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Is Mutual Fund Performance Persistent Evidence From The Polish Market
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Book Synopsis Is Mutual Fund Performance Persistent? Evidence from the Polish Market? by : Adam Zaremba
Download or read book Is Mutual Fund Performance Persistent? Evidence from the Polish Market? written by Adam Zaremba and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper addresses an issue of the performance persistence in a mutual fund market. The study focuses especially on the evidence from Poland. The past performance of mutual funds is widely regarded as a key criterion in investment decision making in Poland nowadays, whereas existing empirical evidence does not confirm its predictive power. The paper consists of three main parts. The first is a review of existing academic evidence of the performance persistence. The second is the analysis of the performance persistence among Polish equity and money market funds in years 1998-2009. Three methods of analysis are employed: quartile analysis, raw-data correlation and rank correlation. The last section of the article consists of conclusions and recommendations. The study confirms existence of the persistence in raw returns and risk-adjusted returns among the Polish money market funds but not among the equity funds. There is also a strong evidence of the volatility persistence in the both group of mutual funds.
Book Synopsis Testing for Persistence in Mutual Fund Performance and the Ex Post Verification Problem by : Vassilios Babalos
Download or read book Testing for Persistence in Mutual Fund Performance and the Ex Post Verification Problem written by Vassilios Babalos and published by . This book was released on 2011 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study examines a series of performance measures as an attempt to resolve the ex post verification problem. These measures are employed to test the performance persistence hypothesis of domestic equity funds in Greece, during the period 1998-2004. Correctly adjusting for risk factors and documented portfolio strategies explains a significant part of the reported persistence. The intercept of the augmented Carhart regression is proposed as the most appropriate performance measure. Using this measure, weak evidence for persistence, only before 2001, is documented. The growth of the fund industry, the direction of flows to past winners and the integration in the international financial system are suggested to be the reasons for the absence of performance persistence.
Book Synopsis Performance Persistence by : Andreas Grünbichler
Download or read book Performance Persistence written by Andreas Grünbichler and published by . This book was released on 1999 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Overview of Fund Performance and Attributes by : Dariusz Filip
Download or read book An Overview of Fund Performance and Attributes written by Dariusz Filip and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this study is to determine whether mutual fund attributes are related to investment performance. Organizational characteristics, such as size, age, family size and expense ratio, were collated with investment performance measured with the use of four different methods for a sample of 82 domestic equity funds operating in Poland in the period 2000-2015. The obtained results show that the asset size factor can translate into the generated return on investment. However, it must be indicated that this research is preliminary. It will enable the identification of the fund features which could be interpreted as determinants of performance in future studies employing more advanced research approaches.
Book Synopsis A Comparison of Short-Term Persistence of Mutual Fund Performance in Europe by : Javier Vidal-García
Download or read book A Comparison of Short-Term Persistence of Mutual Fund Performance in Europe written by Javier Vidal-García and published by . This book was released on 2017 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The mutual fund industry in Europe has experienced significant growth during recent years as a consequence of the integration of its markets. However, the European mutual fund industry is still an unexplored area of research with only a few significant articles compared to the US industry. In this article, we examine the short-term persistence in mutual fund performance in Europe between 1990 and 2015. Using a sample of daily survivorship bias-free data on the five most important European mutual fund countries, we find statistically significant persistence in the post-ranking quarter across different performance models for all countries. This evidence is present across all deciles including the top-decile and bottom-decile mutual funds.
Book Synopsis The Persistence of Mutual Funds Performance by : Dimitris Kenourgios
Download or read book The Persistence of Mutual Funds Performance written by Dimitris Kenourgios and published by . This book was released on 2005 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the past performances of mutual funds as a criterion for investors' future choices. In particular, it examines if mutual funds (which invested in the U.K. stock market) that have presented the highest return through one or two years continue the same high performances through the future years. We start our analysis by calculating the annually returns of all funds and the Jensen's measure of performance (in the context of CAPM). Moreover, we test persistence by constructing two-way tables showing the successful performance over successive two-year and one year period. Afterwards, we simulate a strategy of investing in the top performing mutual funds during the preceding two years. We conclude that in 1990s persistence is weak. We do not find strong evidence that past returns provide information about future returns. As most of the results in relevant studies, our results may be subject to survivorship bias, because we do not include in our sample funds that have ceased to exist or merged or started their operation after 1990 (they do not have complete observations).
Book Synopsis Performance Evaluation of Polish Mutual Fund Managers by : Pawel Rzezniczak
Download or read book Performance Evaluation of Polish Mutual Fund Managers written by Pawel Rzezniczak and published by . This book was released on 2008 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study aims at evaluating the performance of mutual fund managers in one of the fastest growing financial markets in emerging Europe. We use well-known performance evaluation measures to investigate whether private investors in Poland have benefited from investing in mutual funds. Our analysis focuses on returns over the period 2000-2007 for three categories of mutual funds: (1) equity, (2), bond, and (3) balanced mutual funds. Our results indicate that mutual funds in each of these three categories have positive, but insignificant selectivity skill, indicating that a private investor would not have been worse of by investing in mutual funds. We do not find any evidence of equity or bond market timing skill by Polish mutual funds. This conclusion does not depend on our choice of evaluation model taking into account the direction and/or the magnitude of the market return.
Book Synopsis Persistence in Mutual Fund Performance by : Zekeriya Eser
Download or read book Persistence in Mutual Fund Performance written by Zekeriya Eser and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Impact of Fund Attributes on Performance by : Dariusz Filip
Download or read book The Impact of Fund Attributes on Performance written by Dariusz Filip and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article investigates the relationship between the attributes and performance of mutual funds in Poland. The study employs classic measures of return and the most popular organizational factors discussed in the financial literature. By using a relatively large dataset of 152 equity funds operating during the 2002-2015 period, we were able to find performance dependence on fund characteristics in samples consisting of domestic or foreign entities. The results obtained by means of panel data estimation indicate that fund size and expense ratio have a positive impact on the achieved returns. Fund age is treated as a parameter that influences performance in a negative way.
Book Synopsis Testing for Persistence in Mutual Fund Performance and the Ex Post Verification Problem by :
Download or read book Testing for Persistence in Mutual Fund Performance and the Ex Post Verification Problem written by and published by . This book was released on 2007 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Persistence & Survivorship Bias in Mutual Funds: An Indian Experience by : Manju Punia Chopra
Download or read book Persistence & Survivorship Bias in Mutual Funds: An Indian Experience written by Manju Punia Chopra and published by LAP Lambert Academic Publishing. This book was released on 2012-03-01 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study utilizes few selected performance evaluation techniques on a sample of 36 Indian mutual fund schemes, over the period of January 2001 to September 2009. The broad based S&P CNX NIFTY is used in the study as a benchmark. The results concluded that these 36 mutual fund managers were on average not able to predict security prices well enough to outperform a buy-the-market-and-hold policy. There was very little evidence of any individual fund being able to do significantly better than which was expected from random chance. On the other hand, no evidence of curvature of the characteristic lines, indicating superior timing skill, is found for any of the funds. In addition, the study offers little evidence of persistence in either the stock selection ability or the timing ability of the fund managers. Mutual fund attrition can create problems for a researcher because funds disappear due to presumably poor performance resulting into bias in research outcome. In this study we also revisit the mutual fund performance, including the disappeared mutual fund schemes during sample period. By tracking disappeared funds, the study does not find any evidence of survivorship bias.
Book Synopsis Short-Term Persistence in Mutual Funds Performance by : Sanjay Sehgal
Download or read book Short-Term Persistence in Mutual Funds Performance written by Sanjay Sehgal and published by . This book was released on 2007 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we examine if there is any short-term persistence in mutual funds performance in the Indian context. We find no evidence that confirms persistence using monthly data. Using daily data, we observe that for fund schemes sorted on prior period four-factor abnormal returns, the winners portfolio does provide gross abnormal returns of 10% per annum on post-formation basis. The economic feasibility of zero-investment trading strategies that involve buying past winners and selling past losers is however in doubt. This is owing to the fact that these strategies generate low gross returns and that the winners portfolios involve higher investment costs than losers portfolios, thus destroying a major portion of extra-normal returns. Our empirical findings are consistent with the efficient market hypothesis and have implications for hedge funds and other managed portfolios who rely on innovative investment styles, including the fund of funds trading strategies that implicitly assume short-term persistence.
Book Synopsis Explaining Persistence in Mutual Fund Performance by : F. Detzel
Download or read book Explaining Persistence in Mutual Fund Performance written by F. Detzel and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the determinants of persistence in mutual fund performance. Previous research that uses factor-mimicking portfolios and characteristic benchmarks to model fund performance fails to explain all the persistence in fund returns. This study employs a model that directly relates mutual fund returns to the characteristics of the stocks held by funds. Adjusting fund returns for the size of the stocks in which funds invest and financial ratios intended to capture fund manager investment styles explains all the persistence in mutual fund returns from 1976-1985, the period in which persistence is most prevalent.
Download or read book Mutual Funds written by Dariusz Filip and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The main aim of this paper is to examine whether the performance of mutual funds in the 2000-2015 period in the Czech Republic, Hungary and Poland was related to net asset value under management. The study is also to verify the hypothesis regarding the fund size at which performance decreases, causing the erosion effect in the three analyzed markets. The obtained results show a slightly positive relationship between asset size and returns. After dividing the total samples of Czech, Hungarian and Polish funds into subsamples consisting of entities with a comparable size of capital bases, it turned out that the main findings can be explained by relations observed in the subsamples of small funds (both Czech and Polish) and partly in Hungarian funds. The presented evidence may be insufficient to confirm or reject the hypothesis about the optimal fund size, but the observed positive influence of assets under management on fund performance suggests that mutual fund industries in the mentioned CEE countries are still in a developing phase and are able to increase the asset size while maintaining efficiency. Hence, the performance erosion effect does not exist in the investigated markets.
Book Synopsis Mutual Fund Performance Persistence by : Thomas C. H. Sandvall
Download or read book Mutual Fund Performance Persistence written by Thomas C. H. Sandvall and published by . This book was released on 1998 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Market Frictions, Investor Sophistication, and Persistence in Mutual Fund Performance by : Ariadna Dumitrescu
Download or read book Market Frictions, Investor Sophistication, and Persistence in Mutual Fund Performance written by Ariadna Dumitrescu and published by . This book was released on 2017 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We extend the model of Berk and Green (2004) to investigate the impact of two frictions, search costs and fi nancial constraints, on mutual fund performance. Our model predicts the survival of underperforming funds and delivers two new predictions: 1) differences in performance across funds are likely to persist; and 2) mutual funds targeted to less sophisticated investors should exhibit higher dispersion in expected performance. Using data on U.S. domestic diversi fied equity mutual funds we find empirical support for these predictions.
Book Synopsis Do Mutual Funds Time the Market? Evidence from Portfolio Holdings by : George J. Jiang
Download or read book Do Mutual Funds Time the Market? Evidence from Portfolio Holdings written by George J. Jiang and published by . This book was released on 2020 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous research finds insignificant market-timing ability for mutual funds using tests based on fund returns. The return-based tests, however, are subject to the lsquo;lsquo;artificial timing'' bias. In this paper, we propose and implement new measures of market timing based on mutual fund holdings. Our holdings-based measures do not suffer from the artificial timing bias. We find that, on average, actively managed U.S. domestic equity funds have positive timing ability. Market timing funds use non-public information to predict market returns, tend to have high industry concentration, large fund size, a tilt toward small-cap stocks, and are active in industry rotation.lt;brgt.
