Portfolio Turnover and its Effect on Performance of Equity-Oriented Mutual Fund Schemes: An Empirical Study in the Indian Context

Rao, D. N.

doi:10.2139/ssrn.1549878

Cited by 3 publications

(7 citation statements)

References 17 publications

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“…The result fromour second hypothesis of the study shows that the portfolio turnover has a significant affecton the performance of portfolio. This results is inconsistent with results of (Rao, 2010) research that does not regard this relationship as significant. On the other hand, the results of the other findings in our research indicated that the Treynor ratio has a reverse relationship with portfolio diversity, and the more diversified portfolio, the better investment companies maycontrol the systematic risk in the market that this result is parallel with (Mau, 2009) research which proposed using an approach with an appropriate framework for risk control.…”

Section: Results Interpretation Based On the Previous Researchcontrasting

confidence: 99%

“…The following part is about, more recent research mentioned in connection with these indicators: Associated with the impact of turnover of investment portfolio on the performance of investment companies, recently (Rao, 2010) in a research about selected 37 companies from 307 available listed companies in Bombay Stock Exchange. The findings of the study were of mixed nature and lacks evidence that is statistically significant to suggest that increase in portfolio turnover ratio would result in enhanced performance of the fund which implies that high portfolio turnover ratios does not necessarily improve the fund performance consistently over a long time period.…”

Section: Performance Evaluation Measuresmentioning

confidence: 99%

“…Therefore, in this regard based on different theories of concern with portfolio performance evaluation, at the beginning of this research using Sharp, Treynor, and Sortino ratios, which evaluate SD (Standard Diviasion), systematic risk, and downside risk against the expected return of investment, we evaluate the performance of investment companies. These ratios werealso used inthe following researches: (Pedersen and Ted, 2003) in London Stock Exchange, (Bengtsson, 2007) in Nordic and Baltic Stock Exchange, (Chaudhry et al, 2008) in Australian Securities Exchange, (Galetsas, 2008) in Greek Stock Exchange, (Rahdari, 2009) in Tehran Stock Exchange, (Rao, 2010) in National Stock Exchange of India Limited.…”

Section: Introductionmentioning

confidence: 99%

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Analyzing performance of investment companies listed in the Tehran stock exchange by selected ratios and measures

Tehrani¹,

Ahmadinia²,

Hasbaei³

2011

Afr. J. Bus. Manage.

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This paper tried to analyze the performance of the investment companies listed in Tehran Stock Exchange that had active portfolio management from 2006 to 2010 by Sharp, Treynor, and Sortino ratios. For more profound study of their performances, this research used some of the measures, including turnover, liquidity, size and diversification of portfolio. After gathering needed test data and relevant statistical tests as Kolmogorov-Smirnov and Shapiro-Wilk, the results showed the distribution of data was not normal. Therefore, the hypothesis was tested by nonparametric tests. The results of the first hypothesis about the three mentioned above ratios and with Freidman and Wilcoxen tests showed the companies had better controls on systematic risk than other components. The result of the second hypothesis by using combined Anova and Multiple Anova showed portfolio turnover in the companies had positive and significant affect in the companies performances than other measures.It is possiblefor anyone to be able to find a company that has a high level of portfolio turnover and a high level of performance than other companies while it has a lower level of other measures.

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Section: Results Interpretation Based On the Previous Researchcontrasting

confidence: 99%

Section: Performance Evaluation Measuresmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Analyzing performance of investment companies listed in the Tehran stock exchange by selected ratios and measures

Tehrani¹,

Ahmadinia²,

Hasbaei³

2011

Afr. J. Bus. Manage.

View full text Add to dashboard Cite

show abstract

“…A profitable portfolio is a portfolio that is managed by adjusting market conditions, and investment strategies are needed to adjust market conditions that are not efficient in order to obtain optimal returns, including portfolio turnover, market timing and stock selectivity. Portfolio turnover is defined as a measure of the average securities traded by portfolio managers over a period of time, or how often investment managers exchange mutual fund assets in an effort to obtain optimal returns and or outperform their benchmarks, and portfolio turnover ratios are used to calculate how active investment manager in portfolio rebalancing (Rao 2010). Asset price movements that cannot be predicted due to new information in the market, force investment managers to make transactions and adjust the portfolio composition in the hope of increasing returns.…”

Section: Portfolio Tenure Turnover Portfolio Market Timing Stock Smentioning

confidence: 99%

“…portfolio turnover has a positive impact on investment managers' performance (Manek 2016;Cremers and Pareek, 2016;Dyck et al 2013;Pá stor et al 2015;Kremnitzer 2012;Brinson et al 1996;Dahlquist et al 2000;Wermer 2000;;Cremers and Petajisto 2009;Grinblatt and Titman 1993;Ippolito 1989). However, there are some studies that explain that portfolio turnover negatively affects investment performance (Champagne et al 2018;Pá stor et al 2015;Wu 2014;See and Jusoh 2012;Rao 2010;Khorana et al 2002;Carhart 1995). Some studies have suggested that tenure has a positive effect on mutual fund performance (Hu and Chang 2008;Persson and Karlsson, 2005;Poole et al 2006;Lee et al 2008;Philpota et al 2000;Payne et al 1999;Golec 1996).…”

Section: Introductionmentioning

confidence: 99%

Funds Manager and Mutual Funds Characteristics on Mutual Funds Performance: Empirical Evidence of Equity Mutual Funds in Indonesia

Rachmawati¹,

Wahyudi²,

Pangestuti³

et al. 2020

IJFR

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This study examines the effect of investment fund managers' characteristics in the form of tenure, and mutual fund characteristics with proxy turnover portfolios, market timing and stock selectivity on the performance of stock mutual funds. The research sample is 27 stock mutual funds in Indonesia that were active from 2013 to 2017. On the analysis of the relationships between the characteristics of investment managers and mutual funds characteristics on the performance of stock mutual funds, a series of OLS regressions were run. The panel data regression was included based on using the Eviews. All of the above were aimed at achieving portfolio optimization and realizing the maximization of the interests for fund management companies and investors. The main findings are as follows. Tenure does not affect the performance of stock mutual funds during the years 2013 to 2017, but if divided into 2 quadrants of tenure, namely tenure over 19 years and tenure under 19 years of work, the result is that tenure over 19 years has a positive effect on the performance of stock mutual funds, but tenure brought 19 years has no effect on the performance of equity funds, whereas mutual funds characteristics, which are proxied by portfolio turnover, market timing and stock selectivity, have a significant positive effect on the performance of equity funds in Indonesia. The primary limitation in the scope is the sample, because stock mutual funds that publish consistently Financial statements between 2013 and 2017 are few in number. These findings have important implications for fund management companies as input material that the investment strategy of the investment management team affects the performance of equity funds compared to the characteristics of investment managers with proxies for years of service. This paper proposes a new perspective to evaluate the relationship between the fund manager and mutual funds characteristicsanddivide 2 groups of working years, and calculate them with non-linear models.

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Active Management: What Different Story Measures Tell Us in Brazil?

Milan

Althaus

2019

Cad ADM

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This paper extends the debate about the evaluating the active portfolio management in order to guide academics and practitioners undertaking researches about the contribution of active management on the performance in equity mutual funds in the Brazilian market. We present a comparison between two measures of active management: Churn Rate and Active Share. Using five year-data set covering the Brazilian equity mutual funds, between 2007 and 2011, we estimate econometric models to find the relation between active management and performance. The results evidence that Churn Rate presents a negative relationship to performance, while the Active Share has a positive effect for the same period. Based on our results we can state that a combined-measure analysis can lead us to a better understanding about the type of active management that the manager is involved, avoiding misleading interpretation about the role of each strategy on the portfolio performance.

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Portfolio Turnover and its Effect on Performance of Equity-Oriented Mutual Fund Schemes: An Empirical Study in the Indian Context

Cited by 3 publications

References 17 publications

Analyzing performance of investment companies listed in the Tehran stock exchange by selected ratios and measures

Analyzing performance of investment companies listed in the Tehran stock exchange by selected ratios and measures

Funds Manager and Mutual Funds Characteristics on Mutual Funds Performance: Empirical Evidence of Equity Mutual Funds in Indonesia

Active Management: What Different Story Measures Tell Us in Brazil?

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