Performance of mutual funds

Noulas, Athanasios G.; Papanastasiou, John; Lazaridis, John

doi:10.1108/03074350510769523

Cited by 18 publications

(8 citation statements)

References 10 publications

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“…Christensen (2005) [48] finds that none of the mutual funds in Denmark could have excess returns. Interestingly, Noulas et al (2005) [49] by studying twenty-three Greek stock mutual funds show positive returns during the first three years in the stock exchange, but those did not endure. For their part, Hakamada et al (2007) [50] investigate Asia-Pacific hedge funds and decompose returns into asset class factors.…”

Section: Literature Reviewmentioning

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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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: 99%

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

Papadamou

Kyriazis

Mermigka

2017

IJFS

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“…According to Noulas &Lazaridis (2005), the Sharpe technique was developed in 1966 and is fairly similar to the Treynor technique, but the Sharpe technique uses the total risk of the portfolio rather than systematic risk. This technique computes the risk premium earned per unit of the total risk.…”

Section: Sharpe Ratiomentioning

confidence: 99%

Mutual Fund Performance: Evidence From South Africa

Tan

2015

emaj

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This paper aims to evaluate the performance of South African equity funds between January 2009 and November 2014. This study period overlaps with the period of quantitative easing during which developing economies in financial markets have been influenced severely. Thanks to the increase in the money supply directed towards the capital markets, a relief was experienced in related markets following the crisis period. During this 5-year 10-month period, in which the relevant quantitative easing continued, Johannesburg Stock Exchange (JSE) yielded approximately 16% compounded on average, per year. In this study, South African equity funds are examined in order to compare these funds' performance within this period. Within this scope, 10 South African equity funds are selected. In order to measure these funds' performances, the Sharpe ratio (1966), Treynor ratio (1965), Jensen's alpha (1968) methods are used. Jensen's alpha is also used in identifying selectivity skills of fund managers. Furthermore, the Treynor & Mazuy (1966) and Henriksson & Merton (1981) regression analysis methods are applied to ascertain the market timing ability of fund managers. Furthermore, Treynor&Mazuy (1966) regression analysis method is applied for market timing ability of fund managers.

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“…The study found that public sector sponsored funds do not differ significantly from public sector sponsored funds in terms of mean returns percentage. The study was also found that there was a statistical difference between sponsorship classes in terms ESDAR (excess standard deviation adjusted returns) as a performance measure, Noulas and Athanasios [9] evaluated the performance of Greek equity funds during the period 1997-2000. The evaluation was based on the analysis of risk and return.…”

Section: Review Of Literaturementioning

confidence: 99%

Performance Evaluation of Indian Equity Mutual Funds against Established Benchmarks Index

Ashraf¹,

Sharma²

2014

International JAR

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In this paper, an attempt has been made to analyses the performance of equity mutual funds industry against risk free rate and benchmarks return over the five years. The samples consists 10 growths oriented-open ended-equity mutual fund schemes belong to 5 public and 2 private mutual fund companies. Results are tested through risk-return analysis, Coefficient of Variation, Treynor's ratio, Sharp's ratio, Jensen's measure, Fama's measure and Regression analysis. The data used is monthly closing NAVs and benchmark market index closing for the study period of April 2007 to March 2012. The risk return analysisrevealed that out of 10 schemes 3 have underperform the market, 7 are found to havelower total risk than the market and all the schemes have given returns higher than risk free rates. The Treynor ratio of all the mutual funds scheme are over perform the benchmark market index and Sharpe ratio of 3 mutual funds scheme underperform the benchmark market index. The result of regression analysis suggests that benchmark market return index has statistically significant impact on mutual fund return at 5% level of significance.

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Performance of mutual funds

Cited by 18 publications

References 10 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

Mutual Fund Performance: Evidence From South Africa

Performance Evaluation of Indian Equity Mutual Funds against Established Benchmarks Index

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