Performance and Characteristics of Mutual Funds: Evidence From the Portuguese Market

Lobão, Júlio; Cruz-Gomes, Sofia

doi:10.18028/2238-5320/rgfc.v5n4p125-148

Cited by 8 publications

(20 citation statements)

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“…However, Carhart (1997) demonstrates a negative influence of turnover on performance. Similar results are reported recently by Elton et al (2012), Vijayakumar et al (2012) and Lobao and Gomes (2015).…”

Section: Review Of Literaturesupporting

confidence: 92%

“…Low (2012) finds a negative relation between size and performance for Malaysian mutual funds, suggesting that larger funds, due to their increasing size, face the challenge to locate meaningful and sensible investments which ultimately hampers the selectivity ability of managers. The results from Lobao and Gomes (2015) and Pastor et al (2015) also suggest that bigger funds have performed less well than smaller funds. In respect to the Indian mutual fund industry, our results also ascribe to diseconomies of scale indicating that small funds tend to outperform large-sized funds and are in consistency with Sondhi and Jain (2010).…”

Section: Resultsmentioning

confidence: 95%

“…A positive relationship for UK mutual funds is observed indicating the existence of economies of experience by Blake and Timmerman (1998). Belgacem and Hellara (2011) and Lobao and Gomes (2015) also report a positive coefficient of fund age indicating a positive relationship between age and performance of fund. According to Ferreira et al (2012), newer funds have to face higher start-up costs and challenges which may put them at a disadvantage in relation to older funds.…”

Section: Review Of Literaturementioning

confidence: 96%

“…Grinblatt and Titman (1989), Dahlquist, Engstrom and Soderlind (2000), Yap and Pierce (2008), Ferreira, Keswani, Migues and Ramos (2012) and Low (2012) find the performance of a fund to be inversely related to the size of fund, implying diseconomies of scale and suggesting that larger funds, due to their increasing size, face challenges to locate meaningful and sensible investments which ultimately hampers the selectivity ability of managers. Also, Lobao and Gomes (2015) and Pastor, Stambaugh and Taylor (2015) find a negative relation between the fund’s size and its performance, indicating decreasing returns to scale for the fund. The empirical literature also states the benefits that large funds may provide over small funds.…”

Section: Review Of Literaturementioning

confidence: 99%

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Mutual Fund Characteristics and Investment Performance in India

Babbar

Sehgal

2018

Management and Labour Studies

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In this study, we examine the role of fund characteristics in determining mutual fund performance in India. The data comprises of 237 open-ended Indian equity (growth) schemes during the period April 2007 to March 2013. Using daily dividend adjusted net asset values (NAVs), the risk-adjusted performance is estimated employing conditional version of Carhart (1997) four factor model in a time series regression framework. A range of fund characteristics, namely, the size of fund, growth in size of fund, expense ratio, portfolio turnover, NAV and age of fund, are examined in predictive model in a panel data regression framework that may determine the future performance of the fund. The Hausman specification test is conducted to decide if individual effects are random or fixed. The results of panel regression, based on fixed effects estimator, show that the size of fund, growth in size of fund and NAV negatively affect one period ahead risk-adjusted performance in India, while the age of fund has a positive impact. Expense and portfolio turnover ratios do not play a significant role. Identification of significant fund characteristics offer valuable insights to investors as it will allow them to make prudent selection of mutual funds and make judicious investment decisions.

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Section: Review Of Literaturesupporting

confidence: 92%

Section: Resultsmentioning

confidence: 95%

Section: Review Of Literaturementioning

confidence: 96%

Section: Review Of Literaturementioning

confidence: 99%

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Mutual Fund Characteristics and Investment Performance in India

Babbar

Sehgal

2018

Management and Labour Studies

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“…Study found no uniformity in the performance of funds and mixed results were observed like Pakistan Industrial. Julio et al [2] they examined the relation amongst performance of fund and attributes of fund in the Portuguese marketplace. One hundred and twenty bond funds, money market funds and equity funds were taken as sample population for the study for the period of 2004 to 2011.…”

Section: Empirical Evidence Of Mutual Fundsmentioning

confidence: 99%

Performance of Mutual Funds and Mutual Fund Manager in Pakistan

Aziz

2019

SAJSSE

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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 ratio. Results: Results indicated that fund returns are found positive and significant against risk free securities but funds return against the market return and fund manager ability to forecast fund returns is found negative and insignificant the rate of return of an investment made in mutual funds. Originality/Value: Islamic funds and Sortino and Information ratio based on our knowledge have not been studied by the previous researchers.

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Association between fund attributes and fund's performance: a panel data approach

Singh

Tandon

2021

BIJ

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PurposeThe present study tries to explore the various fund attributes that influence the mutual fund performance. Further, study examined the effect of mutual fund attributes namely, Net Asset Value (NAV), Portfolio turnover ratio (PTR), fund size (AUM), expense ratio (ExpR) and fund age (Age) on mutual fund's performance using gross return and risk-adjusted performance measures.Design/methodology/approachThe study evaluated balanced panel data (short panel) comprising 81 Indian equity mutual fund schemes for the period of 2013–2019. The study estimated relationship between fund attributes (Net asset value, Portfolio turnover ratio, Fund age, fund size and Expense ratio) and fund performance (using gross return and risk-adjusted performance measures), through panel data regression using fixed-effects model as suggested by Hausman specification test on transformed data (due to high multicollinearity), with cluster-robust estimators due to the presence of heteroskedasticity in the model.FindingsThe findings of the study suggested that using gross return as fund performance measure, PTR, NAV, AUM, Age exhibit significant relationship with the fund performance whereas using risk-adjusted performance measures (Treynor ratio and Jensen alpha) NAV and ExpR significantly influences the fund performance. Identification of the significant relationship between fund characteristics and fund performance offers valuable insights to the investors and fund managers for rationally managing their portfolio with the ultimate objective of the wealth maximization.Research limitations/implicationsThe study considered only 81 equity mutual fund schemes. Some of the data were not available at the time of the study due to the policy of the company. The present study contributes significantly in examining the expected association between fund attributes and fund performance in the context of Indian mutual fund industry where this relationship were explored less.Practical implicationsThe findings of the present study will help the investors to take the rational investment decision with the ultimate objective of maximum return with minimal risk. The findings also offer significant germane to the stakeholders in making rational decision-making process.Originality/valueThere is dearth of study concerning the relationship between mutual fund characteristics and fund performance with respect to Indian mutual fund industry. Therefore, study provides valuable insights to the area of the portfolio selection and management with respect to Indian mutual funds.

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Performance and Characteristics of Mutual Funds: Evidence From the Portuguese Market

Cited by 8 publications

References 0 publications

Mutual Fund Characteristics and Investment Performance in India

Mutual Fund Characteristics and Investment Performance in India

Performance of Mutual Funds and Mutual Fund Manager in Pakistan

Association between fund attributes and fund's performance: a panel data approach

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