Mutual fund industry management structure, risk and the impacts to shareholders

Bryant, Lonnie L.; Liu, Hao-Chen

doi:10.1016/j.gfj.2011.10.002

Cited by 6 publications

(6 citation statements)

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“…The authors have found that when fund managers manage multiple funds simultaneously, a fund’s risk can spillover to other funds, managed under the same fund manager that makes a mutual fund’s actual objective deviate from the stated one. Bryant and Liu (2011) also find that the risk volatility of at least one fund managed by a multiple-fund manager is significantly higher than its objective and risk-adjusted peers. The authors find that fund management companies having a multiple-fund management structure (that is, one fund manager handling funds) are more likely to adopt trading strategies that increase fund risk-taking at the expense of individual fund investors.…”

Section: Literature Reviewmentioning

confidence: 98%

“…We observe that most of the Indian index funds are being managed by fund managers who handle multiple funds (see Tables 9 and 10). In view of the findings of Bryant and Liu (2009, 2011), a natural question is that whether multiple-fund management has significant impact on the market risk and risk-adjusted returns of the Indian index funds? We aim to answer this question as well.…”

Section: Literature Reviewmentioning

confidence: 99%

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Assessing Market Risk of Indian Index Funds

Biswas

Dutta

2015

Global Business Review

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An index fund is a mutual fund that aims to imitate a benchmark index. In India, there has been significant growth in the number of such funds since 2002. These funds are exposed mainly to market risk. The assessment and comparison of the market risk and the risk-adjusted returns of these funds are topics of interest to both researchers and investors. Value-at-risk and expected shortfall are wellknown measures of the market risk. The Sharpe ratio and the Treynor ratio measure risk-adjusted return earned in excess of average market return. For each fund, we estimate these measures. Most of the index funds exhibit similar market risk as the NIFTY or the SENSEX index, which they mimic. Moreover, the market risk of these funds seems to be unaffected by multiple-fund management by the respective fund managers. However, there exist significant differences among the risk-adjusted daily returns, earned in excess of the average daily index return, of the various Indian index funds. Ideally, an index fund is expected to exhibit similar risk and risk-adjusted return as the benchmark index. We identify some such Indian index funds.

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Section: Literature Reviewmentioning

confidence: 98%

Section: Literature Reviewmentioning

confidence: 99%

Assessing Market Risk of Indian Index Funds

Biswas

Dutta

2015

Global Business Review

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“…They also analyzed the funds' systematic risk determinants and found that management fee, tenure and turnover significantly explain the funds' systematic risk. Bryant and Liu (2011) investigated the impact of funds' management structure on their risk exposure and found that teammanaged funds have higher risk exposure than their risk-adjusted peers. Marco et al (2011) comparatively analyzed the risk-taking behaviour of ethical and conventional mutual funds.…”

Section: Growth Of the Mutual Funds Industry In Pakistanmentioning

confidence: 99%

Are Islamic mutual funds exposed to lower risk compared to their conventional counterparts?

Naveed

Khawaja

Maroof

2020

IJIF

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Purpose This study aims to comparatively analyze the systematic, idiosyncratic and downside risk exposure of both Islamic and conventional funds in Pakistan to see which of the funds has higher risk exposure. Design/methodology/approach The study analyzes different types of risks involved in both Islamic and conventional funds for the period from 2009 to 2016 by using different risk measures. For systematic and idiosyncratic risk single factor CAPM and multifactor models such as Fama French three factors model and Carhart four factors model are used. For downside risk analysis different measures such as downside beta, relative beta, value at risk and expected short fall are used. Findings The study finds that Islamic funds have lower risk exposure (including total, systematic, idiosyncratic and downside risk) compared with their conventional counterparts in most of the sample years, and hence, making them appear more attractive for investment especially for Sharīʿah-compliant investors preferring low risk preferences. Practical implications As this study shows, Islamic mutual funds exhibit lower risk exposure than their conventional counterparts so investors with lower risk preferences can invest in these kinds of funds. In this way, this research provides the input to the individual investors (especially Sharīʿah-compliant investors who want to avoid interest based investment) to help them with their investment decisions as they can make a more diversified portfolio by considering Islamic funds as a mean for reducing the risk exposure. Originality/value To the best of the author’s knowledge, this study is the first attempt at world level in looking at the comparative risk analysis of various types of the risks as follows: systematic, idiosyncratic and downside risk, for both Islamic and conventional funds, and thus, provides significant contribution in the literature of mutual funds.

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“…They find out the direct relation of asset turnover, family proportion, and expense ratio with growth of mutual fund, risk adjusted returns and management fee inversely. Bryant & Liu, (2011) fund will be managed by multiple managers then risk will be higher than objectives of fund. Although the intention to bring of doing so it to bring down cost of management so that economies so scale can be achieved.…”

Section: Literature Reviewmentioning

confidence: 99%