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Style Consistency And Mutual Fund Returns
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Book Synopsis Style Consistency and Mutual Fund Returns by : Adiya Bayarmaa
Download or read book Style Consistency and Mutual Fund Returns written by Adiya Bayarmaa and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper carries out style analysis for Russian mutual funds using monthly data from the National Managers' Association over the period January 2008-December 2017; specifically, it applies the RSBA method developed by Sharpe (1992) for evaluating the impact of style on returns, and uses the Style Drift Score (SDS) introduced by Idzorek (2004) as a measure of a fund's style drifting activity. The main findings can be summarised as follows. In the Russian case there is a significant positive relationship between style consistency and profitability of funds. Further, Russian funds are characterised by a high level of style drift, namely deviations from the investment strategy declared at the time of registration as required by Russian law.
Book Synopsis Style Consistency, Fund Flow and Performance by : Russell B. Gregory-Allen
Download or read book Style Consistency, Fund Flow and Performance written by Russell B. Gregory-Allen and published by . This book was released on 2015 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research investigates the relationship between mutual funds investment style consistency, the future funds performance, and funds net flow. Using a large sample of actively-managed U.S. equity mutual funds from Morningstar database, for the period from January 2002 to December 2011, 5555 mutual funds are classified into nine style categories. Our results support the findings from existing literatures that style consistency is of vital importance to fund performance. Taking a different approach we find that more style consistent funds tend to have better long term future performance. However, results suggest that style consistency is not related to future funds net flows, indicating that investors do not pay more attention to style consistency when making their future investment decisions.
Book Synopsis Staying the Course by : Keith C. Brown
Download or read book Staying the Course written by Keith C. Brown and published by . This book was released on 2006 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: While a mutual fund's investment style influences the returns it generates, little is known about how a manager's execution of the style decision might affect performance. Using multivariate techniques for measuring the consistency of a portfolio's investment mandate, we demonstrate that more style-consistent funds tend to produce higher total and relative returns than less consistent funds, after controlling for past performance and portfolio turnover. These findings are robust across fund investment style classifications, the return measurement period, and the model used to calculate expected returns. We document a positive relationship between measures of fund style consistency and the persistence of its future performance, net of momentum and past performance effects. We conclude that the decision to maintain a consistent investment style is an important aspect of the portfolio management process.
Book Synopsis Staying the Course by : Keith C. Brown
Download or read book Staying the Course written by Keith C. Brown and published by . This book was released on 2010 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: While a mutual fund's investment style influences the returns it generates, little is known about how a manager's execution of the style decision affects portfolio performance. Using both returns- and holdings-based techniques to measure the consistency with which managers approach their investment mandates, we demonstrate that, on average, more style-consistent funds significantly outperform less style-consistent funds on a risk-adjusted basis. This result differs from portfolio turnover and expense ratio effects and is robust with respect to the period used to measure future returns. We also show that fund style consistency and the persistence of risk-adjusted performance over time are distinct influences and demonstrate the potential profitability of trading strategies based on their combined impact. We conclude that deciding to maintain a consistent investment style is an important aspect of the portfolio management process.
Book Synopsis Does Mutual Fund Investment Style Consistency Affect the Performance of Mutual Funds? by : Yi Zhao
Download or read book Does Mutual Fund Investment Style Consistency Affect the Performance of Mutual Funds? written by Yi Zhao and published by . This book was released on 2009 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Mutual Fund Investment Styles by : Louis Kuo Chi Chan
Download or read book On Mutual Fund Investment Styles written by Louis Kuo Chi Chan and published by . This book was released on 1999 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide an exploratory investigation of mutual funds' investment styles. Funds' styles tend to cluster around a broad market benchmark. When funds deviate from the benchmark they are more likely to favor growth stocks with good past performance. There is some consistency in styles, although funds with poor past performance are more likely to change styles. Some evidence suggests that growth funds have better style-adjusted performance than value funds. The results are not sensitive to style identification procedure, but an approach based on fund portfolio characteristics performs better in predicting future fund returns
Book Synopsis On Mutual Fund Investment Styles by : Louis K.C. Chan
Download or read book On Mutual Fund Investment Styles written by Louis K.C. Chan and published by . This book was released on 2010 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide an exploratory investigation of mutual funds' investment styles. Funds' styles tend to cluster around a broad market benchmark. When funds deviate from the benchmark they are more likely to favor growth stocks with good past performance. There is some consistency in styles, although funds with poor past performance are more likely to change styles. Some evidence suggests that growth funds have better style-adjusted performance than value funds. The results are not sensitive to style identification procedure, but an approach based on fund portfolio characteristics performs better in predicting future fund returns.
Book Synopsis Mutual Fund Performance and Performance Persistence by : Peter Lückoff
Download or read book Mutual Fund Performance and Performance Persistence written by Peter Lückoff and published by Springer Science & Business Media. This book was released on 2011-01-22 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt: Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.
Book Synopsis Style Investing by : Lukasz Pomorski
Download or read book Style Investing written by Lukasz Pomorski and published by . This book was released on 2004 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: I investigate the impact of returns on broad styles, such as growth funds, on mutual fund flows. I test whether mutual fund investors pursue styles, as predicted by the style investing hypothesis of Barberis and Shleifer (2003). Although in the aggregate, style-level flows to style categories are positively (negatively) related to past returns on the given category (other categories), at the individual fund level this pattern disappears. In fact, after controlling for fund returns, flows are negatively related to style performance. Such patterns persist for three different style classifications I consider here. The findings go against the hypothesis of style investing, and are consistent with within-style return chasing and evaluating fund managers based on both fund-level and style-level returns.
Book Synopsis Stock Composition of Mutual Funds and Fund Style by : Jaydip Sen
Download or read book Stock Composition of Mutual Funds and Fund Style written by Jaydip Sen and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we present a generic approach for checking the consistency between the proclaimed style of a mutual fund and the actual fund composition. We use a method of time series decomposition of stock prices to ascertain whether their inclusion in a particular style of fund is justified. It has been our contention that some share prices have a strong trend component in their time series, some show seasonality, while some share prices exhibit strong random component. We have chosen a sample of eleven equity- based mutual funds of varying styles, from Indian financial market and analyzed whether the style of the fund matches with the stock composition of the fund. We feel that the retail investors, who buy into certain funds on the basic trust that fund managers have the requisite expertise, should know whether the portfolio matches what they promise. A detailed analysis of the results show that, while in majority of cases the actual allocation of funds is consistent with the corresponding fund style, there have been some notable deviations too.
Book Synopsis Decomposition of Time Series Data to Check Consistency Between Fund Style and Actual Fund Composition of Mutual Funds by : Jaydip Sen
Download or read book Decomposition of Time Series Data to Check Consistency Between Fund Style and Actual Fund Composition of Mutual Funds written by Jaydip Sen and published by . This book was released on 2016 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a novel approach for analysis of the composition of an equity mutual fund based on the time series decomposition of the price movements of the individual stocks of the fund. The proposed scheme can be applied to check whether the style proclaimed for a mutual fund actually matches with the fund composition. We have applied our proposed framework on eight well known mutual funds of varying styles in the Indian financial market to check the consistency between their fund style and actual fund composition, and have obtained extensive results from our experiments. A detailed analysis of the results has shown that while in majority of the cases the actual allocations of funds are consistent with the corresponding fund styles, there have been some notable deviations too.
Book Synopsis Long-run Consistency in Mutual Fund Performance by : James E. Briley
Download or read book Long-run Consistency in Mutual Fund Performance written by James E. Briley and published by . This book was released on 1998 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Analyzing Style Biases and Performance of Funds by : D. N. Rao
Download or read book Analyzing Style Biases and Performance of Funds written by D. N. Rao and published by . This book was released on 2009 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fund managers adopt a variety of investment styles to offer wide ranging mutual fund plans which give rise to different performance levels. Globally, the size of assets managed, the number and variety of mutual funds has seen exponential growth in the last five years and the mutual industry has become very competitive. The task of today's fund manager has become complex and hence it is no more bundling a few stocks and trying to beat the market. To succeed in the highly competitive market place, a fund manager needs to make a conscious choice with regard to investment style that is consistent with fund objectives.In view of this, the article sets out to illustrate a methodology to identify, develop style measures and analyze the broad investment styles of contemporary fund managers. Based upon the past empirical evidence, the article discusses implications of the nine investment styles upon fund performance leading to generalization of risk-return profile of funds associated with the investment styles.
Book Synopsis Frontiers of Modern Asset Allocation by : Paul D. Kaplan
Download or read book Frontiers of Modern Asset Allocation written by Paul D. Kaplan and published by John Wiley & Sons. This book was released on 2011-12-27 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Innovative approaches to putting asset allocation into practice Building on more than 15 years of asset-allocation research, Paul D. Kaplan, who led the development of the methodologies behind the Morningstar Rating(TM) and the Morningstar Style Box(TM), tackles key challenges investor professionals face when putting asset-allocation theory into practice. This book addresses common issues such as: How should asset classes be defined? Should equities be divided into asset classes based on investment style, geography, or other factors? Should asset classes be represented by market-cap-weighted indexes or should other principles, such as fundamental weights, be used? How do actively managed funds fit into asset-class mixes? Kaplan also interviews industry luminaries who have greatly influenced the evolution of asset allocation, including Harry Markowitz, Roger Ibbotson, and the late Benoit Mandelbrot. Throughout the book, Kaplan explains allocation theory, creates new strategies, and corrects common misconceptions, offering original insights and analysis. He includes three appendices that put theory into action with technical details for new asset-allocation frameworks, including the next generation of portfolio construction tools, which Kaplan dubs "Markowitz 2.0."
Book Synopsis Are Style Rotating Funds Successful at Style Timing? Evidence from the US Equity Mutual Fund Market by : Adam James Corbett
Download or read book Are Style Rotating Funds Successful at Style Timing? Evidence from the US Equity Mutual Fund Market written by Adam James Corbett and published by . This book was released on 2016 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Are managers who style-rotate successful at timing style shifts? Or, does this type of activity erode fund value? It is well documented that fund styles exposures vary over time, whether it be a result of passive style drift or strategic changes by managers to capitalise on broad style movements. It is therefore reasonable to expect that funds with high style rotation ought to be capable of timing broad style movements. This paper investigates whether funds that frequently change investment styles are capable of timing style movement, and how this behaviour influences performance. Time-varying fund style exposures are estimated for a sample of US domestic equity mutual funds from a dynamic state-space factor model as well as from a holdings-based approach. Style-timing ability is measured from four-factor Treynor-Mazuy and Henriksson-Merton models. The results show that funds that more aggressively rotate portfolios across market, size, value and momentum exposures are less capable of timing movements in these respective style categories and as such perform worse than those that maintain consistent style exposures.
Book Synopsis Investment Performance Measurement by : Philip Lawton, CIPM
Download or read book Investment Performance Measurement written by Philip Lawton, CIPM and published by John Wiley & Sons. This book was released on 2009-05-18 with total page 984 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment Performance Measurement Over the past two decades, the importance of measuring, presenting, and evaluating investment performance results has dramatically increased. With the growth of capital market data services, the development of quantitative analytical techniques, and the widespread acceptance of Global Investment Performance Standards (GIPS®), this discipline has emerged as a central component of effective asset management and, thanks in part to the Certificate in Investment Performance Measurement (CIPM) program, has become a recognized area of specialization for investment professionals. That's why Investment Performance Measurement: Evaluating and Presenting Results the second essential title in the CFA Institute Investment Perspectives series has been created. CFA Institute has a long tradition of publishing content from industry thought leaders, and now this new collection offers unparalleled guidance to those working in the rapidly evolving field of investment management. Drawing from the Research Foundation of CFA Institute, the Financial Analysts Journal, CFA Institute Conference Proceedings Quarterly, CFA Magazine, and the CIPM curriculum, this reliable resource taps into the vast store of knowledge of some of today's most prominent thought leaders from industry professionals to respected academics who have focused on investment performance evaluation for a majority of their careers. Divided into five comprehensive parts, this timely volume opens with an extensive overview of performance measurement, attribution, and appraisal. Here, you'll become familiar with everything from the algebra of time-weighted and money-weighted rates of return to the objectives and techniques of performance appraisal. After this informative introduction, Investment Performance Measurement moves on to: Provide a solid understanding of the theoretical grounds for benchmarking and the trade-offs encountered during practice in Part II: Performance Measurement Describe the different aspects of attribution analysis as well as the determinants of portfolio performance in Part III: Performance Attribution Address everything from hedge fund risks and returns to fund management changes and equity style shifts in Part IV: Performance Appraisal Recount the history and explain the provisions of the GIPS standards with attention paid to the many practical issues that arise in the course of its implementation in Part V: Global Investment Performance Standards Filled with invaluable insights from more than fifty experienced contributors, this practical guide will enhance your understanding of investment performance measurement and put you in a better position to present and evaluate results in the most effective way possible.
Book Synopsis Portfolio Performance Measurement and Benchmarking, Chapter 24 - Styles, Factors, and Equity Benchmarks by : Jon A. Christopherson
Download or read book Portfolio Performance Measurement and Benchmarking, Chapter 24 - Styles, Factors, and Equity Benchmarks written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 21 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.
