Equity Mutual Fund Performance Evaluation: An Emerging Market Perspective

Hili, Jana; Pace, Desmond; Grima, Simon

doi:10.1108/s1569-375920160000097009

Cited by 4 publications

(3 citation statements)

References 36 publications

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“…The results reported that in the year 2014-15 and 2019-20, all proxies of ethical funds had offered positive alpha values indicating the superior performance and good managerial ability of fund managers. These outcomes are in line with Mallin et al (1995), Gil-Bazo et al (2010), and Hili et al (2016). However, in 2015-16 and 2016, none of the schemes have a positive alpha.…”

Section: Jensen's Alpha Measure Of Different Ethical Schemessupporting

confidence: 84%

A Performance Evaluation of Ethical Mutual Funds: Evidence from India

Kaur

Chaudhary

2021

Colombo Bus. J

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Since the last decade, ethical investment has gained significant development in the Indian financial market. With the increasing focus on social responsibility and the importance of ethical funds, investors pay more attention to the activities of these funds and their impact on society. Whether ethical fund investment affects portfolios' return performance is still questionable. To address this question, this paper investigated the performance of various ethical mutual fund schemes and compared them with benchmark index (NIFTY 500 Shariah Index) using data from 2014-15 to 2019-20. The performance of the sample schemes was measured based on the risk-return profile and Sharpe's ratio, Treynor's ratio and Jensen's alpha measures. The results indicated that nine out of ten ethical schemes outperformed the benchmark index during the study period. This implies that ethical funds generated positive returns with lower risk. As a policy implication, investment funds and financial institutions should develop fund schemes and stocks that incorporate ethical considerations in an investment.

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Section: Jensen's Alpha Measure Of Different Ethical Schemessupporting

confidence: 84%

A Performance Evaluation of Ethical Mutual Funds: Evidence from India

Kaur

Chaudhary

2021

Colombo Bus. J

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“…Additionally the authors suggested that mutual funds can be an appropriate option for highly risk averse investors. Hili et al (2016) showed that large-sized equity portfolios lead over the small and medium-sized portfolios. This findings again indicates that fund size is an important determinants of performance.…”

Section: Literature Reviewmentioning

confidence: 99%

Performance Appraisal of Asset Management Companies in Bangladesh

Mallik¹,

Niamatullah²,

Saha³

2019

IJEF

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Mutual funds are a type of collective investment scheme where a large number of small investors pool their savings together and entrust it to an asset manager, who manages the capital to maximize returns in exchange for a management fee. While mutual funds and other collective investment schemes are popular in developed markets, with assets under management (AUM) to GDP ratio of 62% globally, they are yet to gain popularity in Bangladesh, where AUM-to-GDP ratio stands at only 0.53%. However, mutual funds and asset management companies have been growing at high rates, with 37 closed-end and 42 open-end funds now in operation, and there is enormous potential for growth in the mutual fund industry in Bangladesh. Since mutual funds are a new product in the Bangladeshi market, a detailed study was performed in order to distinguish skilled asset managers from unskilled asset managers. In this study, “skill” has been defined as the ability to beat the broad-market DSEX index on after-fee basis, with the underlying logic that managers - all of whom charge a management fee - should at least be able to beat a passive investment in the broad DSEX. For purposes of the study, the weekly NAV at market value was of 76 mutual funds managed by 16 asset management companies (AMCs) were collected. The weekly returns for the DSEX and each fund under consideration were calculated separately. Four well-known measures were used to rank each mutual fund utilizing the weekly returns. The measures were Jensen’s Alpha, the Sharpe Ratio, the Treynor Ratio and the Modigliani M2 Alpha ratio. For AMCs managing multiple funds, the measures were asset-weighted to calculate the measure for the AMC as a whole. Our findings illustrated that only 5 out of 16 AMCs managed to beat the DSEX index and earn an alpha over the benchmark. Our findings were in line with academic consensus which states that active management is a zero-sum game and that the majority of actively managed funds will underperform the index on an after-fee basis. Our recommendation is for AMCs to introduce passively-managed index funds which will at least keep up with the market return and minimize fees and trading costs.

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“…Therefore, for investors, it is very difficult to decide the best investment scheme as various schemes are available. They want to reduce their investment risk by selecting a mutual fund scheme based on certain criteria or objectives, such as past performance (Barber, Odean, & Zheng, 2000;Capon, Fitzsimons, & Weingarten, 1994;Hili, Pace, & Grima, 2016;Ramasamy & Yeung, 2003;Sapp & Tiwari, 2004). The past performance influenced future performance and investors should invest in best performing funds (Trainor, 2012).…”

Section: Introductionmentioning

confidence: 99%

Performance Evaluation of Banks Sponsored Mutual Funds: An Analytical Study

Sharma

Didwania

Kumar

2019

Paradigm: A Management Research Journal

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This research paper inspects the comparative performance evaluation of banks sponsored Indian mutual funds using traditional measure. The data comprises 166 open-ended equity, debt, liquid and equity linked saving schemes (tax savings) schemes during the period of April 2006–March 2017. The evidence shows that all sample schemes are well diversified. Public sector banks sponsored get first ranked because good return, all positive and diversified schemes and efficient performance of portfolio management as compared to Private sector and UTI banks sponsored mutual funds.

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Equity Mutual Fund Performance Evaluation: An Emerging Market Perspective

Cited by 4 publications

References 36 publications

A Performance Evaluation of Ethical Mutual Funds: Evidence from India

A Performance Evaluation of Ethical Mutual Funds: Evidence from India

Performance Appraisal of Asset Management Companies in Bangladesh

Performance Evaluation of Banks Sponsored Mutual Funds: An Analytical Study

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