Top Research Papers on Mutual Funds

Abstract Purpose: This study aimed to examine the differences in the performance of Islamic mutual funds with mutual funds based on the Sharpe and Jensen method for the 2010-2020 period in the Indonesian Capital Market. Research Methodology: The study uses a quantitative approach to the type of comparative research. The data used is secondary data from OJK. The population used in this study is the capitalization of sharia mutual fund performance data with mutual funds, the period 2010-2020 (monthly data) in the Indonesian Capital Market. Data analysis was carried out using the Sharpe and Jense...

Mutual funds as one of the investment instruments in Indonesia continue to grow and try to provide product choices with the maximum possible return. Investors need good mutual fund knowledge in order to be able to take the right steps according to the type of each investor in investing. This research aims to analyze the performance of money market mutual funds, fixed income mutual funds, mixed mutual funds, and stock mutual funds in Indonesia in the period 2015-2020. This performance measurement is done using Sharpe's Measure, Treynor's Measure, Jensen's Measure, and Appraisal Ratio. The resul...

This study aims to compare the performance assessment of Islamic and conventional mutual funds for 2017-2021. This study uses quantitative research, which analyzed the performance of Islamic and conventional mutual funds for 2017-2021. This study relies on secondary data collected from the official website of the Financial Services Authority (OJK). The research compares the performance of Islamic stock mutual funds, mixed mutual funds (comprising both Islamic and conventional funds), and mixed conventional mutual funds using the Sharpe, Treynor, and Jensen methods. Among these methods, the Sha...

In this dissertation I investigate the mutual fund industry, especially the three most important participants within this industry: mutual fund investors, mutual fund companies and mutual fund managers. The main research questions of this dissertation are: 1. Does rapid trading exist among German equity mutual fund investors? What are the determinants of rapid trading? Does rapid trading have a negative impact on mutual fund performance? 2. Do mutual fund investors, as a whole, have asset allocation abilities regarding their mutual fund investments? Are there differences in asset allocation...

This paper investigates mutual funds’ potential “greenwashing” behavior. Funds profiled as ESG- based receive higher inflows compared to other similar funds. Importantly, we show this is true also for ESG labeled funds having inferior objective ESG profiles, as based on Morningstar sustainability ratings, applying to both retail and institutional funds. An analysis of mutual funds repurposing into ESG focus shows that fund families especially tend to convert such funds whose ability to attract in-flows has been lagging behind. Documenting and uncovering the motives for greenwashing is vital in...

ABSTRACT While most of the mutual fund performance literature focuses on returns only, a recent strand examines the activity level of portfolio managers and how this activity affects portfolio performance. We add to this literature in two ways. First, we examine asset allocation mutual funds, noting there are few studies examining this type of fund. We note our method of examination can be modified for any type of fund. Second, we use a weight-based method that separates fund performance into components, one of which provides a new measure of manager activity. Because this new measure is a com...

We study mismarking of newly purchased odd lot and two classes of round lot structured product positions in mutual funds. Such mismarking artificially inflates net asset values and overstates cumulative returns. Applied to funds launched after January 2010, a simulation-tested mismarking fund filter identifies 12 Highly Questionable funds managing $75 billion. The performance of these funds matches closely the predicted pattern of mismarking: extremely high alpha and skewness, particularly immediately after launch. We show that structured product mismarking can seriously inflate return-since-i...

We examine the effect of mutual fund fee structure on mutual fund exit mode and timing. The evidence presented herein is consistent with fee maximization by mutual fund sponsors or managers, increased conflicts of interest for funds charging 12b-1 fees and higher management fees, and a pecking order for mutual fund exit method. Specifically, mutual fund exits that result in decreased fee income are delayed relative to exits that do not and exit strategies that retain fee income are more likely than strategies that do not.

Climate change poses new challenges for portfolio management. In our not-yet-low carbon world, investors face a trade-off between minimizing their exposure to climate risks and maximizing the benefits of portfolio diversification. This paper investigates how investors and financial intermediaries navigate this trade-off. After the release of Morningstar’s novel carbon risk metrics in April 2018, mutual funds labeled as “low carbon” experienced a significant increase in investor demand, especially those with high risk-adjusted returns. Fund managers actively reduced their exposure to firms wi...

This study examines the influence of mutual fund factors and macroeconomic factors on the performance of equity funds in Indonesia. This study uses fund size, expense ratio, turnover ratio, and market timing ability as mutual fund factors. Meanwhile, the macroeconomic factor use inflation, economic growth, and the money supply. Mutual fund performance is measured using actual return and Jensen alpha. The sample used in this study is equity funds listed on the Indonesia Stock Exchange (IDX) from June 2016 to May 2020. There are 53 equity mutual funds obtained as a sample. This study uses panel ...

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...

This study aims to analyze the effect of market timing ability and fund size of mutual funds on the performance of equity funds. This research was conducted at a mutual fund company registered in the Financial Services Authority (OJK) 2018-2019 period. This study uses purposive sampling with a total sample of 65 mutual fund shares. The type of data used is quantitative data and data sources in the form of company annual financial statements. Data analysis tools used are descriptive statistics and panel data regression. The results of this study indicate that the market timing ability has a sig...

Using data on Spanish mutual funds, we show that bank-affiliated funds provide funding support to their parent company via purchases of bonds in the primary market. Support from affiliated funds is more sizeable in crisis times and for riskier banks. These trades generate negative abnormal returns and thus benefit banks at the expense of fund investors. To minimize negative effects on their asset management business, banks concentrate the burden of funding support in funds without performance fees and those catering to retail investors. We provide evidence consistent with funding support hel...

Do risk disclosures by mutual funds reflect funds’ actual investment risks? Using textual analysis, we examine risk disclosures in funds’ summary prospectuses to determine whether funds do accurately disclose their risks. We first document the types of risks disclosed by funds and study the relation between fund-disclosed risks and risk factors documented in academic studies. We find that most disclosed risks can be linked to meaningful and well-known academic risk factors. In our main tests, we develop fund-level measures to evaluate the informativeness of funds’ risk disclosure, including ri...

PurposeThe paper examines how equity mutual funds manage their liquidity. Specifically, the authors investigate what strategies fund managers use to meet investor redemption demand, whether these strategies vary over time, whether different type of funds employ different liquidation practices in response to fund outflows, and whether liquidity strategies impact fund performance.Design/methodology/approachThis study uses a sample of U.S. actively managed equity funds over the period 1990–2019. The authors use three different measures to capture funds' liquidity management practices. The authors...

India is emerging as the next big investment destination, courtesy its high savings and investment rate, as compared to other Asian economies. In present changing market environment, mutual funds are seen as a transparent and low cost investment option which attracts investorsand help in the growth of the industry. Normally, The Private Sector Mutual Funds have recorded much better performance as compared to the Public sector Mutual Funds mainly due to better Funds allocation, better Management and efficient performance of Portfolio Manager. Thus, this study is an effort to analyze and compare...

Purpose: This study examined the performance of mutual fund and mutual fund manager in Pakistan during the period of Jul, 2006 to Jun, 2016. The objective is to found the funds’ performance through risk and return and ability to forecast the funds return by mutual fund manager. Methodology/Design: The data will be used from the authentic source of SBP publication (State Bank of Pakistan) and MUFAP (Mutual fund association of Pakistan) of 54 mutual funds working in Pakistan. The data will be analyzed by using Statistical tests of Sharpe ratio, Sortino ratio, Treynor measure and Information rat...

Generally, when an investor decides to study the investment options readily available in today's confusing, complex and risky environment, he thoroughly evaluates all the investment options. While evaluating such multiple options, prima facie, he naturally considers several factors like Past performance of the option under study, Risk adjusted returns from the invested plan, Share in the portfolio policy, Fund house, Back Returns i.e. percentage of Interest/Dividend and Consistent rate of return on investment, to mention a few. In the words of Warren Buffett, “Risk comes from not knowing what ...

From the perspective of Chinese equity fund shareholding, the authors study the economic consequences of institutional investors’ shareholding illiquidity. They use the stock holding data of Chinese mutual funds to verify that the illiquidity of mutual funds’ stock holding brings fragility to individual stock returns. Specifically, to meet investor redeeming requirement, illiquid fund managers are forced to fire-sale assets. The selling pressure created by this behavior causes the stock to be traded at a price lower than its true value, increasing the stock price collapse risk. Finally, using ...

In an embodiment, an asset allocation mutual fund comprises assets invested, at any one time, substantially 100% in one of stocks, bonds or cash equivalents. As market conditions change, as indicated by changes in the output of Stock and bond models, substantially all of the assets may be shifted from one of these three asset classes to another. A method for allocating assets in a mutual fund, among the three asset classes, according to one embodiment includes, first deter mining whether a buy signal has been given on Stocks using a stock model. If a buy signal has been given on Stocks, Sub st...

Mutual funds were first established in Iran in 2007 under Securities Market Act 2005 and have since grown significantly to one of the most important capital market intermediaries. Hence understanding and evaluating the performance of these funds are critical to both investors and fund managers. This research aims to examine the effects of various mutual fund attributes and characteristics, namely past performance, size, expenses ratio, turnover ratio, number of funds under fund manager’s management, and type of institution of fund founder, on their current performance. For this purpose, a samp...

With an increase in the number of fund houses entering the asset management business, the Indian Mutual Fund Industry has turned into a competitive marketplace. An increase in the number of schemes translates to increased choice (and confusion) for investors, while for fund managers, it means more pressure to beat the benchmark indices. Correlation research method is used on scheme variables such as Assets Under Management (AUM), Expense Ratio, and the Monthly Returns of select Indian Midcap Schemes for the period January 2016 to 2021 to determine the statistical relationships between the vari...

: This research paper provides an overview of the mutual fund industry in India, including its various aspects such as history, growth, types, advantages, and challenges. The mutual fund industry has experienced significant growth in recent years. Over a period of time it has been equipped with a diverse range of products and professional management. However, the industry faces many challenges such as lack of awareness, regulatory changes, market volatility, and lack of transparency. The paper concludes that the mutual fund professional or companies need to address these challenges and work to...

The reform of the pension system results of the need of investing for pension fund.Pension fund is striving to invest on capital market.Facing of high risk in the capital market,countries of the world have choosed the way that putting the pension fund into mutual fund.This text analyzed the interaction and mutualism between pension fund and mutual fund,and advanced some suggestions to promoting the mutualism between the two.

A dynamic graph neural network approach to model these heterogeneous relationships and their contributions to mutual fund performance using the graph attention mechanism and uses latent embedding for mutual funds and their invested assets dynamically in each month and then uses the embedding to estimate future returns.

Mutual funds provide various facilities that make saving and investing simple, accessible and affordable, by using professional management, diversification, variety of products, liquidity, affordability, convince. Moreover, strict government regulation and full disclosure of information makes the investment more secures in India. In India mutual funds market the key area of interest of market experts are understanding the investor's expectations and meeting those expectations. The mutual fund sector is one of the fast growing sectors in Indian economy and has tremendous potential for sustained...

ICICI Prudential Debt Mutual Funds offer a range of fixed income investment options designed to provide stability and income potential to investors. This study aims to evaluate the risk and return characteristics of selected debt mutual funds offered by ICICI Prudential Mutual Funds. It seeks to provide a comprehensive assessment of these funds by employing well-recognized evaluation tools, including Treynors Ratio, Standard Deviation, and Mean Return. The research findings are of significant importance to prospective investors and stakeholders in the financial industry, shedding light on the ...

This article is a condensed version of a lecture presented February 2008 at the 27th Annual Manuel F. Cohen Memorial Lecture at the George Washington University Law School in the United States.

The Indian mutual fund industry witnessed a remarkable performance in the past 30 years. After independence, with the joint effort of the Indian government and the Reserve Bank of India, the establishment of Unit Trust of India marked the beginning of the mutual fund industry in India. With the opening of mutual fund industry in India, investors started taking the advantage of multiple investment opportunities. This leads to increase in savings to the funds along with banks. Mutual funds have given consistent favorable returns over the past year despite of slow growth. For making an investment...

Besides critical advertising, theoretical experience is of no interest. Classroom theoretical experiments are not adequate to determine the working or purpose of science. This will therefore become important in line with some quest challenge function. Practical job Theoretical experiments are augmented, i.e. they cover what is left loosely between groups. This opens a scholar to the good will of encounters. I finished my project "MUTUAL FUNDS" during the quest process I had the choice of evaluating precious items, which I would be able to study through theoretical courses. In short, my entire ...

This above study focused on a comparative analysis of selected aggressive hybrid and conservative hybrid mutual fund schemes in Indian mutual fund market, covering the period from January 2020 to December 2023. The study aims to evaluate the performance of these mutual fund schemes and compare their risk and return components. Data for the analysis was collected from secondary sources, including historical Net Asset Values (NAV) and Factsheets provided by Asset Management Companies (AMCs). Various statistical tools such as Rate of Return (RoR), Alpha, Beta, Standard Deviation, Sharpe ratio, Je...

We study the relationship between crowding and performance in the active mutual fund industry. We construct a fund-specific measure of crowding using the equity holdings overlap of 17,364 global funds. Funds in the top decile of crowding underperform passive benchmark funds by 1.4% per year. The impact of crowding on performance cannot be attributed to diseconomies of scale. We explore several mechanisms: a preference for liquid stocks, externalities of peer fund flows, and a coordination problem. We find strongest support for a preference for liquid stocks. Our findings reveal that the tenden...

We analyze mutual fund benchmark changes using hand-collect SEC prospectuses. Under existing rules, funds can change their self-designated benchmark indices and compare their historical returns to those of the new benchmarks, that is, funds can potentially ``backdate'' their relative performance. We find that funds take advantage of this loophole in order to retroactively embellish their performance along several dimensions. Funds with low past performance and flows and less sophisticated clientele are more likely to engage in this behavior. Benchmark changing is associated with other deceptiv...

This is a survey article. In it we review the modern literature on the characteristics and performance of mutual funds. Key articles on open end stock and bond funds, closed end funds and exchange traded funds are reviewed. Topics range from measuring and predicting performance to explaining pricing and growth.

Mutual funds hold 32% of the U.S. equity market and comprise 58% of retirement savings, yet retail investors consistently make poor choices when selecting funds. Theory suggests that poor choices are partially due to mutual fund managers creating unnecessarily complex disclosures and fee structures to keep investors uninformed and obfuscate poor performance. An empirical challenge in investigating this “strategic obfuscation” theory is isolating manipulated complexity from complexity arising from inherent differences across funds. We examine obfuscation among S&P 500 index funds, which have la...

This article examines those mutual funds classified by Morningstar as “Alternative.” It follows an earlier article appearing in the Winter 2014 issue of The Journal of Alternative Investments, “Hedge Funds versus Mutual Funds: An Examination of Equity Long/Short Funds,” which concluded that the market exposures and performance of these equity long/short mutual funds did not materially differ from private placement hedge funds, at least as represented by broad hedge fund indexes. This issue’s article examines a second investment style within Morningstar’s “Alternative” mutual fund classificatio...

This study examines how internal and macroeconomic factors influence mutual fund performance. This study includes an analysis of the impact of internal characteristics such as fund size, fund age, cash ratio, and expense ratio. The macroeconomic factors are the commercial bank rate, the inflation rate, and the stock index. Six mutual funds from the list of closed-end mutual funds were selected as a sample for descriptive and causal-comparative analysis to draw conclusions. Fund size, fund age, cash ratio, expense ratio, commercial bank rate, inflation rate, and Nepal Stock Exchange (NEPSE) ind...

Findings – The results show that the RDPT performance is co-integrated to the performances of the general types of mutual funds and macroeconomic variables. From the ECM estimation, we find that the performance of the RDPT is negatively affected by the performances of the Exchange Trade Fund (ET) and the Fixed Income Fund (FI) but positively affected by the Capital Protected Fund (CP). The other types of general mutual funds are not significant such as the Equity Fund (EQ), the Index Fund (IF), the Mixed Asset Fund (MA), and the Money Market Fund (MM). From macroeconomic factors, the Consumer ...

In India the various investment avenues are provided by the capital market to the investors, to support them to invest in different investment tools and to make assured the profitable return. Mutual fund is subject to market risk and the mutual fund vary from fund to fund. In this context, the performance evaluations of mutual funds has become essential. Therefore, one of the main important issue is choosing profitable mutual fund for investment. This study, deals with the equity mutual funds that are offered by the various fund houses in India for investment. In the terms of risk return relat...

The paper examines the factors that contribute to the outperformance of mutual funds in relation to the market, with a particular emphasis on the macroeconomic indicators as the key variables of interest. The paper begins by providing a comprehensive literature review on various factors that can impact the performance of mutual funds. The discussion encompasses a wide range of topics, including skill presence, diseconomies of scale, and other challenges associated with generating excess returns for investors.In the second part of the paper, an empirical analysis is conducted using actively man...

We address how mutual funds vote on shareholder proposals and identify factors that help determine support of wealth-increasing shareholder proposals. We examine 213,579 voting decisions made by 1799 mutual funds from 94 fund families for 1047 shareholder proposals voted on between July 2003 and June 2005. In an analysis of voting across funds within the same fund family, we find significant divergence in voting within families, emphasizing the importance of focusing on voting by individual funds. We also find that, in general, mutual funds vote more affirmatively for potentially wealth-increa...

The mutual fund industry is a lot like the film star of the finance business. Though it is perhaps the smallest segment of the industry, it is also the most glamorous - in that it is a young industry where there are changes in the rules of the game every day, and there are constant shifts and upheavals. The mutual fund is structured around a fairly simple concept, the mitigation of risk through the spreading of investments across multiple entities, which is achieved by the pooling of a number of small investments into a large bucket. Yet it has been the subject of perhaps the most elaborate an...

A mutual fund is a type of professionally managed collective investment vehicle that pools money from many investors to purchase securities. Our study is about analyzing the various schemes involved in Tata mutual funds and the study needed Beta, Alpha, Standard deviation, Mean, Sharpe ratio and Treynor ratio for analyzing the vari- ous schemes. The conclusion is that from every technique we have used Sharpe ratio clearly explains about the priority of investment so we can use that tool to analyze the funds and it can be prescribed to the clients of the company which leads to good profit for b...

This study examines cross-sectional differences among money market mutual funds (MMMFs) in the context of sponsoring fund families. The study finds that flows to family non-MMMFs are negatively related to family MMMF flows, and family non-MMMF cash flow volatility is positively related to family MMMF cash flow volatility. This suggests that families can offset cash transactions between MMMFs and non-MMMFs and that families place non-MMMFs cash in family MMMFs. Furthermore, loads positively affect cash flow volatility of MMMFs, suggesting that fund family investors also use family MMMFs as cash...

PERFORMANCE OF MUTUAL FUNDS IN INDIA: A STUDY ON SELECT MUTUAL FUNDS Abstract of the Thesis Submitted to Assam University in Partial Fulfillment of theof the Thesis Submitted to Assam University in Partial Fulfillment of the Requirement for the Degree of Doctor of Philosophy in Commerce

Mutual fund is a mechanism for pooling the resources by issuing units to the investors and investing funds in securities in accordance with objectives as disclosed in offer document. Investments in securities are spread across a wide cross-section of industries and sectors and thus the risk is reduced. Diversification reduces the risk because all stocks may not move in the same direction in the same proportion at the same time.

Using a comprehensive sample of Canadian open end equity mutual funds and investors our results show that the lackluster performance in comparison to some well recognized bench marks like the TSE 300 and the 90 day T-Bill rates, is even lower when one accounts for the timing of entry and exit by mutual fund investors. Two possible explanations for this are the lack of performance persistence and the tendency among investors to chase winners and reluctance to exit from loosing funds.

slamic finance industry has been expanded in the last decade and has branched out itself from banking to other financial sectors like Islamic Assets Management and Islamic Insurance Companies. Islamic finance industry growth over the past decade is impressive comparative to conventional sector particularly at the time of financial crisis. The focus of this research study is to assess the performance of Islamic and Conventional mutual funds in Pakistan for the period of 7 years ranging from 2007 to 2013. The research also studied the impact of NAV on mutual funds and how the volatility influenc...

Marketing and distribution expenses are responsible for about one-third of the cost of active management in the mutual fund industry. Estimating a structural model with costly investor search and learning about fund skill, we find that marketing is nearly as important as performance and fees in determining fund size. Eliminating marketing substantially improves welfare: capital shifts toward cheaper funds and competition decreases fees; active funds shrink and capital allocation becomes more closely aligned with skill. Declining investor search costs imply a reduction in marketing expenses a...

This study contributes to the academic literature on faith-based mutual funds, by offering a comparative investigation of Islamic vs. conventional funds’ performance sensitivity to changes in a list of seventeen relevant funds’ attributes, all in the context of the Saudi market. The performance measures investigated are the excess return, selectivity and timing. The study took place from 2011 to 2015, with a sample of 200 Active Saudi funds, 137 Islamic and 63 conventional. Findings indicated that fund size, management fees, expense ratio cash and price-earnings ratio were irrelevant to both I...