Persistence In Performance Of Indian Equity Mutual Funds PDF Download
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| Author | : Soumya Guha Deb |
| Publisher | : |
| Total Pages | : 30 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Persistence in Performance of Indian Equity Mutual Funds Book in PDF, ePub and Kindle
Persistence in performance of fund managers has been a topic of interest among finance fraternity for the last four decades. In this paper we evaluated the relative performance of equity mutual funds in India with respect to three performance indicators, and also tested the persistence in their performance with respect to these indicators across time. The performance indicators used for the funds are their raw returns, the tracking error they generate over their benchmarks, and the information ratios they attain. We find that on the whole the funds have done well. Their overall average return, tracking error and information ratio is positive during our study period. For the persistence part, we used a regression approach and a contingency table approach which showed no evidence of persistence for the ELSS funds, and some evidence of persistence for the Growth funds or all funds taken together. Our results were further substantiated with a Spearman Rank Correlation test. Another interesting finding is that evidence of persistence is more apparent over a one year evaluation horizon, compared to a time horizon either less than or more than one year. In fact persistence disappears completely when the horizon is extended to a period of time as long as thirty months or more. This gives the impression of efficiency of the market in the long run. Persistence seems to be marginally more for raw returns compared to that of tracking error or information ratio. On the whole it seems that past performance is hardly a reliable guide for future performance, particularly over a longer time horizon.
| Author | : S. Muruganandan |
| Publisher | : LAP Lambert Academic Publishing |
| Total Pages | : 140 |
| Release | : 2014-03 |
| Genre | : |
| ISBN | : 9783848486083 |
Download Performance Persistence and Determinants of Indian Fund of Mutual Fund Book in PDF, ePub and Kindle
Fund of Mutual Funds (FoFs) are only an investment strategy of holding a portfolio of other investment funds rather than investing directly in shares, bonds and other securities. This strategy offers high level of diversification to the investors but highly criticised due to additional layer fees associated in it. However, the growing demand for FoFs motivated the researchers to examine the persistence and determinants of performance of FoFs in Indian context. The performance of selected FoFs is tested with the help of average excess return, Sharpe ratio and Jensen's alpha and found that the sample funds outperformed the market index for the given level of risk. Malkiel's Z-test, Brown and Goetzmann Z- test and Kahn and Rudd Chi Square test are used to examine the performance persistence and found the loser pattern of persistence. The determinants of FoFs performance is examined by employing Panel Data model and concluded that the fund managers are enjoying the benefit of economies of scale where as investors are not.
| Author | : Mark M. Carhart |
| Publisher | : |
| Total Pages | : |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
Download On Persistence in Mutual Fund Performance Book in PDF, ePub and Kindle
Using a sample free of survivor bias, I demonstrate that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual funds' mean and risk-adjusted returns. Hendricks, Patel and Zeckhauser's (1993) quot;hot handsquot; result is mostly driven by the one-year momentum effect of Jegadeesh and Titman (1993), but individual funds do not earn higher returns from following the momentum strategy in stocks. The only significant persistence not explained is concentrated in strong underperformance by the worst-return mutual funds. The results do not support the existence of skilled or informed mutual fund portfolio managers.
| Author | : Manju Punia Chopra |
| Publisher | : LAP Lambert Academic Publishing |
| Total Pages | : 88 |
| Release | : 2012-03-01 |
| Genre | : |
| ISBN | : 9783847347828 |
Download Persistence & Survivorship Bias in Mutual Funds: An Indian Experience Book in PDF, ePub and Kindle
This study utilizes few selected performance evaluation techniques on a sample of 36 Indian mutual fund schemes, over the period of January 2001 to September 2009. The broad based S&P CNX NIFTY is used in the study as a benchmark. The results concluded that these 36 mutual fund managers were on average not able to predict security prices well enough to outperform a buy-the-market-and-hold policy. There was very little evidence of any individual fund being able to do significantly better than which was expected from random chance. On the other hand, no evidence of curvature of the characteristic lines, indicating superior timing skill, is found for any of the funds. In addition, the study offers little evidence of persistence in either the stock selection ability or the timing ability of the fund managers. Mutual fund attrition can create problems for a researcher because funds disappear due to presumably poor performance resulting into bias in research outcome. In this study we also revisit the mutual fund performance, including the disappeared mutual fund schemes during sample period. By tracking disappeared funds, the study does not find any evidence of survivorship bias.
| Author | : |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Is There Long-Term Persistence in Mutual Fund Performance? Book in PDF, ePub and Kindle
In this paper, I analyze long-term performance persistence for a sample of 6525 US equity mutual funds between 1970 and 2013. I test for evidence of five-year performance persistence by using a non-parametric method involving the construction of contingency tables. I also apply a parametric cross-sectional regression of fund performance on past fund performance. I conduct the tests with four different performance measures, namely continuous returns, Jensen's alphas, Four Factor alphas and Sharpe Ratios. I find evidence for performance persistence across all performance measures and with both methodologies. Four Factor alphas show the most significant evidence. The observed persistence is to a great extent driven by funds that consistently perform below or equal to the median of their peers during the analyzed time periods. Performance persistence is especially pronounced during periods where the market shows a sustained upward or downward trend. The results are robust for longer time horizons up to ten years. I find reversals in performance to occur especially when the testing period is to a large extent characterized by a sharp negative market movement, such as the aftermath of the technology bubble in the early years of the 21st century. Past performance over longer time periods can therefore be considered for the evaluation of a long-term investment in a mutual fund, but should not be used as a standalone criterion.
| Author | : Melvyn Teo |
| Publisher | : |
| Total Pages | : 39 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Persistence in Style-Adjusted Mutual Fund Returns Book in PDF, ePub and Kindle
The literature on mutual fund persistence took a hit with the finding that one-year stock momentum and expense ratios account for most of the persistence in mutual fund performance (Carhart, 1992; Carhart, 1997). However, since equity mutual funds are grouped into styles (e.g., large value, small growth, mid-cap growth, etc.) and are often confined to trading stocks within their style, one should measure fund performance relative to style when investigating managerial ability. Using CRSP mutual fund data and a methodology similar to Carhart (1997), we find that differences in style-adjusted fund returns persist for up to six years. Neither one-year momentum nor expense ratios explain our results. Our results are also robust to controlling for size, book-to-market equity, load, and total net assets. Since manager tenure is about four years, our results suggest that managerial ability may not be as dead as it seems.
| Author | : Muruganandan S |
| Publisher | : |
| Total Pages | : 21 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Performance Persistence of Indian Fund of Mutual Funds Book in PDF, ePub and Kindle
This paper examines the performance persistence of Indian Fund of Mutual Funds (FoFs) during the period from January 2nd 2007 to December 31st 2010. The entire study period classified into three sub-periods based on the movement of BSE 500 index closing value and they are named as First Bull Market Period, Bear Market Period and Second Bull Market Period. The performance of individual FoFs in each sub-period are assessed by employing the performance measures of average excess return, Sharpe ratio and Jensen's alpha. After testing the performance of the sample funds, contingence table is created by classifying the sample funds as winner or loser. Malkiel Z-test, Brown and Goetzmann Z-test and Khan and Rude Chi-square test is used to test the performance persistence of sample funds and found that the fund excel in the bull market do not expect to do well in the bear market. This study also concluded that the investors cannot earn above average risk adjusted return in the bull market period by hiring the above median performer of earlier bull market period.
| Author | : Soumya Guha Deb |
| Publisher | : |
| Total Pages | : 35 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Do Winner Funds Repeat? An Empirical Exploration with Indian Equity Mutual Funds Book in PDF, ePub and Kindle
The financial media has traditionally devoted considerable space to the identification of funds with superior 'track records' and those of 'winner funds' repeating their performance. This paper attempts to test this important issue of 'persistence' in performance of equity mutual funds in India ,w.r.t seven different performance indicators viz. 'raw return', 'excess return over benchmark', 'Treynor's ratio', 'Sharpe's ratio', 'Jensen's alpha', 'M2 measure' and 'appraisal ratio' which cover absolute, relative and risk adjusted performance aspects of funds. We used a regression based approach and a contingency table approach for testing the persistence over time horizons of variable lengths and further substantiated our results by a Spearman Rank Correlation Test. Using monthly return data of a sample of ninety six equity mutual fund schemes belonging primarily to two broad groups (Growth Funds and ELSS funds), during January 2000 to June 2005, our analysis shows moderate evidence of persistence. We find that persistence is more evident in Growth Funds than in ELSS funds. With shorter time horizons like three months or six months a lot of cases of 'reversals' are observed but if the time horizon is one year, persistence exhibited is quite prominent particularly for the growth funds. Again when the time horizon is increased beyond one year evidence of persistence weakens which gives the impression of efficiency of the market in the long run. On the whole it seems that past performance is hardly a reliable guide for future performance, particularly over a very short or very long time horizon.
| Author | : Sanjay Sehgal |
| Publisher | : |
| Total Pages | : 23 |
| Release | : 2007 |
| Genre | : |
| ISBN | : |
Download Short-Term Persistence in Mutual Funds Performance Book in PDF, ePub and Kindle
In this paper, we examine if there is any short-term persistence in mutual funds performance in the Indian context. We find no evidence that confirms persistence using monthly data. Using daily data, we observe that for fund schemes sorted on prior period four-factor abnormal returns, the winners portfolio does provide gross abnormal returns of 10% per annum on post-formation basis. The economic feasibility of zero-investment trading strategies that involve buying past winners and selling past losers is however in doubt. This is owing to the fact that these strategies generate low gross returns and that the winners portfolios involve higher investment costs than losers portfolios, thus destroying a major portion of extra-normal returns. Our empirical findings are consistent with the efficient market hypothesis and have implications for hedge funds and other managed portfolios who rely on innovative investment styles, including the fund of funds trading strategies that implicitly assume short-term persistence.
| Author | : Marno Verbeek |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
Download Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance Book in PDF, ePub and Kindle
Using monthly return data of more than 6,400 US equity mutual funds we investigate short-run performance persistence over the period 1984-2003. We sort funds into rank portfolios based on past performance, and evaluate the portfolios' out-of-sample performance. To cope with short ranking periods, we employ an empirical Bayes approach to measure past performance more efficiently. Our main finding is that when funds are sorted into decile portfolios based on 12-month ranking periods, the top decile of funds earns a statistically significant, abnormal return of 0.26 percent per month. This effect persists beyond load fees, and is mainly concentrated in relatively young, small cap/growth funds.
