Mutual Fund

The paper aims to realize a general image of the collective investment funds acting on the Romanian and European capital markets. Collective investment funds, classified in open-end funds (mutual funds or UCITS – Undertaking for Collective Investment in Transferable Securities) and closed-end funds (or Non UCITS) offer the investors the advantage of direct access on capital and monetary markets with less money, effort and risks. Further we have analyzed the regulations that operate the Romanian and European funds market, the size of Romanian funds market compared to other countries in the region in detailed statistical data and also the growing potential.

RESUMO O objetivo deste artigo é analisar a relação entre comomentos de terceira e quarta ordens e fatores de risco e sua adequação aos retornos, ao desempenho e à captação líquida de fundos de investimento. Os fatores utilizados para determinar a performance dos fundos e, consequentemente, sua relação com a captação são: retorno de mercado, tamanho, book-to-market, lucratividade, investimento, coassimetria e cocurtose. Os fundos que constituem a amostra são aqueles classificados como Ações Livre (no período de abril de 2001 a abril de 2015). Metodologicamente, este estudo apresenta duas fases. A primeira se refere à estimação dos parâmetros que representam a sensibilidade dos fundos aos fatores e à comparação dos capital asset pricing models (CAPM), 4 fatores Fama-French-Carhart (FFC), 5 fatores Fama-French (FF5) e 5 fatores Fama-French com momentum (FF5M), acrescidos ou não dos comomentos, por meio de procedimento de efeitos fixos. A segunda trata da verificação da relação entre a performance e a captação líquida dos fundos. Procedeu-se à reestimação dos modelos por meio de janelas temporais móveis, de modo que o alfa calculado em cada uma delas representasse a performance do fundo no período imediatamente subsequente. Também se estimou a relação captação-performance por meio de regressões transversais, com taxas e idade como variáveis de controle. Os resultados demonstraram que os coeficientes de coassimetria e cocurtose são pouco relevantes para a determinação do desempenho e da captação líquida de fundos de investimento. Dentre os fatores de risco, mercado, tamanho e momentum são os parâmetros que se mostram importantes para os retornos dos fundos. Os modelos FFC e FF5M são aqueles que apresentam maior poder explicativo à especificação dos retornos. Há, ainda, indícios de convexidade na relação entre desempenho e captação. Palavras-chave: fundos de investimento, performance, captação líquida, modelos de precificação de ativos, risco de mercado.

We investigate the relationship between performance and portfolio management team structure of open-end mutual funds during 1997–2004. We first analyze differences in performance and risk taking between single-manager and multiple-manager mutual funds and find that the latter underperform the single-manager funds in terms of risk-adjusted returns during the 2001–2004 bear market. This underperformance is more evident among growth-oriented funds. There are no differences observed in the 1997–2000 bull market. Not all multiple-manager funds, however, are managed by pure teams. When we compare the performance of single-manager and pure-team funds we do not find any differences in performance. The underperformance of multiple-manager funds documented in previous studies comes from multiple-manager funds that employ many investment advisors and, therefore, their exact management structure is unknown. We also document differences in management structure reporting between Morningstar and CRSP.

RESUMO O objetivo deste trabalho é calcular os índices de desempenho dos fundos de ações no mercado brasileiro e determinar qual é a probabilidade de um fundo, que venha apresentando bom desempenho em relação a seus pares, conseguir manter essa posição no período seguinte. Como objetivo específico, buscou-se investigar quais índices de desempenho estão mais associados à expectativa de boa performance. A principal contribuição deste trabalho consiste em desenvolver um modelo para análise de fundos de investimento em ações no mercado brasileiro que pudesse ser utilizado pelos investidores para selecionar os melhores fundos para aplicação de seus recursos. Buscou-se analisar quais métricas de desempenho são melhores para discriminar os fundos com bom desempenho, por meio da técnica estatística de regressão logística binária, cuja resposta permite estabelecer a probabilidade de ocorrência de fundos com desempenho superior e a importância das variáveis para essa ocorrência. A abordagem é inovadora. Os resultados do trabalho mostraram que o modelo computou um índice de acertos de 81% em sua matriz de classificação e definiu as variáveis com significância estatística que devem ser consideradas na escolha dos fundos, pela ordem de importância: taxa de administração, índice de Treynor, índice de Sharpe generalizado, índice de Modigliani e taxa de performance.

We present a detailed study of portfolio optimisation based on cointegration, a statistical tool that here exploits a long-run equilibrium relationship between stock prices and an index price. We compare the theoretical and empirical properties of cointegration optimal equity portfolios with those of portfolios optimised on the tracking error variance. From an eleven year out of sample performance analysis we

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The research study attempts to make the mutual fund (MF) investor understand how the various risk parameters like Alpha, Asset under management, Beta, Expense Ratio, R-Squared, Sharpe Ratio, Sortino Ratio, and Standard deviation impact the returns of the MF. This information is instrumental to make dynamic investor choices. To narrow down the scope of the study analysis of 193 schemes of the top 15 MFs was considered. Only MFs with a minimum of 5 years of existence were considered. The relationship between the funds’ parameters was found using correlation and multiple regression statistical techniques. It was observed that the Sharpe ratio and Sortino ratio had a high positive correlation with the returns of the MF. The highest contributing regression predictor to explain the performance of the MF was the Sharpe ratio followed by Alpha, Expense ratio, & Asset under management.

Abstract: Set in the autumn of 2005, this case recounts the remarkable performance record of Value Trust, a mutual fund managed by William H." Bill" Miller III at Legg Mason, Inc. The case describes the investment style of Miller, whose record with Value Trust has beaten ...

Mutual Funds offer various investment options like open-ended schemes, close-ended schemes, Liquid funds, Debt funds and Equity-linked saving schemes (ELSS). People are attracted to Equitylinked saving schemes investments because of the tax exemption offered by the government under section 80C of the income tax act. Mutual fund investment helps the investor to diversify the risk. The mutual fund industry is working for almost fifty years in India. During this period, it has made tremendous growth in the market. An attempt is made to study the performance evaluation of selected open-ended ELSS schemes in the background of the covid pandemic in terms of risk and return relationship. For the purpose of this study, the rate of return method, Standard Deviation, Beta and Sharpe ratio method has been used. Nifty 500 Total Index has been used as a benchmark to study the performance of ELSS schemes in India. The period selected for the study is from 1 st April 2019 to 31 st March 2022. The findings of the study reveal that there are different schemes available in the market for different mindsets of investors.

Abstract: The global economic crisis of 2008 has opened some old questions related to limits of export-oriented growth, including in the Asian and Pacific reiong, In that context, stronger regional integration has been put forward as one of the alternative sources of growth. This volume ...

Recent years have witnessed an increasing growth in mutual funds that invest according to social criteria. As a consequence, the financial performance of these portfolios has attracted the interest of academics and practitioners. This paper investigates the performance of a sample of socially responsible mutual funds from seven European countries investing globally and/or in the European market. Using unconditional and conditional models, we assess the performance of these funds in comparison to conventional and socially responsible benchmark portfolios. The results show that European socially responsible funds present in general neutral performance in relation to both conventional and socially responsible benchmarks. However, performance estimates seem to be slightly higher when funds are evaluated in relation to socially responsible indices. Our results also show that socially responsible funds are more exposed to conventional than to socially responsible indices. Furthermore, conventional benchmarks are better able to explain fund returns than socially responsible benchmarks. These findings are robust to both unconditional and conditional models of performance. We also observe that conditional models lead to a slight improvement of performance estimates and to the explanatory power of the models, both when conventional and socially responsible benchmarks are considered. This is consistent with most previous empirical findings on conditional performance evaluation. Our results show that investors who wish to hold European funds can add social screens to their investment choices without compromising financial performance.