Portfolio strategies of fund managers in the Indian capital market

Zabiulla,

doi:10.1016/j.iimb.2013.12.003

Cited by 13 publications

(11 citation statements)

References 35 publications

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“…Although the results of research conducted by Hendrawan& Salim (2017) on the Kompas 100 Index, the best portfolios are produced by portfolios formed with Tobin's Q medium, while in this study, the best portfolios are the low Tobin's Q portfolio. The results of this study also indicate the alignment of results with research conducted by Zabiulla (2014) and Tudor (2012) which show that an active portfolio strategy is able to provide a maximum rate of return compared to a passive portfolio strategy. Furthermore, the results of the study show that there is no contradiction in the results of the research as found in the research of Zulkafli, Ahmad, and Eky Ermal M. (2017), where in this research Sharpe ratio, Treynor ratio and Jensen show consistent results, while in Zulkafli's research, Ahmad, and Eky Ermal M. (2017) show that there is a contradiction between jensen alpha and adjusted sharpe index.…”

Section: Descriptionsupporting

confidence: 83%

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Portfolio selection and performance using active and passive strategies (Assessing SRI-KEHATI index in 2013-2018)

Hendrawan¹,

Fadhyla²,

Aminah³

2020

JSB

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This purpose of this study is to examine the simulation results of optimal stock portfolio establishment with active and passive strategy using Tobin's Qand PBV ratio approach in Sri Kehati Index. We used data from the annual financial reports in 6years2013-2018, and each period, the portfolio was constructed in six fragments; High Tobin's Q, Medium Tobin's Q, Low Tobin's Q, High PBV, Medium PBV and Low PBV. We used Sharpe, Treynor, and Jensen method to measure the portfolio performance and we adjusted for active and passive portfolio strategy and evaluated in each respective period. Finding from this research shows that on passive strategy, the total average of accumulated return is 78.3576%. The low Tobin's Q portfolio is followed by low PBV, and high PBV has a return value above the total average and above the IDX Composite. While the total average of the accumulated risks in the passive strategy is 23.4193%. Furthermore based on the results of the performance comparison between return and risks from the portfolio and IDX Composite as a market, in general, both are on passive and active strategies. The results also show that the low Tobin's Q portfolio is consistently able to provide the highest return value, although the low Tobin's Q portfolio consistently provides the highest risk both on passive and active strategies; thus, there is a consistently between the results of research and the theory of high-risk, high return. Meanwhile the high PBV portfolio, in general, is consistently able to provide a high return, and risk values are consistently at the lowest level compared to other portfolios. The result shows that it has reached the purpose of establishing a stock portfolio

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Section: Descriptionsupporting

confidence: 83%

“…While the use of active and passive portfolio strategies is supported by Zabiulla (2014) on the India Capital Market, stating that active portfolio strategies can provide a more maximal rate of return than passive portfolio strategies. However, Pace, Hili and Grima (2016)…”

Section: Literature Review Portfolio Theorymentioning

confidence: 99%

Portfolio selection and performance using active and passive strategies (Assessing SRI-KEHATI index in 2013-2018)

Hendrawan¹,

Fadhyla²,

Aminah³

2020

JSB

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“…The large fund has access to large asset base, better investment avenues, more resources for research leading to economies of scale (Cicotello and Grant, 1996). Otten and Bams (2002), Bialkowski and Otten (2011), Belgacem and Hellara (2011), Tang et al (2012), Kaushik and Pennathur (2012), Goel et al (2012), Vijayakumar et al (2012) and Zabiulla (2014) had estimated a positive relationship between the size of the fund and mutual fund performance whereas Sharpe (1966), Droms and Walker (1996), Carhart (1997), Prather et al (2004), Sing (2007) and Huang and Shi (2013) has found an insignificant relationship between the size of the fund and mutual fund performance. Funari (2016 and employed the DEA approach to estimate the role of fund size on fund performance and found that there is a non-linear relationship.…”

Section: Fund Size or Asset Under Management (Aum)mentioning

confidence: 99%

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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“…Even though retail investors trade actively, they have poor timing and fund selection skills despite access to professional fund management (Sourirajan and Nataran, 2021). However, professional fund managers exhibit poor stock-selection skills and do not seem to exhibit any distinguishable ability in timing (Zabiulla, 2014). Ippolito (1992) concluded that the investors prefer mutual funds which have a record of positive returns than any other factors.…”

Section: Literature Reviewmentioning

confidence: 99%

Risk-adjusted return, fund manager efficacy, and fund characteristics – An inquiry

Riyazahmed

2021

Preprint

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In this study, I examine the risk-adjusted return of mutual funds in India. A data set of 4220 mutual funds is used for the analysis. Sharpe ratio, a metric of risk-adjusted return (Sharpe, 1994) and Information ratio, a metric of outperformance than a fund’s benchmark (Goodwin, 1998) were analyzed. Regression analysis is used to estimate the impact of fund characteristics like fund category, fund type, fund access type, corpus size on the dependent variables i.e., Sharpe Ratio and the Information Ratio. All the funds underperformed in both the Sharpe ratio and Information ratio. Liquid funds found worst. Fund type and corpus size do not impact fund performance. Fund access type was found to be significant on fund performance. The results add to the literature by examining the post-pandemic period.

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Portfolio strategies of fund managers in the Indian capital market

Cited by 13 publications

References 35 publications

Portfolio selection and performance using active and passive strategies (Assessing SRI-KEHATI index in 2013-2018)

Portfolio selection and performance using active and passive strategies (Assessing SRI-KEHATI index in 2013-2018)

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

Risk-adjusted return, fund manager efficacy, and fund characteristics – An inquiry

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