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Performance And Performance Persistence Of Ethical Mutual Funds
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Book Synopsis Performance and Performance Persistence of Ethical Mutual Funds by : Lorenzo Dalessi
Download or read book Performance and Performance Persistence of Ethical Mutual Funds written by Lorenzo Dalessi and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This work explores the performance of ethical mutual funds against the returns of the MSCI World Index over the period from 2003 to 2018. As previous literature on performance of ethical funds has mainly focused on ethical funds as a homogenous group, I divide ethical funds into different categories based on their investment focus and I analyze and compare them against the benchmark and against each other in order to draw conclusions on their performance. I show that ethical mutual funds do not underperform the MSCI World Index and that some categories, such as funds that invest by selecting investments that consider either environmental, social, or governance factors, achieve superior returns that are statistically significant. I find that Sharpe ratios of the MSCI World Index, ESG focused funds, social funds and ethical mutual funds, considered as an overhead category, are similar. While analyzing the value drivers, I conclude that for ethical mutual funds both size and being ESG focused have a positive impact on returns whereas being from traditional markets or being organized as unit trust negatively affect performance. I argue that it could be beneficial for investors to include ethical mutual funds in their investment portfolio as these funds show lower sensitivity than the market portfolio and can provide stability of returns in market downturns.
Book Synopsis Performance of Mutual Funds by : G. Gregoriou
Download or read book Performance of Mutual Funds written by G. Gregoriou and published by Springer. This book was released on 2015-12-04 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book responds to a growing demand for mutual funds. This timely collection of original papers focuses on changes of international investment in Europe, the US and New Zealand. Using a fresh approach, innovative techniques and various models this book assesses performance and provides an understanding of mutual funds on an international level.
Book Synopsis Handbook of Asian Finance by : David Lee Kuo Chuen
Download or read book Handbook of Asian Finance written by David Lee Kuo Chuen and published by Academic Press. This book was released on 2014-05-15 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: Participants in Asian financial markets have witnessed the unprecedented growth and sophistication of their investments since the 1997 crisis. Handbook of Asian Finance: REITs, Trading, and Fund Performance analyzes the forces behind these growth rates. Insights into banking, fund performance, and the effects of trading technologies for practitioners to tax evasion, market manipulation, and corporate governance issues are all here, presented by expert scholars. Offering broader and deeper coverage than other handbooks, the Handbook of Asian Finance: REITs, Trading, and Fund Performance explains what is going on in Asia today. Presents the only micro- and market-related analysis of pan-Asian finance available today Explores the implications implicit in the expansion of sovereign funds and the growth of the hedge fund and real estate fund management industries Investigates the innovations in technology that have ushered in faster capital flow and larger trading volumes
Book Synopsis Hedge Funds Meet ESG by : Pascal Münch
Download or read book Hedge Funds Meet ESG written by Pascal Münch and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper addresses the research gap in the socially responsible investing (SRI) literature related to hedge funds. I employ a holdings-based approach to evaluate the environmental, social and governance (ESG) as well as financial performance of hedge funds in a long-only equity setting over a time period between 2002 to 2012. On average, I find that hedge funds increased their exposure to ethical stocks and showcase long-term ESG performance persistence. I find mixed results regarding the financial performance of ethical hedge funds. Hedge funds with superior ethical performance exhibit abnormal returns that are insignificantly different or worse compared to both (1) peers with low ethical performance and (2) conventional funds (e.g., mutual funds) with high ethical performance. Thus, I find no evidence for a consistent link between the financial performance of hedge funds and the consideration of SRI strategies, similar to the verdict of much of the SRI mutual fund literature.
Book Synopsis Is There Long-Term Persistence in Mutual Fund Performance? by :
Download or read book Is There Long-Term Persistence in Mutual Fund Performance? written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, I analyze long-term performance persistence for a sample of 6525 US equity mutual funds between 1970 and 2013. I test for evidence of five-year performance persistence by using a non-parametric method involving the construction of contingency tables. I also apply a parametric cross-sectional regression of fund performance on past fund performance. I conduct the tests with four different performance measures, namely continuous returns, Jensen's alphas, Four Factor alphas and Sharpe Ratios. I find evidence for performance persistence across all performance measures and with both methodologies. Four Factor alphas show the most significant evidence. The observed persistence is to a great extent driven by funds that consistently perform below or equal to the median of their peers during the analyzed time periods. Performance persistence is especially pronounced during periods where the market shows a sustained upward or downward trend. The results are robust for longer time horizons up to ten years. I find reversals in performance to occur especially when the testing period is to a large extent characterized by a sharp negative market movement, such as the aftermath of the technology bubble in the early years of the 21st century. Past performance over longer time periods can therefore be considered for the evaluation of a long-term investment in a mutual fund, but should not be used as a standalone criterion.
Book Synopsis International Evidence on Ethical Mutual Fund Performance and Investment Style by : Rob Bauer
Download or read book International Evidence on Ethical Mutual Fund Performance and Investment Style written by Rob Bauer and published by . This book was released on 2002 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Differences in Short-Term Performance Persistence by Mutual Fund Equity Class by : Andrew L. Detzel
Download or read book Differences in Short-Term Performance Persistence by Mutual Fund Equity Class written by Andrew L. Detzel and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: To consistently earn positive alpha, active fund managers must have access to mispriced stocks. We show that mispricing varies by equity class in such a way that greater mispricing occurs in smaller-cap and more value-oriented stocks, providing opportunity for managers in these classes. Accordingly, we find the greatest evidence that top-performing mutual fund managers continue to earn positive alpha in smaller-cap and more value-oriented classes when investigating quarterly performance persistence by equity class. Conversely, large cap funds show no evidence of persistence in superior performance. In contrast to the patterns of persistence in superior performance, relative performance persists in all equity classes.
Book Synopsis Style Rotation and Performance Persistence of Mutual Funds by : Iwan Meier
Download or read book Style Rotation and Performance Persistence of Mutual Funds written by Iwan Meier and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Performance of Socially Responsible Investment Funds in Europe by : Eva Maria Kreibohm
Download or read book The Performance of Socially Responsible Investment Funds in Europe written by Eva Maria Kreibohm and published by BoD – Books on Demand. This book was released on 2016-11-30 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: Socially responsible investing (SRI) is an investment approach that combines investors’ financial as well as nonfinancial goals in the security selection process. Technically, investors can engage in SRI either by directly investing in companies that implement corporate social activities or by investing their money in SRI funds, which apply screening criteria to select securities. The screening process applied by the SRI funds has led to controversy among academics regarding whether the use of SRI screens in the security selection process influences the financial performance of the funds. The empirical study analyzes whether or not the screening process applied by such funds influences their financial performance. Previous research mostly has focused on analyzing the performance of SRI equity funds established in the United States. The study at hand not only includes SRI equity funds, but also SRI balanced and fixed income funds established in Europe, the biggest market for SRI globally. The study provides unexpected results that are not only of interest for investors, who want to get a better understanding of the effect on the financial performance of their portfolios in case SRI funds are added. The results are also relevant for SRI fund managers, who are interested in promoting their funds and attracting (new) investors, and for academics, whose research interests are e. g., located in the fields of SRI, fund portfolio performances and market efficiencies.
Book Synopsis Mutual Fund Performance Persistence and Competition by : Aneel Keswani
Download or read book Mutual Fund Performance Persistence and Competition written by Aneel Keswani and published by . This book was released on 2005 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Existing work on mutual fund performance persistence has obtained diverse results, depending on the group of funds studied. We examine whether performance persistence within a peer group of competing mutual funds depends on the group's composition. The UK mutual fund industry is ideal for such an examination, because funds compete within strictly defined sectors. We consider several sector-level attributes related to the intensity of competition within a sector and use them to explain sector-level persistence. We find robust evidence that persistence is higher in sectors where concentration of assets under management is higher. Our results indicate that the competitiveness of a mutual fund sector influences persistence in the relative performance of its members.
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 Socially Responsible Investment by : Enrique Ballestero
Download or read book Socially Responsible Investment written by Enrique Ballestero and published by Springer. This book was released on 2014-11-18 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book integrates socially responsible investment into modern portfolio theory from a multi-criteria perspective. Socially responsible investment is a “new deal” championed by the institutional investment and bank sectors, agents that influence mutual funds and other collective investment schemes and which fear that financial strategies without ethical constraints can harm sustainable growth and prosperity. The book shows how to combine financial criteria such as profitability and risk with non-financial criteria such as the protection of the ecosystem, responsible consumption of energy, and healthcare campaigns. The book’s first part presents critical issues in ethical investment, while the second explains in detail the application of goal programming techniques for SRI funds, illustrating their use in actual cases. Part three demonstrates how compromise programming can be applied in the contexts of portfolio selection and risk management. Finally, in its fourth part the book examines the application of other decision-making support methods like the Analytic Hierarchy Process (AHP) framework, the Reference Point Method, and soft computing techniques for portfolio selection.
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 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 Performance Persistence in Institutional Investment Management by : Jeffrey A. Busse
Download or read book Performance Persistence in Institutional Investment Management written by Jeffrey A. Busse and published by . This book was released on 2006 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using new, survivorship-bias free data, we examine performance persistence in 6,260 institutional portfolios managed by 1,475 investment management firms between 1991 and 2004. Unlike retail mutual funds, persistence in winner domestic equity portfolios is significant and economically large for up to one year. Loser portfolios, conversely, do not persist. International portfolios exhibit similar patterns, and fixed income portfolios persist up to three years. We find that better-performing portfolios offer performance-based fees and most-favored-nation clauses more often, but also charge higher fees. The magnitude of fees is insufficient to eliminate excess returns. Top performers draw an influx of assets from plan sponsors, and in the year following such inflows, alphas sharply decline.
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.
Book Synopsis The Short-Term Persistence of International Mutual Fund Performance by : Javier Vidal-García
Download or read book The Short-Term Persistence of International Mutual Fund Performance written by Javier Vidal-García and published by . This book was released on 2015 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the short term persistence in performance of equity mutual funds around the world between 1990 and 2013. Using a large survivorship bias-free sample for 35 countries, we document strong evidence of persistence in daily mutual fund returns over quarterly measurement periods. We rank countries by abnormal return and estimate the performance of each country the following quarter. We find statistically and economically significant performance persistence, although persistence is much more pronounced for the top and bottom countries. The post-ranking abnormal return disappears when performance is examined over longer time periods. Thus, our results confirm that superior performance is a short-lived phenomenon.
