Performance of fixed-income mutual funds with regime-switching models

Ayadi, Mohamed; Lazrak, Skander; Liao, Yusui; Welch, Robert L.

doi:10.1016/j.qref.2018.03.005

Cited by 7 publications

(5 citation statements)

References 34 publications

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“…The impact of financial development on economic growth was investigated using the Markov switching framework. To avoid estimation of a large number of parameters when the number of regimes increases, we consider a parsimonious state-dependent finance-growth model with two regimes (Ayadi et al, 2018). This choice is also more intuitive to interpret empirical results because the behavior of economic growth is generally depending on the trends of the economy, such as a high-or low-growth regimes.…”

Section: Regime Switching Modelmentioning

confidence: 99%

Does Financial Sector Promote Economic Growth in Pakistan? Empirical Evidences From Markov Switching Model

2020

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This study investigates the financial development–economic growth relationship in Pakistan over the period 1975–2017 using the Markov Switching methodology. The financial development index has been constructed using the principal component analysis. Unexpectedly, the empirical result shows that financial development contributing negatively to economic growth in the high and the low economic growth regimes in Pakistan. Moreover, the results indicate that labor force retards economic growth with a higher magnitude. A significant positive effect of gross fixed capital formation on economic growth is also observed. The results reveal that policymakers may revisit the financial development policies so that the financial sector may contribute positively to economic growth process in Pakistan. In this respect, more steps are needed to further liberalize the financial sector to enhance economic growth in Pakistan.

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Section: Regime Switching Modelmentioning

confidence: 99%

Does Financial Sector Promote Economic Growth in Pakistan? Empirical Evidences From Markov Switching Model

2020

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“…Other studies have been developed not specifically to compare the results of different performance measures, but to effectively evaluate investment fund performance: that of Fonseca et al (2007), who evaluated the performance of fixed income and stock funds, adopting the Sharpe ratio and Sortino ratio; and those of Ayadi and Kryzanowsky (2011) and Ayadi et al (2018), who evaluated the performance of Canadian fixed income funds based on a multifactor model that incorporates indicators from the fixed income segment and other factors.…”

Section: Investment Fund Selection Techniquesmentioning

confidence: 99%

“…Non-linear terms of the reference indexes adopted were also introduced into the model, as done by Treynor and Mazuy (1966) and reproduced by Ayadi et al (2018) and Oreng et al (2017) in their analysis of fixed income funds. With this, it is possible to verify whether the managers of the fixed income funds have market timing ability: if the coefficients estimated for these non-linear variables are different from 0, there will be indications that the manager presents that ability.…”

Section: Regression Model Alphamentioning

confidence: 99%

Investment fund selection techniques from the perspective of Brazilian pension funds

Paula

Iquiapaza

2022

Rev. contab. finanç.

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The aim of this article was to evaluate the effectiveness of investment fund selection techniques from the perspective of Brazilian pension funds. Asset liability management (ALM) and liability driven investment (LDI) strategies are usually adopted to guide pension fund managers in relation to strategic allocation in asset classes that should compose their investment portfolios and to the liquidity needed in each period, but not specifying in which assets to allocate resources from among the infinity of assets available in the financial market. This article contributes to tactical management in the fixed income and stock segments outsourced via funds and demonstrates that adopting simple indicators can increase investment performance. The article broadens the knowledge on pension fund investment decisions and creates confidence in the adoption of the Sharpe ratio as a technique for choosing investment funds. We analyzed the returns obtained by hypothetical portfolios built using the following techniques: (i) the Sharpe ratio; (ii) the alpha of a multifactor model; (iii) data envelopment analysis (DEA) efficiency; and (iv) the different combinations of these techniques. We considered information on 369 funds from 2013 to 2018, adopting 12 temporal windows for choosing and re-evaluating the portfolios. The returns obtained were compared with the mean actuarial goal of the benefits plans administered by the pension funds, by means of the unplanned divergence (UD). When outsourcing pension fund investments in fixed income and stock investment funds it was verified that the Sharpe ratio contributes significantly to pension fund performance, compared with other indicators and techniques or a combination of them.

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“…Huij and Derwall, 2008). One of the rare papers evaluating the performance of mutual funds by means of univariate and multivariate regime-switching models was the study by Ayadi et al (2018). They applied the Markov chain procedure in the Treynor-Mazuy timing model in order to obtain reliable inferences on the market timing ability of Canadian fixed-income fund managers.…”

Section: Previous Researchmentioning

confidence: 99%

Analysis of Polish mutual funds performance: a Markovian approach

Filip

Rogala

2021

Statistics in Transition New Series

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The aim of this study is to determine whether mutual funds provide benefits for their clients. The performance of Polish mutual funds has been evaluated in terms of their efficiency, including their potential inertia over time. Moreover, the use of the phenomenon of economies of scale resulting from assets inflow to the fund by means of the Markovian framework has been examined. The results are consistent with the efficient market hypothesis. When assessing the market-adjusted returns, underperformance was noticed in both small and large funds. The smart money effect, recognised in the literature, is not confirmed here; however, there are some noticeable investor reactions, such as the phenomenon of chasing performance.

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Performance of fixed-income mutual funds with regime-switching models

Cited by 7 publications

References 34 publications

Does Financial Sector Promote Economic Growth in Pakistan? Empirical Evidences From Markov Switching Model

Does Financial Sector Promote Economic Growth in Pakistan? Empirical Evidences From Markov Switching Model

Investment fund selection techniques from the perspective of Brazilian pension funds

Analysis of Polish mutual funds performance: a Markovian approach

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