Persistence in Mutual Funds in Latin American Emerging Markets

Muga, Luis; Rodríguez, Adriana; Santamaria, Rafael

doi:10.1177/097265270700600101

Cited by 8 publications

(6 citation statements)

References 25 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…This is contrary to the findings of generic persistence in mutual funds' returns in emerging markets (see, e.g. Muga et al ., 2007). Further, we note that momentum contributes a dominant share of the excess returns of the winner and loser funds.…”

Section: Mean-reversion In Excess Returnscontrasting

confidence: 99%

Mutual funds' performance and relative strength of factor exposures

Chauhan

2022

View full text Add to dashboard Cite

PurposeThe purpose of this study is to measure mutual funds' manager performance by attributing it to their abilities to choose better securities (selectivity effect) and to allocate these securities better than their benchmarks (allocation effect). The study enables the authors to examine the relative contributions of the commonly known asset-pricing factors in mutual funds' performance.Design/methodology/approachTo examine managers' ability to steer funds' returns, the authors conduct a two-dimensional holdings-based analysis using factor-specific decomposition of funds' excess returns into their ability to select and allocate securities better than their benchmarks. Subsequently, the authors conduct an analysis of the covariance (ANCOVA) due to these factors in explaining funds' excess returns over time.FindingsWhile managers' ability to choose better securities than the benchmarks (the selectivity effect) appears modest, some funds (especially the winners) allocate securities in their portfolios better than their benchmarks (the allocation effect) based on their exposures to certain factors (e.g. the momentum factor for the winner funds). However, although funds consistently gain through their ability to predict the size and value factors well, they do not consistently possess the skills to predict the momentum factor.Research limitations/implicationsAlthough the paper analyzes all the available diversified funds, the sample excludes several other categories, such as thematic and international funds. Further, the analysis is based on equity-oriented Indian funds. Broader studies of changes in factor exposures and the inclusion of more factors apart from those conventionally used may shed more light on the managers' ability to maneuver these factors.Practical implicationsThe results show that mutual fund managers lack persistence in their performance, even though some of them could predict specific factors well. Since the activity in active mutual funds could not lead to superior performance over time, investors could be better off by selecting cheaper passive funds for their long-term investments.Originality/valueThe paper presents a novel approach to studying funds' performance by conducting a two-dimensional holdings-based analysis to capture the relative contributions of common asset-pricing factors in the cross-section as well as over time.

show abstract

Section: Mean-reversion In Excess Returnscontrasting

confidence: 99%

Mutual funds' performance and relative strength of factor exposures

Chauhan

2022

View full text Add to dashboard Cite

show abstract

“…Para el mercado mexicano, existe una evaluación de los riesgos y rendimientos de los fondos (Rodríguez, 2004) utilizando los índices de Sharpe (1966) y Treynor (1965, así como el Alfa de Jensen. Concluye que la mayoría de los fondos de renta variable en México presentaron resultados inferiores a los del Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores (BMV), durante el periodo 1998-2003. El segundo y más reciente trabajo (Muga, Rodriguez y Santamaría, 2007) utilizan el modelo de Carhart como parte de la metodología de análisis de persistencia, en una muestra de fondos de inversión libre de sesgo de supervivencia, para el periodo 1992 a 2002. Los resultados muestran relación directa entre el retorno de los fondos y el factor tamaño, así como la existencia de persistencia de corto y largo plazo.…”

Section: Revisión De La Literaturaunclassified

Performance analysis of the mexican equity mutual funds

Feria

2016

EFR

View full text Add to dashboard Cite

El objetivo del presente trabajo es profundizar en el estudio del desempeño de los × ±ǡ ϐble discrecionales, durante el período comprendido entre 1993 y 2012. Se adopta el enfoque de la teoría de carteras, encontrando que los resultados obtenidos son coherentes con los realizados para otros países en cuanto al tipo de relación entre los factores de riesgo y los retornos de los fondos, con excepción del factor momentum que presenta relación inversa, esto se presenta independientemente de los años de ϐ ǡ para el mercado mexicano. ϐ× ǣ G14, G11, C23 Palabras clave: desempeño, fondos de inversión, gestión de portafolio.

show abstract

“…Several country‐specific studies to the performance of the mutual fund industry are available for, e.g. Sweden (Dahlquist et al , 2000), Italy (Cesari and Panetta, 2000), and Japan (Chan and Yamada, 1997), Mexico (Muga et al , 2007), and Greece (Sorros, 2001). …”

Section: Notesmentioning

confidence: 99%

Performance evaluation of Polish mutual fund managers

Swinkels

Rzezniczak

2009

International Journal of Emerging Markets

View full text Add to dashboard Cite

PurposeThe purpose of this paper is to empirically assess the investment performance of mutual fund managers who operate in the Polish market.Design/methodology/approachThe paper uses monthly mutual fund returns over the period 2000‐2007 to investigate the manager's selectivity and market timing skills. It analyzes three investment mutual fund investment categories: equity, balanced, and bond mutual funds. The paper investigates several performance evaluation models, and shows that the findings are robust with respect to the model choice.FindingsFor each of the three categories, equity, balanced, and bond funds, the paper positive, but insignificant selectivity skill of the mutual fund managers. No evidence is found of bond or equity market timing skills in the sample.Research limitations/implicationsSince not many mutual funds exist over a long period, the sample used is relatively small with 38 mutual funds, while in April 2007 more than 300 funds are listed in the Polish market.Practical implicationsPrivate investors in Poland are not worse off by investing in mutual funds compared to passive market indices. Based on this research, they should select mutual funds that focus on selectivity rather than market timing.Originality/valueThe research on mutual fund manager skill in emerging economies is scarce. In addition, little is known on the performance of balanced and bond mutual funds, even in developed mutual fund markets. This paper contributes by filling both these gaps in the academic literature.

show abstract

Persistence in Mutual Funds in Latin American Emerging Markets

Cited by 8 publications

References 25 publications

Mutual funds' performance and relative strength of factor exposures

Mutual funds' performance and relative strength of factor exposures

Performance analysis of the mexican equity mutual funds

Performance evaluation of Polish mutual fund managers

Contact Info

Product

Resources

About