investing from Concept to Implementation

2019 ◽  
Keyword(s):  
Asset Pricing ◽  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Flows ◽  
Sample Period ◽  
Random Factor ◽  
Asset Pricing Anomalies ◽  
Pricing Anomalies ◽  
Factor Investing

Mutual funds following factor investing strategies based on equity asset pricing anomalies, such as the small-cap, value, and momentum effects, earn significantly higher alphas than traditional actively managed mutual funds. The authors report that a buy-and-hold strategy for a random factor fund yields 110 basis points per annum in excess of the return earned by the average traditional actively managed mutual fund. However, they find that the actual returns that investors earn by investing in factor mutual funds are significantly lower because investors dynamically reallocate their funds both across factors and factor managers. Although factor funds have attracted significant fund flows over their sample period, it appears that fund flows have been driven by factor funds earning high past returns and not by the funds providing factor exposures. The authors argue that, rather than timing factors and factor managers, investors would be better off by using a buy-and-hold strategy and selecting a multifactor manager.

scholarly journals ANALYSIS OF THE PERFORMANCE OF INDONESIAN MUTUAL STOCK FUNDS USING SHARPE, TREYNOR, JENSEN AND M2 METHOD PERIOD 2010 – 2019

2021 ◽  
Vol 2 (1) ◽  
pp. 1-9
Author(s):  
Andreas Andreas ◽  
Sautma Ronni Basana
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Market Performance ◽  
Composite Index ◽  
Equity Mutual Funds ◽  
Equity Funds

This study examines the performance of equity mutual funds using Sharpe, Treynor, Jensen, and M2. The sample used in this study is 57 stock mutual funds in 2015 – 2019 and 29 stock mutual funds in 2010 – 2019. The performance of stock mutual funds will be compared with LQ – 45 and IHSG to find out whether they underperform or outperform on market performance. The results showed that when seen in years 2015 - 2019 with the benchmark LQ - 45, 11 equity funds outperformed by using Sharpe, Treynor, and M2, and 12 mutual funds stocks outperformed by using a Jensen. Using the Composite Index as the benchmark, it is found that four equity funds outperformed by using Sharpe, M2, and 5 equity funds outperformed by using Treynor and Jensen from 57 samples of mutual fund shares. From the performance of the year 2010 - 2019, it is found that the 10 equity funds outperformed by using Sharpe and M2, and 15 equity funds outperformed by using Treynor and Jensen with LQ – 45 as the benchmark. The Composite Index found that 0 of stock mutual funds outperformed by using Sharpe and M2, while 3 mutual funds outperformed using Treynor and 2 mutual funds outperformed using Jensen from 29 stock mutual funds samples.

scholarly journals FAKTOR INTERNAL YANG BERPENGARUH TERHADAP KINERJA REKSADANA SYARIAH DI INDONESIA PERIODE 2014-20171)

2020 ◽  
Vol 6 (1) ◽  
pp. 114
Author(s):  
Farah Faadilah ◽  
Puji Sucia Sukmaningrum
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Coefficient Of Determination ◽  
Expense Ratio ◽  
Turnover Ratio ◽  
Equity Funds ◽  
Endogenous Variables ◽  
Negative Effect ◽  
Fund Size ◽  
Positive Effect

This study aims to determine the effect of fund size, expense ratio and turnover ratio. The data used in this research is the net asset value data and shariah mutual fund prospectus of 4 shariah equity funds for the period 2014-2017. This study describes using multiple linear regression test to prove the relationship between exogenous and endogenous variables. The result of the test shows that partially fund size and positive effect is not significant on the performance of Islamic stock mutual funds, the expense ratio has no significant negative effect on the performance of Islamic equity mutual funds, while the turnover ratio has a significant positive effect on the performance of sharia mutual funds. While simultaneously fund size, expense ratio and turnover ratio have a significant influence with the coefficient of determination of 25,06%% while the remaining 74,94%  influenced by other variables not included in this study.Keywords: Sharia Mutual Funds Performance, Turnover Ratio, Cash Flow, Expense Ratio

scholarly journals Evaluation of Mutual Funds Performance And Consistency test over the use of Performance Sizing Methods

2020 ◽  
Vol 5 (6) ◽  
pp. 650-656
Author(s):  
Eka Kusumawati ◽  
Ega Bagja Nugraha
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Sharpe Ratio ◽  
Superior Performance ◽  
Ratio Method ◽  
Surveillance Period ◽  
Consistency Test ◽  
Asset Value ◽  
Equity Funds ◽  
Coefficient Of Concordance

The development of mutual fund industry in Indonesia has increases every year. From those several types of equity funds, the Net Asset Value (NAV) of mutual funds has increased by quite high number from year to year compared to other types. This research was assess the performance of mutual funds and examine those several consistency over the use of performance sizing methods from Sharpe ratio, Treynor index and Jensen's Alpha methods. Current problem who was stumbled was how the performance of stock mutual funds was measured by the Sharpe ratio, Treynor index and Jensen's Alpha methods and whether there has consistency over its performance by using it. The recent sample was 37 mutual funds that were registered at BAPEPAM-LK and still operating in Indonesia from January 2009 to October 2013. Performance evaluations used Sharpe ratio method, Treynor index and Jensen's Alpha. As for assess those consistency of the use performance sizing methods was done by Kendall coefficient of concordance (W) test. The result over this research said that Panin Dana Maksima and Panin Dana Prima are the best mutual funds, this could be seen during these surveillance period which found that mutual fund has superior performance above the market. The result of consistency test over those performance of stock mutual funds using Kendall W's concordance coefficient found that there has consistency or harmony when evaluated the performance of equity funds by using Sharpe Ratio, Treynor Index and Jensen's Alpha methods during those period.

scholarly journals ANALISIS PERBANDINGAN KINERJA REKSADANA SAHAM MENGGUNAKAN METODE SHARPE DAN TREYNOR PADA REKSADANA SAHAM

Equity ◽  
2019 ◽  
Vol 21 (1) ◽  
pp. 49
Author(s):  
Clara Bella ◽  
Yul Tito Permadhy
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Sampling Method ◽  
Stock Exchange ◽  
Market Performance ◽  
Fund Performance ◽  
Mutual Fund Performance ◽  
Equity Fund ◽  
Consistent Performance ◽  
Descriptive Method

This study aims to determine the comparison of stock mutual fund performance using sharpe method and treynor method. The research method used in this research is descriptive method with quantitative approach. The object of this study using all mutual fund shares listed on the Indonesia Stock Exchange period 2013-2016. The technique of determining the sample using purposive sampling method so that 66 mutual funds were chosen as research sample. The results of this study explain that there are differences in the results of the performance of stock mutual funds using sharpe method and treynor method on mutual fund shares listed on the Indonesia Stock Exchange (BEI) where each performance value fluctuates in the period 20132016. The results show that only a few stock mutual funds are above market performance by using sharpe method and treynor method during the period 2013-2016. The results show that only one stock mutual fund that has consistent performance above market performance during the period 2013-2016 using the sharpe method of equity fund Sam Equity Fund.

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