Institutional investment management: An investor's perspective on the relation between turnover and performance

Mingo‐López, Diego Víctor de; Matallín‐Sáez, Juan Carlos

doi:10.1080/10293523.2017.1414370

Cited by 3 publications

(7 citation statements)

References 37 publications

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“…They find that large fund size erodes fund performance because trading large amounts associate with illiquidity or price impact as easily to draw other market participants' attention. However, this empirical result is different from the study of Mingo-López et al, (2018) which find a positive relationship between them whereas the prior study in Thailand from Tangjitprom (2014) finds that fund size and performance have a quadratic relationship not linear in 2006-2012. The reason for the difference could be diverse in the observed period.…”

contrasting

confidence: 95%

“…Thai active mutual funds underperform the market in a net returns basis, the portfolio returns of 'High' turnover portfolio is indifferent with 'Low' turnover portfolio and the moderate turnover portfolios significantly underperform the market. While the result from the study of Mingo-López et al, (2018) also indicates all portfolios underperform the market. However, the superior performance is the low turnover portfolio and fund performance is worsens as a high level of turnover ratio but these results are insignificant.…”

Section: Figure 1: Comparative Portfolios Return With Market Returnmentioning

confidence: 97%

“…The table 8 presents the monthly return and standard deviation of each portfolio according to the past turnover ratio and past performance. According to study of Mingo-López et al, (2018). They find that investing in mutual funds with the lowest levels of the past turnover ratio is better than the funds with the highest levels of past turnover.…”

Section: 2) To Examine Fund Performance Based On the Past Portfolio T...mentioning

confidence: 99%

“…Carhart (1997) finds that every time the turnover increases for 100 basis-point, annual abnormal return will drop by 95 basis-points. Mingo-López et al, (2018) indicate that high-turnover funds cannot beat low-turnover funds and investing in the past high-turnover mutual funds provides investors with significant worse results than investing in previous low-turnover funds.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

The Relation Between Portfolio Turnover and Mutual Fund Performance:�Evidence from Thailand

Yapiangplook

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This paper examines whether the active management strategy can outperform the market by using turnover ratio as the proxy. Turnover ratio is the percentage of changing funds holding in a given year. Therefore, a high turnover ratio can indicate an active management. This paper will focus on an active equity fund in Thailand from 2010 to 2019. The first objective is to examine the effect of the different levels of turnover ratio on fund performance. This objective sorts mutual funds based on their turnover ratio. The findings are the performance of the high-turnover funds are indifferent from the low-turnover funds and the moderate-turnover funds significantly underperform the market and in the aggregate, active funds underperform the market in the net return basis which supports the Efficient Market Hypothesis that investors have the same information. Thus, the buy-and-hold strategy is preferred in Thai mutual fund industry. The second is to examine the subsequent performance by using the past turnover ratio and past performance as an investment strategy. The result suggests that there is no strategy that significantly beat the market. At the same levels of the past performance, investing in the past high-turnover ratio is indifferent from investing in the past low-turnover ratio. While investing in fund with moderate turnover ratio in the past without considering its past performance will significantly lead to adverse return in the subsequent year. The third objective is to investigate the relationship between portfolio turnover and mutual fund performance by employing panel regression, panel vector autoregression, and panel granger causality. These three approaches affirm that there is no relation between turnover and mutual fund performance. Additionally, the result of impulse response function (IRF) and forecast-error variance decomposition (VDC) indicates that the variability of trading activities is explained by the shocks of performance. In contrast, shocks to trading activities do not tend to have an impact on corresponding performance.

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contrasting

confidence: 95%

Section: Figure 1: Comparative Portfolios Return With Market Returnmentioning

confidence: 97%

Section: 2) To Examine Fund Performance Based On the Past Portfolio T...mentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

The Relation Between Portfolio Turnover and Mutual Fund Performance:�Evidence from Thailand

Yapiangplook

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“…Lack of operationalization of "growth rate": existing studies apply the growth rate to generalize, but seldom to measure, the "momentum" of growth, which can affect the speed of the innovation and turnover process [35,36].…”

mentioning

confidence: 99%

Strategic Investment Decisions for Emerging Technology Fields in the Health Care Sector Based on M&A Analysis

2021

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The existing approaches to identification of emerging technologies create a prominent opportunity for technology convergence and market growth potential. However, existing approaches either suffer from the time lag issue or have yet to explorethe assessment’s uncertainty and ambiguity. Based on a total of 14 years of mergers and acquisitions (M&A) activity data in the Health Care sector, the complex patterns between growth velocity and accelerating of M&A activities are analyzed with two quantitative indicators (Promising Index and Promising Index Sharpe Ratio) to identify emerging technological opportunities. The proposed integrative approach offers a mean to resolve the time lag issue, deal with market trend irregularity, and manage expectations of investors for emerging technology and industry. Specifically, this study aims to (i) provide a decision support system integrating M&A activity information for strategic investment planning and (ii) identify promising technologies in the Healthcare sector to manage the irregularities of market trend and investment outcome. This study is one of the first research that employs a prior data-based approach to delineate emerging technologies by analyzing the growth momentum properties of specific industry areas based on the M&A activity data.

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Funds Manager and Mutual Funds Characteristics on Mutual Funds Performance: Empirical Evidence of Equity Mutual Funds in Indonesia

Rachmawati¹,

Wahyudi²,

Pangestuti³

et al. 2020

IJFR

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This study examines the effect of investment fund managers' characteristics in the form of tenure, and mutual fund characteristics with proxy turnover portfolios, market timing and stock selectivity on the performance of stock mutual funds. The research sample is 27 stock mutual funds in Indonesia that were active from 2013 to 2017. On the analysis of the relationships between the characteristics of investment managers and mutual funds characteristics on the performance of stock mutual funds, a series of OLS regressions were run. The panel data regression was included based on using the Eviews. All of the above were aimed at achieving portfolio optimization and realizing the maximization of the interests for fund management companies and investors. The main findings are as follows. Tenure does not affect the performance of stock mutual funds during the years 2013 to 2017, but if divided into 2 quadrants of tenure, namely tenure over 19 years and tenure under 19 years of work, the result is that tenure over 19 years has a positive effect on the performance of stock mutual funds, but tenure brought 19 years has no effect on the performance of equity funds, whereas mutual funds characteristics, which are proxied by portfolio turnover, market timing and stock selectivity, have a significant positive effect on the performance of equity funds in Indonesia. The primary limitation in the scope is the sample, because stock mutual funds that publish consistently Financial statements between 2013 and 2017 are few in number. These findings have important implications for fund management companies as input material that the investment strategy of the investment management team affects the performance of equity funds compared to the characteristics of investment managers with proxies for years of service. This paper proposes a new perspective to evaluate the relationship between the fund manager and mutual funds characteristicsanddivide 2 groups of working years, and calculate them with non-linear models.

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Institutional investment management: An investor's perspective on the relation between turnover and performance

Cited by 3 publications

References 37 publications

The Relation Between Portfolio Turnover and Mutual Fund Performance:�Evidence from Thailand

The Relation Between Portfolio Turnover and Mutual Fund Performance:�Evidence from Thailand

Strategic Investment Decisions for Emerging Technology Fields in the Health Care Sector Based on M&A Analysis

Funds Manager and Mutual Funds Characteristics on Mutual Funds Performance: Empirical Evidence of Equity Mutual Funds in Indonesia

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