The Performance Persistence of Equity and Blended Mutual Funds in Kenya

Dawe, Mohamed Shano; Pokhariyal, Ganesh P.; Mwaura, Muroki F.

doi:10.5539/ijef.v6n8p153

Cited by 5 publications

(2 citation statements)

References 26 publications

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“…In the African context, Dawe et al (2014) investigate the performance of seven equity and blended mutual funds in Kenya from 2006 to 2009. Using Grinblatt and Titman’s (1993) method, which regresses the performance at time t against performance at time t −1, the results indicate a significant evidence of persistence over a one-year evaluation period.…”

Section: Literature Reviewmentioning

confidence: 99%

Performance evaluation of equity unit trusts in South Africa

Thobejane

Simo-Kengne

Mwamba

2017

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Purpose The purpose of this paper is to evaluate the performance of 191 equity unit trusts in an emerging market, South Africa over the period from February 2006 to January 2016, which captures different market conditions (pre-global financial crisis, crisis and recovery periods). Besides testing for managerial ability, both cross-sectional regression and the non-parametric rank correlation test are used to test whether the performance generated by unit trusts does persist. Design/methodology/approach To evaluate the managerial ability of portfolio managers, two widely used methods, the Treynor-Mazuy (1966) model and Henriksson-Merton (1981) model, are employed. Both models test whether portfolio managers have stock selection and market timing ability. The cross-sectional regression and the rank correlation test are implemented which account for both parametric and non-parametric approaches of persistence testing, respectively. Findings Weak evidence of stock selection as well as market timing ability was found. Moreover, most of the unit trusts are reported to have insignificant coefficients. When testing for performance persistence using returns, the Sharpe ratio and the Sortino ratio as performance metrics, the overall results also revealed weak evidence of persistence that is equally spread across winning and losing funds. Originality/value While research on unit trusts’ performance has been conducted in emerging economies, little has been done in testing for managerial ability in general and in South Africa in particular. Moreover, the research tends to focus more on one class – Equity General. This paper extends the performance literature by testing whether portfolio managers in the South African equity unit trusts industry have stock selection and market timing ability.

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Section: Literature Reviewmentioning

confidence: 99%

Performance evaluation of equity unit trusts in South Africa

Thobejane

Simo-Kengne

Mwamba

2017

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“…Based on the research gap above, this research will reveal further about the effect of macroeconomic variables on the NAV of mutual funds, especially Islamic mutual funds. Dawe, Pokhariyal, & Mwaura (2014) evaluates the performance persistence of equity and blended mutual funds in Kenya for the period from 2006 to 2009. The general finding was that for both equity and blended fund, there was evidence of performance differences which tend to persist over time.…”

Section: Introductionmentioning

confidence: 99%

Macroeconomic variables towards net asset value of sharia mutual funds in Indonesia and Malaysia

Sumantyo

Savitri

2019

Jurnal Keuangan Dan Perbankan

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An empirical evaluation of the performance of Nigerian pension fund managers

Ajadi

2024

AJEMS

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PurposeThis paper evaluates the risk-adjusted returns, selectivity, market timing skills and persistence of the performance of Nigerian pension funds.Design/methodology/approachAnnual return data of 23 pension funds that operated in Nigeria between 2018 and 2022 were obtained from the National Pension Commission (PenCom). Risk-adjusted return was appraised using the Treynor ratio, Sharpe ratio and Jensen alpha, while the Treynor–Mazuy and Henriksson–Merton multiple regression models were applied to decompose selective and timing skills. Performance persistence was assessed using the contingency table and rank correlation models.FindingsEvidence shows that pension funds deliver excess risk-adjusted returns and exhibit selective skills. However, the evidence does not support the presence of timing skills, and there is overwhelming evidence that good (bad) performance does not repeat.Practical implicationsAn evaluation of the investment performance of pension funds is crucial for ensuring the financial stability of retirees, maintaining economic stability and making informed investment decisions. It serves the interests of pensioners, pension fund managers, regulators and the broader economy. Our evidence that pension funds generate positive excess returns is a departure from most of the literature on managed funds. We recommend that more Nigerians should leverage the pension fund industry to grow their wealth and prepare for retirement.Originality/valueThis study, to our knowledge, is the first to appraise all the key facets of the investment performance of pension funds in the Nigerian context.

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The Performance Persistence of Equity and Blended Mutual Funds in Kenya

Cited by 5 publications

References 26 publications

Performance evaluation of equity unit trusts in South Africa

Performance evaluation of equity unit trusts in South Africa

Macroeconomic variables towards net asset value of sharia mutual funds in Indonesia and Malaysia

An empirical evaluation of the performance of Nigerian pension fund managers

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