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Different Risk Adjusted Performance Measures For Equity Mutual Funds
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Book Synopsis Different Risk Adjusted Performance Measures for Equity Mutual Funds by : Anurag Pahuja
Download or read book Different Risk Adjusted Performance Measures for Equity Mutual Funds written by Anurag Pahuja and published by . This book was released on 2016 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditional measures of performance evaluation are in vogue since long, however, Value at Risk (VaR) approaches are making their place in portfolio management industry from the last ten years. Value at Risk (VaR) approach focuses on the downside volatility of portfolio, thus making the investor clear about the maximum possible loss on his portfolio. In today's highly volatile environment, an investor is concerned more about the downside risk rather upward swing in the portfolio. He would hesitate to invest in a portfolio having more downward risk. Present paper makes an attempt to compare both the traditional and VaR performance measures and explore whether differences exist in ranking of funds using both the approaches. Results indicated that Sharpe ratio and Normal VaR results are same when used independently, while there is difference in results using Treynor and Jensen's Alpha.
Book Synopsis A Reliable Performance Measure to Differentiate China's Actively Managed Open-End Equity Mutual Funds by : Ali M. Kutan
Download or read book A Reliable Performance Measure to Differentiate China's Actively Managed Open-End Equity Mutual Funds written by Ali M. Kutan and published by . This book was released on 2018 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We compare different fund performance measures to examine which performance measures can generate risk-adjusted returns between high ranked and low ranked China's actively managed open-end equity mutual funds. Our results show that only the 6-factor (Fama and French (2015) five factors plus a momentum factor) alpha as the performance measure meets the criteria. Separated by the 6-factor alpha, better performed funds tend to have larger asset under management and higher percentage of hybrid funds. Through our sample period from July 2004 to December 2015, the highest ranked quintile funds generate monthly 0.24% risk-adjusted return more than the lowest ranked quintile funds. Furthermore, our results from fund return, holding return, and trading data all demonstrate the better performance comes mostly from the bear markets, suggesting those better performed funds exhibit their market timing and stock picking abilities when investors need them most.
Book Synopsis Do Mutual Funds Perform When it Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions by : Robert Kosowski
Download or read book Do Mutual Funds Perform When it Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions written by Robert Kosowski and published by . This book was released on 2011 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper shows that the stylized fact of average mutual fund underperformance documented in the literature stems from expansion periods when funds have statistically significant negative risk-adjusted performance and not recession periods when risk-adjusted fund performance is positive. These results imply that traditional unconditional performance measures understate the value added by active mutual fund managers in recessions, when investors' marginal utility of wealth is high. The risk-adjusted performance (or alpha) difference between recession and expansion periods is statistically and economically significant at 3 to 5 percent per year. Our findings are based on a novel multi-variate conditional regime-switching performance methodology used to carry out one of the most comprehensive examinations of the performance of US domestic equity mutual funds in recessions and expansions from 1962 to 2005. The findings are robust to the choice of the factor model (including bond and liquidity factor extensions), the use of NBER business cycle dates, fund load, turnover, expenses and percentage of equity holdings.
Book Synopsis Equity Mutual Funds by : Daniel E. Weber
Download or read book Equity Mutual Funds written by Daniel E. Weber and published by . This book was released on 2014 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation by : Jon A. Christopherson
Download or read book Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Book Synopsis Adjusting for Risk Factors in Mutual Fund Performance and Performance Persistence by : Drosos Koutsokostas
Download or read book Adjusting for Risk Factors in Mutual Fund Performance and Performance Persistence written by Drosos Koutsokostas and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to examine the performance of Greek equity mutual funds and the persistence in annual performance for the period 2008-2017 by using a variety of performance models. Design/methodology/approach Using all the available funds in operation and daily data, the authors apply single-index (Jensen, 1968) and multi-factor models (Fama and French, 1993; Carhart, 1997) to measure risk-adjusted returns. To assess performance persistence, a series of parametric (Bollen and Busse, 2005) and non-parametric tests (Malkiel, 1995; Brown and Goetzmann, 1995; Kahn and Rudd, 1995) is implemented. Findings Results show that the Greek equity mutual funds perform, on average, worse than the market index, irrespective of the performance measure applied, and the estimations obtained by the models are similar. Few managers that followed large-cap strategies, pursued stocks with high book-to-market value ratio and eliminated their exposure to the momentum effect were able to add value to their portfolios. Furthermore, a winner-picking strategy based on sustained superior performers is questioned. However, assigning fund returns to the corresponding risk factors results in the partial disappearance of persistence in performance. Originality/value The sample period includes the turbulent period, following the introduction of capital controls, which affected capital flows significantly. Moreover, the application of multiple performance measures enables us to investigate performance persistence in a wider spectrum.
Book Synopsis Portfolio Performance Meaurement and Benchmarking: Fixed-Income Risk by : Jon A. Christopherson
Download or read book Portfolio Performance Meaurement and Benchmarking: Fixed-Income Risk written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Book Synopsis The Impact of Downside Risk on Risk-Adjusted Performance of Mutual Funds in the Euronext Markets by : Robert van der Meer
Download or read book The Impact of Downside Risk on Risk-Adjusted Performance of Mutual Funds in the Euronext Markets written by Robert van der Meer and published by . This book was released on 2001 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many performance measures, such as the classic Sharpe ratio have difficulty in evaluating the performance of mutual funds with skewed return distributions. Common causes for skewness are the use of options in the portfolio or superior market timing skills of the portfolio manager. In this article we examine to what extent downside risk and the upside potential ratio can be used to evaluate skewed return distributions. In order to accomplish this goal, we first show the relation between the risk preferences of the investor and the risk-adjusted performance measure. We conclude that it is difficult to interpret differences in the outcomes of risk-adjusted performance measures exclusively as differences in forecasting skills of portfolio managers. We illustrate this with an example of a simulation study of a protective put strategy. We show that the Sharpe ratio leads to incorrect conclusions in the case of protective put strategies. On the other hand, the upside potential ratio leads to correct conclusions. Finally, we apply downside risk and the upside potential ratio in the process of selecting a mutual fund from a sample of mutual funds in the Euronext stock markets. The rankings appear similar, which can be attributed to the absence of significant skewness in the sample. However, find that the remaining differences can be quite significant for individual fund managers, and that these differences can be attributed to skewness. Therefore, we prefer to use the UPR as an alternative to the Sharpe ratio, as it accounts better for the use of options and forecasting skills.
Book Synopsis A Comprehensive Evaluation of Select Large Cap and ELSS Funds Using Formula Based Risk Adjusted Performance Measures by : Rakesh Shahani
Download or read book A Comprehensive Evaluation of Select Large Cap and ELSS Funds Using Formula Based Risk Adjusted Performance Measures written by Rakesh Shahani and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study makes an attempt to compare large cap schemes and the Equity Linked Savings Scheme (ELSS) of four mutual funds to determine whether investment in large cap schemes is justified from a long-term perspective or ELSS could provide an ideal substitute for these schemes especially for a tax-savvy investor. The study compared the two categories of schemes on different formula based risk adjustment performance yardsticks which included popular traditional risk adjusted measures like Sharp, Treynor and Jensen ratios and alternative risk measures (downward risk/volatility measures). The funds selected were also compared against two benchmarks; one was the popular S&P CNX Nifty and second was the S&P 500, the broader index. The data has been collected as daily returns for these funds for the five-year period April 1, 2009 to March 31, 2014. The results of the study showed that performance of large cap funds has fallen short of the performance of ELSS funds when comparison was made on the above-mentioned yardsticks. The conclusion drawn is that the ELSS funds are not merely tools of saving tax under Section 80C of the Income Tax Act but also provide fairly decent returns over the long term period, which according to our results are even higher than the otherwise popular large cap funds.
Download or read book Peter Brandenhoff Collection written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Collection contains clipping file.
Book Synopsis Three Essays on the Performance Evaluation of Actively Managed Investment Funds by : Qing Yan
Download or read book Three Essays on the Performance Evaluation of Actively Managed Investment Funds written by Qing Yan and published by . This book was released on 2021 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates the performance of hedge funds and actively managed U.S. equity mutual funds. The first chapter examines the relation between hedge funds and the low beta anomaly. Different conditions in the mutual fund and hedge fund industries should lead to different approaches with respect to the low beta anomaly. I find that, unlike most mutual funds, the average hedge fund tends to benefit considerably from the anomaly. About 2.3% per year of apparent alpha for the average hedge fund can be attributed to the low beta anomaly rather than manager skill. Low skill managers are the most reliant on the anomaly to generate returns, with the most reliant underperforming the least reliant by 5.9% per year. The second chapter uses machine learning to dynamically identify and optimally combine the predictors of hedge fund performance. The portfolio formed based on the machine learning models has an out-of-sample alpha of 7.8% per year. The importance of each predictor varies over time, but among the 22 predictors I consider, the consistently important predictors are average return, maximum return, alpha, systematic risk, and beta activity. Machine learning provides valuable, unique information about future hedge fund performance that is not captured by individual predictors. The third chapter studies whether the quality of fund risk management can predict fund performance. I find that the risk management skills of mutual fund managers-as quantified by their funds' maximum drawdowns-are persistent and predictive of subsequent risk-adjusted performance. Funds with relatively strong past performance and relatively low past maximum drawdowns have, on average, an out-of-sample alpha of 2.68% per year. That alpha is magnified when markets are turbulent-a time during which risk management skills should be most valuable. Investors are averse to drawdown risk. After controlling for typical measures of past performance, fund flows are still a decreasing function of maximum drawdowns, particularly among investors with greater risk aversion and during times of generally heightened risk aversion.
Book Synopsis Does the Use of Downside Risk-Adjusted Measures Lead to Better Future Performance? by : Florinda Silva
Download or read book Does the Use of Downside Risk-Adjusted Measures Lead to Better Future Performance? written by Florinda Silva and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates how past performance, as measured by alternative risk-adjusted measures is informative of future performance. Performance results based on the Sharpe Ratio and several downside risk-adjusted performance measures (the Sortino ratio, excess return on Cornish-Fisher VaR, excess return on VaR, and excess return on Expected Shortfall) are compared. VaR and Expected Shortfall are computed using Filtered Historical Simulation (FHS), a hybrid methodology that combines the use of volatility models with bootstrapping techniques and is robust to the stylized facts of time series data on financial asset returns. Recent empirical evidence is somewhat controversial. Some studies suggest that the use of different risk-adjusted performance measures (traditional vs downside risk-adjusted) does not seem to matter for investment fund decisions (Eling & Schuhmacher, 2007; Eling, 2008) while others suggest that it matters at least for some of the measures (Ornelas et al. 2010; Zakamouline, 2010). In most of the cases, the observed level of statistical association between the Sharpe Ratio and the downside risk-adjusted measures of performance is not as low as would be expected. However, even if in empirical research statistical tests are not able to capture significant differences between rankings based on different measures, the economic significance of these differences may be relevant for investors and fund managers. In fact, it is of interest to assess to what extent the ex ante use of each of these measures can lead to better ex post performance results, regardless of the correlation between performance rankings and measures. Our sample includes portfolios of Large Cap US funds over the period 1999 to 2010. In each month, portfolios of funds are created based on the rankings of the funds resulting from the different risk-adjusted performance measures. A estimation window of five years is used. The cumulative return of the top performing funds is then compared with the bottom performing funds.
Book Synopsis International Mutual Funds Performance and Persistence Across the Universe of Performance Measures by : Philippe Cogneau
Download or read book International Mutual Funds Performance and Persistence Across the Universe of Performance Measures written by Philippe Cogneau and published by . This book was released on 2017 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: We process an exhaustive set of 147 portfolio performance measures and their variations, and identify 18 relevant dimensions using a Principal Component Analysis on a sample of 1,625 international equity mutual funds. We isolate three of the seven most informative factors that uncover potential strong performance persistence. These factors reflect various forms of incremental return and preference-adjusted performance. Our paper is the first one that shows statistical and economic evidence that conditioning portfolio formation on past realizations of these factors may produce significant outperformance, from the point of view of naïve portfolio allocation as well as more classical selection criteria like the Sharpe ratio.
Book Synopsis Factors Affecting the Financial Performance of Investment Funds a Comparative Study by : Mohamed Ali Badr
Download or read book Factors Affecting the Financial Performance of Investment Funds a Comparative Study written by Mohamed Ali Badr and published by . This book was released on 2017 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Growth rate of investment in mutual funds has exceptionally increased over the last decade. Many studies have compared between the performances of conventional and Islamic mutual funds in the developed markets and only a few have studied emerging markets. The aim of this study is to focus on the investigation of the factors affecting and the performance of Islamic mutual funds in comparison with their conventional counterparts in Egypt as an emerging market in mutual funds generally and Islamic mutual funds specially. The main objective of this study is to investigate the factors affecting the financial performance of Islamic mutual funds (IMFs) in comparison with the conventional mutual funds (CMFs). Risk and return relationship is evaluated relative to market benchmark over an 8-year period from January 2006 to December 2013 divided into pre-financial crisis phase (27 months), during financial crisis phase (45 months) and post-financial crisis phase (24 months). The data covers 34 mutual funds from Egypt, consisting of 9 Islamic mutual funds (IMFs) and 25 Conventional mutual funds (CMFs) covering only open-end equity funds for the purpose of standardization and relativity of the comparison. The analysis focuses on risk and return performance, and the impact of funds attributes including age, size, objective, systematic risk and total risk. The study employs Sharpe, Treynor and Jensen models as risk-adjusted performance measures. The study concludes that the performance of IMFs is not significantly different from the CMFs counterparts in the pre-financial crisis phase, during the financial crisis phase, or the post-financial crisis phase. Both IMFs and CMFs outperformed the market index (EGX30) in the pre-Financial Crisis phase and the post-Financial Crisis phase but underperformed the market index during the Financial Crisis phase. Moreover, both IMFs and CMFs outperformed the T-bill rate in the pre-Financial Crisis phase but underperformed the T-bill rate during the Financial Crisis phase and the postFinancial Crisis phase. Total risk and systematic risk significantly affect the performance of mutual funds. Income & Growth objective is an important variable that is accompanied by an increase in the performance of the fund. Growth objective and Age also play significant roles in interpreting the performance of mutual funds.
Book Synopsis Performance Evaluation of Selected Open Ended Equity Funds for the Post Recession Period by : Anu Sahi
Download or read book Performance Evaluation of Selected Open Ended Equity Funds for the Post Recession Period written by Anu Sahi and published by . This book was released on 2015 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Global recession has marred the countries worldwide. The ever-growing Indian economy is no exception and has finally encountered a slowdown and the results are crystal clear. The lower GDP, increased inflation rate, increased job searches are some of the highlighting factors signaling the impact of global recession. The present study attempts to unveil the performance of selected mutual funds during post global recession i.e. period from March 2009-March 2012. Traditional performance measures like Sharpe ratio, Treynor ratio and Jensen's alpha are widely used performance measures based on mean variance framework and are used to evaluate the selected mutual fund schemes. The study discovered that on comparison of rate of return of sample schemes with the benchmark return, majority of the equity mutual funds have outperformed the benchmark. However, when the mean return of the entire sample is considered, it does not show significantly different return from that of the benchmark Sensex. However, an analysis based on risk-adjusted performance, showed a different picture where most of the funds in the sample have posted positive and better Sharpe, Treynor's ratio as well as Jensons alpha, compared to the benchmark Sensex. In short, it can be said that although the study provides some evidence of satisfactory performance in terms of returns generated per unit of risk, yet a conclusive statement regarding the capabilities of mutual funds as an investment avenue is still obscure.
Book Synopsis Strategic and Tactical Asset Allocation by : Henrik Lumholdt
Download or read book Strategic and Tactical Asset Allocation written by Henrik Lumholdt and published by Springer. This book was released on 2018-07-21 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers each step in the asset allocation process, addressing as many of the relevant questions as possible along the way. How can we formulate expectations about long-term returns? How relevant are valuations? What are the challenges to optimizing the portfolio? Can factor investing add value and, if so, how can it be implemented? Which are the key performance drivers for each asset class, and what determines how they are correlated? How can we apply insights about the business cycle to tactical asset allocation? The book is aimed at finance professionals and others looking for a coherent framework for decision-making in asset allocation, both at the strategic and tactical level. It stresses analysis rather than pre-conceived ideas about investments, and it draws on both empirical research and practical experience to give the reader as strong a background as possible.
Book Synopsis A Tea Reader by : Katrina Avila Munichiello
Download or read book A Tea Reader written by Katrina Avila Munichiello and published by Tuttle Publishing. This book was released on 2017-03-21 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Tea Reader contains a selection of stories that cover the spectrum of life. This anthology shares the ways that tea has changed lives through personal, intimate stories. Read of deep family moments, conquered heartbreak, and peace found in the face of loss. A Tea Reader includes stories from all types of tea people: people brought up in the tea tradition, those newly discovering it, classic writings from long-ago tea lovers and those making tea a career. Together these tales create a new image of a tea drinker. They show that tea is not simply something you drink, but it also provides quiet moments for making important decisions, a catalyst for conversation, and the energy we sometimes need to operate in our lives. The stories found in A Tea Reader cover the spectrum of life, such as the development of new friendships, beginning new careers, taking dream journeys, and essentially sharing the deep moments of life with friends and families. Whether you are a tea lover or not, here you will discover stories that speak to you and inspire you. Sit down, grab a cup, and read on.
