Pension Fund Performance in East Asia: A Comparative Study

Ahmad, Zainal Ariffin; Nor, Eliza

doi:10.15604/ejef.2015.03.02.005

Cited by 4 publications

(5 citation statements)

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“…By employing the same methodology, Duggimpudi et al (2010) [23] find evidence for well-diversified funds that exhibit higher performance than the market. This is in tandem to Ahmad and Nor (2015) [20], who find that the main pension funds in Malaysia, Singapore, Hong Kong and South Korea all had a negative real return. Moreover Drobetz and Kohler (2002) [24], by studying fifty-one German and Swiss balanced mutual funds, attribute over 80% of returns' variability to asset allocation.…”

Section: Literature Reviewmentioning

confidence: 60%

“…Since the pioneering work of Sharpe (1992) [9], there has been a growing literature focusing on assessing the style analysis of mutual funds globally (see for instance: Lobosco and DiBartolomeo (1997) [10], Gallo et al (1997) [11], Cai et al (1997) [12], Bassett and Chen (2002) [13], Amenc et al (2003) [14], Agudo and Marzal (2004) [15], Papadamou and Siriopoulos (2004) [16], Białkowski and Otten (2011) [17], Bailey and Lopez de Prado (2012) [18], Lean et al (2015) [19], Ahmad and Nor (2015) [20], Kim et al (2015) [21]). Nevertheless, this study is the first that particularly employs a style analysis to examine the effects of active management on Japanese mutual funds in the pre-and post-Lehman Brothers collapse period.…”

Section: Introductionmentioning

confidence: 99%

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Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis

Papadamou

Kyriazis

Mermigka

2017

IJFS

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This paper investigates how mutual funds performed in Japan before and after the 2008 outburst of the global financial crisis, that is during the extension of an extraordinary unconventional monetary policy by the Bank of Japan. Style and performance analyses are employed in order to investigate whether active or passive management has been affected by unconventional times and to what extent. Evidence indicates that in four out of eight funds, asset selection presents a significant contribution to returns. The Selection Sharpe Ratios for sectoral and style analyses exhibit positive values added per unit of risk due to active management for the majority of our funds in the pre-Lehman default period. Nevertheless, none of them presents statistical significance according to the t-statistic. Moreover, over the post-Lehman default, only two out of eight funds achieved lower volatility levels and higher returns due to active management. A style drift to big capitalization stocks with low values of book to market ratio is to be held responsible for the outperformance. Overall, our findings imply that active management in a monetary easing environment does not add significant value to the mutual fund performance.

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Section: Literature Reviewmentioning

confidence: 60%

Section: Introductionmentioning

confidence: 99%

Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis

Papadamou

Kyriazis

Mermigka

2017

IJFS

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“…However, since only management fees were taken into consideration in this study, future research may also include sales fee, loading fee, redemption fee, and other fees to test the impact of different fee structure on the performance of pension funds. Lastly, future research may also incorporate the bond factorsterm and default premium in evaluating the performance of Growth Fund, since Fama and French [20] provides evidence on the common factors shared between equity and bond investments in an integrated market.…”

Section: Discussionmentioning

confidence: 99%

“…Moreover, the performance of public pension funds was also compared among Asian countries. Ahmad and Nor [20]'s study on the public pension funds in Malaysia, Singapore, South Korea, and Hong Kong from the year 2000 to 2011 has found that Singapore's Central Provident Fund (CPF) is among the four pension funds that earns the highest return proxied by Return on Investment despite that it is the most conservative investment that invest primarily in the country's treasury securities. Meanwhile, Mandatory Pension Fund (MPF) in Hong Kong earns the lowest return being the most aggressive fund that invests largely in equity market.…”

Section: Literature Reviewmentioning

confidence: 99%

Investment Performance of Private Pension Funds in Selected Asian Countries: The Role of Fees and Management Companies

Yan¹,

Foong²

2021

Proceedings of the Ninth International Conference on Entrepreneurship and Business Management (ICEBM 2020)

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This paper examines the investment performance of private pension funds in Hong Kong, South Korea, Malaysia, Singapore, and Thailand, segregated by fund universe: Growth (equity), Moderate (balanced), and Conservative (bond) Fund. The adoption of hybrid model is a new attempt and all the three main categories of pension fund are evaluated in which previous studies have focused on merely equity funds. This study employs 6 years of monthly observations and a total of 931 pension-fund samples. Net returns and gross returns are used to evaluate the impact of fees on funds' performance with the hybrid model which mimics the Fama-French and Treynor-Mazuy. Empirical findings imply that most private pension funds in Asia have inferior performance even before the consideration of fees. In addition, the Growth Fund outperforms the Moderate and Conservative Fund before fees are taken into consideration. Nonetheless, management fees do deteriorate the performance of pension funds. Hence, policy makers should strive to devise suitable course of actions to raise the retirement incomes of citizen. Additionally, the results may be useful to investors to make better informed investment decisions and fund managers in building the pension fund's portfolio.

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“…Additionally, they discovered that the determinants of fund performance differed between the USA and other world markets. In East Asia, Ahmad and Nor (2015) found that the real returns of four pension funds were negative. In addition, Tan (2015) found that Taiwanese fund managers were skilled in portfolio selection, as shown by the stellar performance of fifteen equity funds in the domestic market.…”

Section: Previous Studies a Comparison Of The Performance Of Imfs Anmentioning

confidence: 99%

Islamic vs Conventional Funds Within the Family: Selectivity Skills and Market Timing Ability

Atta

Marzuki

2020

JIMF

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ABSTRACT The aim of the study is to compare the performance of Islamic mutual fund (IMF) and conventional mutual fund (CMF) within the same family, in addition, to examine the performance of fund family in Malaysia for the period from 2007 to 2018. The study used eight measures of performance, raw returns, excess returns, Sharpe ratio, Treynor ratio, Jensen alpha, Carhart four-factor model as selectivity models, In addition to Treynor & Mazuy (TM) and Hendrickson & Merton (HM) as market timing models. The study contributes by investigating and compares the performance at the family level. The results reported that IMFs exhibited some fund selection ability over CMFs. However, both types of funds displayed poor market timing ability. At a fund family level, the results show the fund families exhibited good fund selections skills, at the same time, fund family still exhibited poor market timing ability. The novel result of this study that the difference in performance between Islamic and conventional funds shrank compared to the results of previous studies. Due to the common advantages offered by the families for both types of funds. The findings are important to investors because the results provide new evidence about the fund families' performance. Most investors follow the top-down approach, where mutual fund investors initially choose fund families before deciding which funds to hold. In addition, the results are important for managers to decide which types of funds that they may issue in their own families, so that they can perform well in the future.

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Pension Fund Performance in East Asia: A Comparative Study

Cited by 4 publications

References 0 publications

Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis

Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis

Investment Performance of Private Pension Funds in Selected Asian Countries: The Role of Fees and Management Companies

Islamic vs Conventional Funds Within the Family: Selectivity Skills and Market Timing Ability

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