Performance Analysis of Options-Based Equity Mutual Funds, Closed-End Funds, and Exchange-Traded Funds

2016 ◽  
Vol 19 (1) ◽  
pp. 51-69 ◽  
Author(s):  
Keith Black ◽  
Edward Szado
Keyword(s):  
Performance Analysis ◽  
Mutual Funds ◽  
Exchange Traded Funds ◽  
Equity Mutual Funds ◽  
Closed End Funds

scholarly journals Exchange-traded funds as an alternative investment option

2019 ◽  
pp. 7-37
Author(s):  
António Afonso ◽  
Pedro Cardoso
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Exchange Traded Funds ◽  
Price Efficiency ◽  
Index Funds ◽  
Equity Mutual Funds ◽  
Asset Value ◽  
Net Asset Value ◽  
Tracking Ability ◽  
Investment Option

We conduct an analysis of Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark during the 2010-2015 period for the Portuguese fund industry. For the period 2010-2017, we test ETFs for price inefficiency (existence of deviations between prices and the Net Asset Value) and persistence. We find that the studied ETF does not always outperform index funds in replicating the variations of the PSI 20 index, despite exhibiting better tracking ability when facing downside deviations of the benchmark and a better capacity of smoothing tracking deviations. Regarding ETFs price efficiency and its persistence, the study reveals that the examined ETF is priced at a low average discount with evidence of deviations persistence of at least two days. The investment schemes with the highest ability to track the PSI 20 Index were PSI20 (ETF), BBVA PPA Índice PSI20, and the equity mutual fund BPI Portugal.

PERFORMANCE ANALYSIS OF SHARIA AND CONVENTIONAL MUTUAL FUNDS DURING 2008 AND 2013 CRISIS PERIODS

INFO ARTHA ◽  
2017 ◽  
Vol 1 ◽  
pp. 39-60
Author(s):  
Ambang Aries Yudanto
Keyword(s):  
Performance Analysis ◽  
Mutual Funds ◽  
Performance Difference ◽  
Data Set ◽  
Previous Period ◽  
Crisis Period ◽  
Equity Mutual Funds ◽  
A Performance

This research has a purpose to analyze the performance of sharia and conventional mutual funds, particularly equity mutual funds in Indonesia during 2008 and 2013 crisis periods. Within 2008 crisis period, the data set comprises of 51 equity mutual funds in which 4 were sharia mutual funds while 47 others were conventional mutual funds. Moreover, within 2013 crisis period, the data set comprises of 110 equity mutual funds in which 12 were sharia mutual funds while 98 others were conventional mutual funds. To measure the mutual funds' performance, three methods were used, which are Sharpe, Treynor, and Jensen alpha methods. Furthermore, to test whether there is any performance difference between those two types of mutual funds, the author used Mann-Whitney U test. The results indicated that in the 2008 crisis period, the entire samples cannot really withstand from the crisis. In comparison, generally the conventional equity mutual funds managed to give a better performance than the sharia equity mutual funds. Moreover, there is no performance difference between sharia and conventional equity mutual funds. Meanwhile, in the 2013 crisis period showed a more diverse result. In comparison, generally the sharia equity mutual funds managed to develop its performance during this particular crisis period compare to the previous period. Apparently, there was a performance difference between those two types of mutual funds in the 2013 crisis. 

scholarly journals Optimizing the performance of mean-variance portfolios in various markets: an “old-school” approach

2018 ◽  
Vol 15 (1) ◽  
pp. 190-207
Author(s):  
Roberto Stein ◽  
Orlando E. Contreras-Pacheco
Keyword(s):  
Mutual Funds ◽  
Exchange Traded Funds ◽  
Trading Costs ◽  
Index Funds ◽  
Equity Mutual Funds ◽  
Retail Investors ◽  
The World ◽  
Retail Investor ◽  
Cheap Alternative ◽  
Mean Variance

The authors study the performance of mean-variance optimized (MVO) equity portfolios for retail investors in various markets in the U.S. and around the world. Actively managed equity mutual funds have relatively high fees and tend to underperform their benchmark. Index funds such as exchange traded funds still charge appreciable fees, and only deliver the performance of the benchmark. The authors find that MVO portfolios are relatively easy to manage by a retail investor, and that they tend to outperform their benchmark or, at worst, equal its performance, even after adjusting for risk. Moreover, they show that the performance of these funds is not particularly sensitive to the frequency at which they are rebalanced so that, in the limit, an investor might have to rebalance his/her portfolio only once a year. This last finding translates into very low trading costs, even for retail investors. Thus, the authors conclude that MVOs offer an easy, cheap alternative to invest in the world’s equity markets.

Sign in / Sign up

Export Citation Format

Share Document