Swedish Equity Mutual Funds: Performance, Persistence and Presence of Skill

Purpose 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 nonparametric 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.

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Manipulation and performance persistence: an examination of Iranian equity mutual fund performance

International Journal of Islamic and Middle Eastern Finance and Management ◽

10.1108/imefm-07-2020-0376 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Mahsa Hosseini ◽

Mohammad Khodaei Valahzaghard ◽

Ali Saeedi

Keyword(s):

Mutual Funds ◽

Performance Measures ◽

Mutual Fund ◽

Performance Measure ◽

Performance Persistence ◽

Content Type ◽

Lower Tertile ◽

Time Horizons ◽

Equity Mutual Funds ◽

And Performance

Purpose This paper aims to study manipulation and performance persistence in equity mutual funds. To this end, Manipulation-Proof Performance Measure (MPPM) and Doubt Ratio, along with a number of current performance measures are used to evaluate the performance of equity mutual funds in Iran. Design/methodology/approach The authors investigate performance manipulation by 1) comparing the results of the MPPM with the current performance measures, 2) checking the Doubt Ratio to detect suspicious funds. Additionally, the authors investigate performance persistence by forming and evaluating portfolios of the equity mutual funds at several time horizons. Findings The authors conclude that there is no evidence of performance manipulation in the equity mutual funds. Additionally, when comparing the performance of the upper (top) tertile portfolios and the lower tertile portfolios, in all of the studied 1, 3, 6 and 12-month horizons, the authors find performance persistence in the equity mutual funds. Originality/value To the best of the authors’ knowledge, this research is the first study to investigate the performance manipulation in the Iranian equity mutual funds, and also is the first study in Iran that uses the MPPM and the Doubt Ratio in addition to a number of current performance measures to investigate the performance persistence in the equity mutual funds at several time horizons.

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Can mutual fund managers predict security prices to beat the market?The case of Greece during the debt crisis

The Journal of Prediction Markets ◽

10.5750/jpm.v12i3.1644 ◽

2019 ◽

Vol 12 (3) ◽

pp. 40-62

Author(s):

Drosos Koutsokostas ◽

Spyros Papathanasiou ◽

Nikolaos Eriotis

Keyword(s):

Mutual Funds ◽

Debt Crisis ◽

Market Timing ◽

Performance Persistence ◽

Stock Selection ◽

Short Term ◽

Index Funds ◽

Fund Managers ◽

Equity Mutual Funds ◽

Term Performance

The purpose of this paper is to examine the performance of Greek equity mutual funds, elaborating on stock selection in parallel with market timing measures, in comparison with the performance of ETFs and index funds for the period 01/24/2008-05/12/2017, and the short-term performance persistence of actively managed funds for the period 05/12/2015-05/12/2017. Using all domestic equity mutual funds at our disposal and daily data, the authors apply multi-factor models to estimate risk-adjusted returns and to evaluate the selectivity and market timing ability of fund managers. In order to investigate short-term performance persistence, the coexistence of stock selection and market timing strategy is allowed and a battery of parametric and nonparametric tests is implemented. Results show that actively managed mutual funds underperformed the market index, as well as passively managed ETFs and index funds, primarily due to the managers’ inability to time the market. Furthermore, a winner-picking strategy to outperform a-buy-the-market-and hold policy is questioned.

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Swedish Equity Mutual Funds 1993-2013: Performance, Persistence and Presence of Skill

SSRN Electronic Journal ◽

10.2139/ssrn.3082073 ◽

2017 ◽

Author(s):

Harry Flam ◽

Roine Vestman

Keyword(s):

Mutual Funds ◽

Performance Persistence ◽

Equity Mutual Funds

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Mutual funds in Greece: case study of domestic equity mutual funds during a financial crisis

Managerial Finance ◽

10.1108/mf-10-2016-0293 ◽

2017 ◽

Vol 43 (7) ◽

pp. 812-827 ◽

Cited By ~ 3

Author(s):

Drosos Koutsokostas ◽

Spyros Papathanasiou

Keyword(s):

Mutual Funds ◽

Market Timing ◽

Abnormal Returns ◽

Performance Persistence ◽

Stock Selection ◽

Short Term ◽

Content Type ◽

General Index ◽

Equity Mutual Funds ◽

Term Performance

Purpose The purpose of this paper is to examine the performance of Greek equity mutual funds for the period 2012-2016, analyzing further the selectivity and market timing ability, and short-term performance persistence for the period 2015-2016. Design/methodology/approach Utilizing a survivorship-bias-controlled sample of 25 funds and daily data, the authors use single-index (Jensen, 1968) and multi-factor (Carhart, 1997) models to evaluate risk-adjusted returns using the General Index of Athens Stock Exchange as a benchmark. The Treynor-Mazuy (1966) and Henriksson-Merton (1981) models are used to assess the stock selection and market timing abilities of fund managers. In order to investigate short-term performance persistence, the authors implement a variety of parametric (Bollen and Busse, 2005) and nonparametric tests (Malkiel, 1995; Brown and Goetzmann, 1995; Kahn and Rudd, 1995). Findings Results show that the funds underperformed the General Index, mainly due to the managers’ market timing inability. Furthermore, weak evidence for short-term performance persistence has been documented. Research limitations/implications Checking for performance persistence, it was impossible to rank funds and form deciles according to their estimated abnormal returns, as in Bollen and Busse (2005), due to the small number of mutual funds operating in Greece. Originality/value Empirical studies regarding the performance of Greek equity mutual funds are still limited. Therefore, this paper intends to fill this gap by providing further evidence of performance evaluation.

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Performance persistence of mutual funds: evidence from Bangladesh

Independent Journal of Management & Production ◽

10.14807/ijmp.v11i6.1118 ◽

2020 ◽

Vol 11 (6) ◽

pp. 1739

Author(s):

Mohammad Abir Shahid Chowdhury ◽

Zahid Ali ◽

Muhammad Usman ◽

Asad Ullah

Keyword(s):

Mutual Funds ◽

Financial Market ◽

Mutual Fund ◽

Stock Exchange ◽

Parametric Models ◽

Performance Persistence ◽

Past Performance ◽

Equity Mutual Funds ◽

Long Run ◽

Short Run

Purpose: Since 1990s, the discussion on whether mutual funds can perform better and persistently as compare to market has become an ongoing issue. Current research investigates the performance persistence of equity mutual funds’, particularly in the financial market of Bangladesh.Theoretical Framework: Different researchers have strived to examine the performance of mutual funds by using numerous performance indicators and risk adjustment techniques.Design/Methodology/Approach: The equity mutual funds data for this study are obtained from DSE (Dhaka Stock Exchange) database. The sample set includes all open-end mutual funds from 2010 to 2015. There is no mutual fund that has ceased trade or merged with other mutual funds during the study period.Originality/Value: Broad literature have been directed on the performance and persistence of mutual funds in the American markets, while some of the studies also centered on Australia, China, Hong Kong and U.K. financial markets. However, in the context of Bangladesh’s financial market, no identical research has been carried on the performance persistence of mutual funds.Findings: The results reveal that the managers of equity mutual funds have selective ability to obtain higher returns in Bangladesh. Moreover, the past performance of mutual funds has an impact on their future performance. The size of mutual funds doesn’t have any impact on their performance. The parametric and non-parametric models demonstrate that as compare to long run, equity mutual funds in Bangladesh could perform persistently in the short-run.

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