Do mutual funds have consistency in their performance?

Rao, Zia-ur-Rehman; Tauni, Muhammad Zubair; Ahsan, Tanveer; Umar, Muhamad

doi:10.1007/s10258-019-00163-2

Cited by 4 publications

(9 citation statements)

References 32 publications

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“…Neither of the sectors repeated its solvency (performance) position during this period. The performance persistence findings are consistent with Machnik (2020) and Rao et al. (2020), who also showed the nonexistence of performance persistence in Chinese mutual funds and Indian mutual funds, respectively.…”

Section: Resultssupporting

confidence: 87%

“…This study uses the funded ratio and excess return approaches because they are also used in the literature by Aubry et al. (2018), Petraki and Zalewska (2017) and Rao et al. (2020).…”

Section: Methodsmentioning

confidence: 99%

“…Rao et al. (2020) use models such as capital asset pricing, the Fama–French three-factor model and Carhart's four-factor model to investigate the performance of Chinese funds.…”

Section: Literature Reviewmentioning

confidence: 99%

“…For the past five years, no relevant studies have been conducted on pension fund persistence in Africa or elsewhere, but rather on mutual, hedge, absolute and infrastructure funds. Rao et al (2020) use models such as capital asset pricing, the Fama-French three-factor model and Carhart's four-factor model to investigate the performance of Chinese funds. They later apply a nonparametric approach, such as a 2 3 2 contingency table and the crossproduct ratio (CPR), to assess Chinese funds' performance persistence.…”

Section: Ajems 144mentioning

confidence: 99%

“…The performance variables comprise actual return on investment (AROI) and expected return on investment (EROI). The AROI is the return generated from assets allocated, and the EROI is the estimated return or benchmark from the assets allocated, as in the study by Glassman, 2015;Petraki andZalewska, 2017 andRao et al, 2020. 3.1.2 Solvency and performance persistence. The solvency and performance persistence data are generated from the solvency and performance results.…”

Section: Ajems 144mentioning

confidence: 99%

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Solvency and performance persistence of defined benefit private and public pension plans

Mfoutou

Xie

2022

AJEMS

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PurposeThis study aims to examine the solvency and performance persistence of defined benefit private and public pension plans (DBPPs) in the Republic of Congo.Design/methodology/approachThe authors use the 2 × 2 contingency table approach and the time product ratio (TPR)-based cross-product ratio (CPR) on data covering ten years from 2011 to 2020, with variable funded ratios and excess returns, to determine the solvency and performance persistence of defined benefit pension plans.FindingsThe authors document a lack of solvency and performance persistence in DBPP funds. They conclude that the solvency and performance of DBPP funds are not repetitive. The previous year's private and public defined benefit pension funds’ results do not repeat in the current year. Hence, the current solvency and performance of defined benefit pension funds are not good predictors of future funds' solvency and performance.Originality/valueTo the best of the authors’ knowledge, this study is the first to combine solvency and performance to examine the persistence of defined benefit pension plans in sub-Saharan Africa.

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Section: Resultssupporting

confidence: 87%

“…This study uses the funded ratio and excess return approaches because they are also used in the literature by Aubry et al. (2018), Petraki and Zalewska (2017) and Rao et al. (2020).…”

Section: Methodsmentioning

confidence: 99%

“…Rao et al. (2020) use models such as capital asset pricing, the Fama–French three-factor model and Carhart's four-factor model to investigate the performance of Chinese funds.…”

Section: Literature Reviewmentioning

confidence: 99%

Section: Ajems 144mentioning

confidence: 99%

Section: Ajems 144mentioning

confidence: 99%

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Solvency and performance persistence of defined benefit private and public pension plans

Mfoutou

Xie

2022

AJEMS

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Assessing the Efficiency and Persistence of African Stock Markets through DEA Score: Evidence from COVID-19 Pandemic

Oppong,

Mfoutou

2023

Vision: The Journal of Business Perspective

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The few studies on COVID-19’s impact on stock market efficiency have reached mixed conclusions. However, the findings lean towards a negative impact, no studies have assessed market efficiency when returns increase in the existing capacity of COVID-19 cases, exchange rates and inflation rates. This study uses data envelopment analysis (DEA) and the DEA-adjusted estimator. We finally adopt the cross and time product ratios to determine the persistence of stock market efficiency. We find that the COVID-19 pandemic severely impacted the efficiency of African stock markets in 2021 and that the efficiency of African stock markets persists only in the short run. These findings are relevant to investors seeking to diversify their portfolios during pandemics and to regulators of African stock markets. Global investors should diversify their portfolios with African stock markets to mitigate the impact of pandemics on their investments. To reap the benefits of diversification, investors should invest in efficient African markets during pandemics and sell stocks in inefficient markets in the short run. In addition, regulators of African stock markets should adopt technologies that aid in the flow of information among investors.

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Does performance persistence exist in mutual and pension funds? Evidence from Turkey

Ozkan

Öztürk

2021

Investment Management and Financial Innovations

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The objective of this study is to investigate the performance persistence of Turkish mutual and pension funds. 310 mutual and 259 pension funds were analyzed between the period of 2010–2019 in order to determine if there is an evidence of performance persistence. In this study, a persistence rate is developed, and the skill ratio is used to crosscheck the results of the persistence rate. Furthermore, six different risk-adjusted return measures, such as Sharpe, Treynor, Information, Jensen’s alpha, Sortino, and Omega ratios are calculated to analyze whether funds also exhibit superior risk-adjusted returns. The results indicate that only 2% of funds demonstrate persistence above 50%, and 15 out of 20 fund categories do not have any funds that show persistence in 10 years. Most of the persistent funds have positive skill ratios, and it is observed that the persistence rate is effective. However, it cannot be stated that there is performance persistence in the Turkish fund management industry, since performance persistence is not evident for various fund types, so investors do not need to invest in the best funds of the previous year. Additionally, the empirical results associated with risk-adjusted performance analysis indicate that persistent funds also do not generally yield higher risk-adjusted returns. The lack of persistence in funds’ performance is a significant result for investors in their investment decisions, for fund managers in their human resource policies and bonus schemes, and for regulators in their policy decisions.

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Do mutual funds have consistency in their performance?

Cited by 4 publications

References 32 publications

Solvency and performance persistence of defined benefit private and public pension plans

Solvency and performance persistence of defined benefit private and public pension plans

Assessing the Efficiency and Persistence of African Stock Markets through DEA Score: Evidence from COVID-19 Pandemic

Does performance persistence exist in mutual and pension funds? Evidence from Turkey

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