Mutual Fund Performance Using Unconditional Multifactor Models: Evidence from India

Agarwal, Pankaj K.; Pradhan, H. K.

doi:10.1177/0972652718777056

Cited by 13 publications

(14 citation statements)

References 73 publications

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“…The authors documented that funds with low-grade risk exposure can outperform their benchmarks with superior exposure to fluctuation in market conditions. Agarwal and Pradhan (2018) examined the existence of superior performance of Indian mutual funds in India with several models, using unconditional models of Treynor and Mazuy (1966) and Henriksson and Merton (1981). They extended these models by incorporating Fama-French-Carhart-factors-based models.…”

Section: Active Management Strategiesmentioning

confidence: 99%

Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds

Zouaoui

2019

IJFS

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This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis (locally, Arab, internationally) and Sharia compliance (Islamic and conventional). The empirical results indicate that Islamic funds underperformed conventional funds internationally but not locally. Findings suggest that the market selectivity skills of managers in the Islamic funds are better than the conventional funds. In addition, only the managers of Saudi conventional funds investing internationally have a good market timing skills, thus, they are able to beat the market index by predicting its movements and buying and selling accordingly. Furthermore, this study gives a brief idea about the performance persistence of HSBC Saudi funds. The results confirm existence of the persistence performance when the funds do not apply Sharia law and when they are instead focused internationally.

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Section: Active Management Strategiesmentioning

confidence: 99%

Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds

Zouaoui

2019

IJFS

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“…Hasil positif ini memperlihatkan bahwa semakin tinggi tingkat kemampuan atau keterampilan manajer investasi dalam memilih sekuritas yang akan dimasukkan ke portofolio reksadana atau yang disebut stock selection skill, maka akan semakin tinggi pula tingkat kinerja yang dapat dihasilkan secara signifikan. Hasil penelitian ini sejalan dengan penelitian yang dilakukan oleh Gusni et al, (2018), Ariswati et al, (2021), dan Agarwal & Pradhan (2018) yang membuktikan bahwa stock selection skill berpengaruh positif dan signifikan terhadap kinerja reksadana.Oleh karena itu, dapat disimpulkan bahwa hasil penelitian ini menerima hipotesis yang tertera yakni stock selection skill berpengaruh signifikan terhadap kinerja reksadana. Namun, penelitian yang dilakukan oleh Nafees et al, (2018) tidak searah dengan hasil penelitian ini yang menyatakan bahwa stock selection skill berpengaruh negatif dan signifikan terhadap kinerja reksadana.…”

Section: Tinjauan Pustakaunclassified

Pengaruh Portfolio Turnover dan Stock Selection Skill Terhadap Kinerja Reksadana Campuran di Indonesia

Azis

Sadaruddin

2023

j. manaj. sains dan organ.

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Tujuan - Penelitian ini bertujuan untuk menganalisis dan mengetahui pengaruh portfolio turnover dan stock selection skill terhadap kinerja reksadana pada perusahaan reksadana campuran di Indonesia tahun 2018-2020. Desain/Methodologi/Pendekatan - Alat analisis yang digunakan dalam penelitian ini adalah deskriptif statistik dan regresi data panel. Teknik penarikan sampel menggunakan teknik purposive sampling yaitu sebanyak 38 perusahaan reksadana campuran. Temuan penelitian - Hasil penelitian menunjukkan bahwa portfolio turnover berpengaruh positif dan tidak signifikan terhadap kinerja reksadana dan stock selection skill berpengaruh positif dan signifikan terhadap kinerja reksadana. Orsinalitas/nilai – Pada penelitian ini menggunakan objek reksadana campuran di Indonesia dimana perusahaan tersebut masih minim untuk diteliti terutama pada variabel portfolio turnover, stock selection skill, dan kinerja reksadana

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“…While several studies in the past studied mutual funds' performance in India using factor-based models (e.g. Agrawal and Pradhan, 2018; Panda et al ., 2015; Deb et al ., 2007), the use of holding-based data is rare. Chauhan (2019), however, tried to overcome challenges in holdings-based studies and conducted performance attribution for the mutual funds in India.…”

Section: Background Literaturementioning

confidence: 99%

Mutual funds' performance and relative strength of factor exposures

Chauhan

2022

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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.

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Mutual Fund Performance Using Unconditional Multifactor Models: Evidence from India

Cited by 13 publications

References 73 publications

Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds

Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds

Pengaruh Portfolio Turnover dan Stock Selection Skill Terhadap Kinerja Reksadana Campuran di Indonesia

Mutual funds' performance and relative strength of factor exposures

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