Mutual Fund Families and Performance Evaluation

Pakistan is an emergent country with a developing mutual fund industry. In Pakistan Mutual Fund existed since 1964 capital market conveying certain advantages like risk diversification, assured returns and professional management for the retail investors. There have been lack of evidence on the performance and determinates of performance in the Mutual Fund market of Pakistan. This research is performed to provide comprehensive evidence on the performance measurement of the Islamic and Conventional mutual fund industry in Pakistan. The research measured data of 102 mutual funds, which are divided into two isolated functional natures Islamic and conventional for the period of five years from 2010 to 2014. Performance of the funds is determined using performance measures of Sharpe measure, Treynor measure, Jenson’s Alpha and Information ratio. The performance of two segregations of the funds were measured and compared on yearly bases. Further, using Fama-French three-factor model along with an additional factor suggested by Carhart, the research measured abnormal returns on each of the fund and these abnormal returns were explained by fund characteristics of expense ratio, fund size, fund age and fund family size using cross sectional OLS estimation. No significant performance differences that were found between Islamic and conventional funds. Treynor measure and Jenson’s Alpha presented in-consistent and insignificant performance measurements. The research also provided evidence of a negative influence of expense ratio on mutual fund performance in Pakistan. The research will explore the mutual fund industry for better understanding and recommends devising alternative performance measurements and methods consistent with local context. Keywords: Mutual Funds Association of Pakistan, Asset Management Companies, Mutual Funds, Performance evaluation, Islamic and Conventional Mutual Funds. DOI : 10.7176/EJBM/11-22-01 Publication date : August 31 st 2019

Mutual Funds through its professional managers enable small investors to enjoy benefits of capital market with small amount. This study with special focus on Pakistani Mutual Fund industry, tests the suitability of traditional measures and multifactor, asset pricing models on the Mutual Fund performance. Owing to rareness of the applicability of the multifactor models in comparison to traditional measures, in evaluating Mutual Fund performance in modern day Pakistani research, the study uses CAPM, Fama French, Carhart models in the performance evaluation of Pakistan Mutual Fund. The data of 100 open-end Mutual Funds, for the period 2005 to 2017 was collected from Mutual Fund Association of Pakistan; while the risk free rates data was collected from State Bank of Pakistan and Stock data from Pakistan Stock Exchange for predicting the results, Ratio analysis, CAPM, Fama French-3 Factor and Carhart-4 factor model were used to understand its suitability. The results demonstrated that application of CAPM, affect market factors of majority of the portfolios.Where as in other two models (Fama French, Carhart) the majority of the portfolios are insignificantly affected by the size factor, value factor and Momentum factor. The Gibbon Rose Shanken unveils the suitability of the best model and justify CAPM as the better model among the three competing models in evaluate on theMutual Fund performance in Pakistan. The study has certain implications for the managers of assets management companies as well as useful for the investors in knowing which funds perform better and which kind of funds are ideal for investment.

In this paper, we investigate the information sharing within an organisation and its consequences on mutual fund performance. Using a sample from the US open-end mutual fund industry, information sharing inside an organisation is quantified via the dependence of individual funds from the fund family joint information set. The findings indicate a positive relationship between the degree of information sharing and the resulting fund performance. This remains robust across different performance evaluation metrics and various model specifications. Such superior performance can be attributed to the quality of information shared across affiliated fund members and timely information diffusion within the fund family.

Mutual funds, as a popular investment vehicle, pool resources from multiple investors to create diversified portfolios managed by professionals. This study explores the performance of mutual funds by analyzing various types, including equity, bond, and balanced funds, and their associated risks. Utilizing both primary and secondary data, the research evaluates mutual funds based on returns, investment patterns, and risk factors. It also examines the impact of recent technological advancements and regulatory changes on fund performance. The study highlights the benefits of mutual funds, such as diversification and professional management, while addressing potential risks including market, credit, and interest rate risks. By assessing the effectiveness of different mutual funds, the research aims to guide investors and improve capital allocation. The findings provide insights into how mutual funds contribute to individual financial goals and broader economic stability

In this paper, the hierarchical chart for open-end fund performance evaluation is obtained by using the analytic hierarchy process. Furthermore, by utilizing the fuzzy and grey comprehensive evaluation methods, a scoring model for the evaluation of open-end funds is established. A 3a method-based comparison model is then constructed. Finally, an empirical study is conducted by using section data for the 159 open-end funds. The obtained results show that the models developed in the present study for the evaluation of open-end fund performance do indeed reflect the performance of each individual fund relatively well for the given sample period, and the evaluation results archived by using the established models are close to the results of evaluations conducted by each professional organization. The models formulated in the present study can help investors determine fund performance levels based on fund section data.

Mutual funds are designed to raise investment funds. The objectives of this study are: to determine the performance of mutual funds on the LQ-45 index is higher than the performance of equity funds in the Indonesian capital market and to measure the level of efficiency in the capital market using CAPM modeling and using Net Active Value (NAV) data per year for the 2015 period. -2019. To determine whether a mutual fund is good or bad, it is not measured by how much the return has been generated or by how big or small the risk of fluctuation is, but this is seen from how much the mutual fund performs with its reference index. If the performance of index mutual funds is better or the performance of stock mutual funds is lower overall, the capital market can be said to be efficient. The results of this study indicate that the performance of the LQ-45 index mutual funds is smaller than the performance of the more superior stock mutual funds above. So it can be concluded that the Indonesian capital market is an inefficient Indonesian capital market.

What Happens After a Fund Family Begins to Offer ETFs?

PurposeThis paper aims to investigate not only the performance of Portuguese mutual funds investing in domestic and international equities but also which fund characteristics, such as age, size, family size, expense ratios and flows, influence future performance.Design/methodology/approachFund performance is evaluated over the 2005–2022 period by a robust six-factor model, while the impact of fund characteristics on performance is assessed by a set of fixed-effects panel data regressions with two-way cluster-robust standard errors.FindingsThe results show that, while funds investing in domestic equities predominantly exhibit neutral performance, most international equity funds have significantly negative alphas. The authors document a negative and statistically significant relationship between fund age and performance for all fund categories. Total expense ratios have an inverse relationship with domestic equity fund performance but do not impact the performance of international equity funds significantly. Though fund flows have a neutral effect on performance across the overall period, they are important determinants of both domestic and international funds’ performance in more recent years.Originality/valueThe authors contribute to the literature by carrying out a comprehensive analysis, based on recent and robust methodologies, of the impact of mutual fund characteristics on the future performance of Portuguese equity funds. The research findings serve as a premise for advising investors on how to choose the top-performing funds.

<p>Public Mutual fund (PMF) is an instrument for pooling the funds by issuing units to the investors and investing funds in the capital market to achieve their objectives. To invest in mutual funds is a complicated trade for investors as individual assets are belongs to verity of risks and they are dubious on return on investment. There are only 43 Mutual Funds are available to choose from where the investors can invest. To take the investment decision, the investors need to know which funds are performing better than others, gives more return, which fund is more risky etc. In this study the performance evaluation of public mutual funds carried out by considering fund age, fund size, fund return, fund dividend payout, fund price earnings ratio and fund net asset value (NAV). There are only eight PMFs are available in Bangladesh. For analysis purposes the study investigates 1999 to 2015 operations of PMF. Therefore, this study analyzes 128 a firm years, for measuring PMFs performance. The study reveals that fund size, fund return, fund dividend payout and P/E ratio has significant relation on fund performance. Whereas, fund age and fund NAV has insignificant relation on fund performance.</p>

New financial products, advancements in technology, and restructured financial theories during last two decades have contributed significantly to bringing rapid changes in the global financial markets. The Indian financial sector can be seen extending new horizons of growth with reform processes that were initiated in the 1990s,which show a changing pattern of investors’ investment preferences. The growth of innovative mutual fund schemes has proved to be one of the most catalytic in accelerating the investment growth in Indian capital markets. In addition, Indian markets are waiting to outshine in the area of mutual funds as this particular sector has excellent potential due to the scope of formulating new fund schemes that can be a perfect blend of liquidity, low risk, and higher returns. In an effort to check out the performance of mutual funds in India, this study presents a complete analysis of growth of the various sector mutual funds during the period from 1999 to 2009 and further compares private-sector and public-sector funds in terms of risk and return. The study concludes that although the current perception of investors has changed for private-sector mutual funds, the performance of those funds does not vary much from public-sector funds. Further, the results of the study also prove that private-sector funds do not show any additional risk when compared to private-sector funds. <b>TOPICS:</b>Mutual fund performance, style investing, emerging, risk management

Verenium reports financial results for the 3Q 2008

Mutual funds have emerged as one of the most popular investment avenues for retail and institutional investors in India, offering diversification, professional management, and relatively lower risk compared to direct equity investment. Among the leading mutual fund providers, the State Bank of India (SBI) Mutual Fund has established a strong presence, offering a wide range of equity, debt, and hybrid schemes catering to different investor profiles. This study focuses on analyzing the performance of SBI mutual funds with respect to risk, return, Net Asset Value (NAV) fluctuations, and consistency in delivering returns over a specified period. The evaluation is carried out using key financial indicators such as Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, and Standard Deviation, which help assess both the risk-adjusted returns and fund efficiency. The findings highlight how SBI mutual funds perform in comparison to benchmark indices and investor expectations, providing insights into the fund manager’s competency and the schemes’ ability to meet long-term wealth creation goals. This research contributes to investor awareness by identifying the strengths and weaknesses of SBI mutual fund schemes, enabling individuals to make informed decisions regarding their portfolio allocation.

The purpose of this study was to determine the effect of Composite Stock Price Index and Jakarta Interbank Offered Rate on the Performance Mixed Mutual Fund. Samples in this study was taken from firms that sell mutual funds in Indonesia, one of the companies that make the sample in this study is PT. Manulife Asset Management Indonesia, namely mutual funds mix traded and listed on the Stock Exchange the period January 2, 2015 until December 30, 2015 totaling 254 samples of daily data. The results showed that IHSG positive and significant effect on the performance of mutual funds. It shows that the higher the IHSG it will be the performance of mixed funds and conversely the lower the stock index will be more influenced not good on the performance of diminishing because of the composition of mixed funds largely in the form of shares IHSG is an indicator of the value of shares. JIBOR positive and significant effect on the performance of mutual funds. It shows that the greater the JIBOR it will affect both the Nab Mixed mutual fund, and vice versa JIBOR The lower the interest rate it will not affect either the performance of the mixed funds Nab. In this case the interest rate JIBOR can become a reference in the decision to invest in mixed funds because it has significant influence when JIBOR rise will affect the performance Nab mutual funds increased and if the fall will affect the performance Nab decreased hopefully this research can be a consideration in taking investment decision. Keyword: Composite Stock Price Index, Jakarta Interbank Offered Rate, Performance Mixed Mutual Fund.

Volatility-Managed Portfolios of Mutual Funds

ABSTRACTThe majority of UK style-specific mutual funds either report a broad market index as their prospectus benchmark or give no benchmark at all – a practice that may be (a) strategic, or (b) cultural and attributable to the lack of UK style-specific indices (e.g. mid-cap-growth, small-cap-value). The choice of a broad market index as a benchmark can bias the inferences of a fund’s performance and performance persistence. This study is the first to provide an alternative to style-specific indices in the UK, and suggests the use style-specific peer group benchmarks, following [Hunter, D., E. Kandel, S. Kandel, and R. Wermers. 2014. “Mutual Fund Performance Evaluation with Active Peer Benchmarks.” Journal of Financial Economics 112 (1): 1–29]. Our sample comprises of 817 active UK long-only equity mutual funds allocated to nine Morningstar style categories (peer groups) during the period 1992–2016. We show that the funds with the most significant positive peer-group-adjusted alphas continue to perform well one year ahead, in terms of both parametric and non-parametric measures of persistence in performance. Moreover, persistence in performance is driven by both winner and loser funds. The results within each peer group are by and large consistent with these findings.