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Journal articles on the topic 'Investment Manager Characteristics;Strategy and Fund Performance'

Author: Grafiati

Published: 4 June 2021

Last updated: 20 February 2023

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1

Kaur, Inderjit. "Performance of Equity Mutual Fund and Educational Credentials of Fund Manager." Vision: The Journal of Business Perspective 21, no. 1 (2017): 23–34. http://dx.doi.org/10.1177/0972262916681227.

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The investors of mutual funds can reduce their selection risk by selecting the mutual funds based on certain criteria. One such criterion could be the educational credentials of fund managers. The present study has examined whether performance of mutual funds could be attributed to differentials in educational credentials of fund managers and thereby can provide necessary signals to investors. The study has compared performance and investment strategy of fund managers having management degree from premier management institutions with others having CA/CFA/ICMA qualification. The results show th

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Gallagher, David R. "Investment manager characteristics, strategy, top management changes and fund performance." Accounting and Finance 43, no. 3 (2003): 283–309. http://dx.doi.org/10.1111/j.1467-629x.2003.00092.x.

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Rachmawati, Rina, Sugeng Wahyudi, Irene Rini Demi Pangestuti, and Najmudin . "Funds Manager and Mutual Funds Characteristics on Mutual Funds Performance: Empirical Evidence of Equity Mutual Funds in Indonesia." International Journal of Financial Research 11, no. 2 (2020): 77. http://dx.doi.org/10.5430/ijfr.v11n2p77.

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This study examines the effect of investment fund managers' characteristics in the form of tenure, and mutual fund characteristics with proxy turnover portfolios, market timing and stock selectivity on the performance of stock mutual funds. The research sample is 27 stock mutual funds in Indonesia that were active from 2013 to 2017. On the analysis of the relationships between the characteristics of investment managers and mutual funds characteristics on the performance of stock mutual funds, a series of OLS regressions were run. The panel data regression was included based on using the Eviews

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Ben Belgacem, Samira, Wafa Ghardallou, and Razan Alshebel. "Investigating key funds characteristics influencing their investment performance in Saudi Arabia: A dynamic panel data approach." Investment Management and Financial Innovations 18, no. 2 (2021): 298–311. http://dx.doi.org/10.21511/imfi.18(2).2021.24.

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The study examines if specific characteristics of funds influence the performance of Saudi equity mutual funds. Previous research has explored various aspects of mutual funds. However, the Saudi Arabia literature focuses on evaluating the funds’ performance. Hence, this study seeks to close this gap by providing a framework to explain the equity fund performance. Several risks adjusted performance measures are applied such as Jensen’s alpha, lower partial moment alpha, Sharpe ratio, LPM-Sharpe ratio using the dynamic panel specification over the period 2010–2019. Based on the LPM alpha, the ri

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Othman, Jaizah, Mehmet Asutay, and Norhidayah Jamilan. "Comparing the determinants of fund flows in domestically managed Malaysian Islamic and conventional equity funds." Journal of Islamic Accounting and Business Research 9, no. 3 (2018): 401–14. http://dx.doi.org/10.1108/jiabr-07-2016-0084.

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PurposeThis paper aims to provide an empirical evidence on the fund flows-past return performance relationship by also considering the management expense ratio, the portfolio turnover, the fund size and the fund age of Islamic equity funds (IEF) investors in comparison with conventional equity funds (CEF) investors. Design/methodology/approachBy using panel data, the sample of Malaysian domestic managed equity funds is considered which comprises 20 individual funds from IEF and CEF from 2011 to 2013. FindingsThe results provide evidence that IEF investors have different factors when choosing f

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Ivanisevic Hernaus, Ana. "Exploring the strategic variety of socially responsible investment." Sustainability Accounting, Management and Policy Journal 10, no. 3 (2019): 545–69. http://dx.doi.org/10.1108/sampj-07-2018-0182.

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Purpose The purpose of this study is to segment and profile socially responsible investment (SRI) funds based on investment strategies they use. Specifically, the paper investigates how different SRI strategies are applied and how they are related to fund-level characteristics, with the goal of recognising their potential dominant combinations in SRI practice. Design/methodology/approach Cluster analysis was complemented with one-way ANOVA to classify 147 SRI funds from 11 European countries into different groups based on the diversification (number and type) and application (intensity of usag

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Ielasi, Federica, Monica Rossolini, and Sara Limberti. "Sustainability-themed mutual funds: an empirical examination of risk and performance." Journal of Risk Finance 19, no. 3 (2018): 247–61. http://dx.doi.org/10.1108/jrf-12-2016-0159.

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PurposeThis paper aims to analyze the portfolio characteristics and the performance measures of sustainability-themed mutual funds, compared to ethical mutual funds that implement different sustainable and responsible investment strategies.Design/methodology/approachThe study refers to a European sample of 106 ethical funds and 51 sustainability-themed funds. The monthly performance of each fund is downloaded from Bloomberg for the period from January 1996 to December 2015. By applying a Fama and French (1993) three-factor model, the authors overcome the limits of a capital asset pricing model

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Arena, Matteo, and David K. Krause. "How to develop successful and ethical investment analysts." Managerial Finance 46, no. 5 (2019): 590–98. http://dx.doi.org/10.1108/mf-08-2018-0404.

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Purpose The purpose of this paper is to suggest best practices for managing a successful student-managed investment program (SMIP) based on the experience of the Marquette University’s Applied Investment Management (AIM) program. Design/methodology/approach The authors provide a detailed description of the program curriculum, instructional design, fund structure, program history, fund performance and student outcomes. Findings Through its experiential learning innovations, focus on ethics and close relationships with a dedicated alumni group, the AIM program prepares students for a successful

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Peswani, Shilpa, and Mayank Joshipura. "Low-risk investment strategy: sector bets or stock bets?" Managerial Finance 48, no. 3 (2022): 521–39. http://dx.doi.org/10.1108/mf-09-2021-0415.

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PurposeThe portfolio of low-risk stocks outperforms the portfolio of high-risk stocks and market portfolios on a risk-adjusted basis. This phenomenon is called the low-risk effect. There are several economic and behavioral explanations for the existence and persistence of such an effect. However, it is still unclear whether specific sector orientation drives the low-risk effect. The study seeks to answer the following important questions in Indian equity markets: (a) Whether sector bets or stock bets mainly drive the low-risk effect? (b) Is it a mere proxy for the well-known value effect? (c)

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Levi, Melissa, and David Newton. "Flash of green: are environmentally driven stock returns sustainable?" Managerial Finance 42, no. 11 (2016): 1091–109. http://dx.doi.org/10.1108/mf-10-2015-0291.

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Purpose The purpose of this paper is to explore the source of apparent abnormal returns accrued by “green” company stocks. Though one cannot completely rule out that market-to-book and size factors may already capture the information of Trucosts’ total damage measure, the authors attempt to attribute the effect to risk, a persistent desirable characteristic or a short-run attention effect. Design/methodology/approach The authors construct portfolios of stocks using the Trucost data for identifying more environmentally friendly companies. The authors then compare the risk-adjusted returns of th

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Philpot, James, and Craig A. Peterson. "Manager characteristics and real estate mutual fund returns, risk and fees." Managerial Finance 32, no. 12 (2006): 988–96. http://dx.doi.org/10.1108/03074350610710481.

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PurposeThe purpose of this paper is to analyze the effects of individual manager characteristics on real estate mutual fund (REMF) performance. Human capital theory predicts that factors like education, experience and professional certifications improve skill sets and thus performance. Conversely, capital markets theory suggests that these things may be irrelevant in the management of mutual funds.Design/methodology/approachA total of 63 REMFs were sampled over the period 2001‐2003 and equations were estimate regressing, alternatively, risk‐adjusted return, market risk and management fees on a

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López, Fernando, and Eduardo Walker. "Investment performance, regulation and incentives: the case of Chilean pension funds." Journal of Pension Economics and Finance 20, no. 1 (2020): 125–50. http://dx.doi.org/10.1017/s1474747219000350.

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AbstractWe examine the investment performance of Chilean pension funds during their multi-fund period (2003–17). Using tradable asset class benchmarks, we extend Sharpe's (1992) return-based style analysis by explicitly considering regulatory restrictions and currency hedging. We find that despite the significant differences between pension fund manager returns, they are statistically similar to our style benchmarks for all fund types. Furthermore, accounting for currency hedging improves the accuracy of the replicating portfolios and the selection return estimates. Our results have policy imp

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Shohfi, Thomas. "RPI’s James Fund: ETFs, decision making, & manager transitions." Managerial Finance 46, no. 5 (2019): 662–74. http://dx.doi.org/10.1108/mf-08-2018-0397.

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Purpose The James Fund at Rensselaer Polytechnic Institute’s Lally School of Management is a small, recently established, course-driven student-managed investment fund (SMIF). The purpose of this paper is to provide insight to new and existing funds in improving individual fund operation and structure. Design/methodology/approach The James Fund seeks to outperform an 80/20 equity/fixed income benchmark by investing exclusively in exchange traded funds and to move primary emphasis away from idiosyncratic risk and individual equity valuation back toward asset allocation, the most significant dri

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Maestri, Cláudia Olímpia Neves Mamede, and Rodrigo Fernandes Malaquias. "Aspects of manager, portfolio allocation, and fund performance in Brazil." Revista Contabilidade & Finanças 29, no. 76 (2018): 82–96. http://dx.doi.org/10.1590/1808-057x201804590.

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ABSTRACT This paper intends to contribute to the literature on investment funds in emerging markets by looking at the performance of multimarket funds in Brazil from a manager perspective. The aim of the paper was to analyze whether some characteristics of investment fund managers, as well as their portfolio holdings, can affect fund performance. In emerging countries both portfolio asset allocation and manager characteristics can help explain differences in the fund performance, which increases the relevance of this study. Therefore, the impact of this research lies in its revealing a signifi

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Keshari Jena, Sangram, and Ashutosh Dash. "Aditya Birla Money: developing options of investment strategy." Emerald Emerging Markets Case Studies 8, no. 3 (2018): 1–27. http://dx.doi.org/10.1108/eemcs-08-2017-0223.

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Subject area Financial derivative and risk management. Study level/applicability The case is intended to be used for MBA and BBA programs in the elective courses such as derivatives and risk management, financial engineering, financial risk management and portfolio management, and for executives aspiring for the fund manager position in industry. The case could also be used in management development programs on financial risk management. Case overview The case was based on the real life experience of a portfolio manager who was entrusted with the responsibility of maximizing return of the port

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A, Chunxiang, and Yi Shao. "Worst-Case Investment Strategy with Delay." Journal of Systems Science and Information 6, no. 1 (2018): 35–57. http://dx.doi.org/10.21078/jssi-2018-035-23.

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AbstractThis paper considers a worst-case investment optimization problem with delay for a fund manager who is in a crash-threatened financial market. Driven by existing of capital inflow/outflow related to history performance, we investigate the optimal investment strategies under the worst-case scenario and the stochastic control framework with delay. The financial market is assumed to be either in a normal state (crash-free) or in a crash state. In the normal state the prices of risky assets behave as geometric Brownian motion, and in the crash state the prices of risky assets suddenly drop

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Gusni, Silviana, and Faisal Hamdani. "Factors affecting equity mutual fund performance: evidence from Indonesia." Investment Management and Financial Innovations 15, no. 1 (2018): 1–9. http://dx.doi.org/10.21511/imfi.15(1).2018.01.

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The evaluation of equity mutual fund performance and identification factors that affect mutual fund performance is of great interest to an investor in Indonesia. This study investigates the performance of equity mutual fund by using risk-adjusted performance proposed by Treynor (1965) and examines factors affecting mutual fund performance by using the ability of investment manager (market timing and stock selection skill), fund size, and inflation. To achieve the objectives of this study, a total of 19 equity mutual funds was selected using purposive sampling method from the period from 2011 t

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Yeo, Hwan Young, Young Kyu Park, and Hyo Keun Joo. "Fund manager`s Characteristics and Investment Behavior: The Effect of Individual Characteristics on the Performance Persistency, Investment Style and Risk." Korean Journal of Financial Studies 46, no. 2 (2017): 497–522. http://dx.doi.org/10.26845/kjfs.2017.03.46.2.497.

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Massa, Massimo, and Vijay Yadav. "Investor Sentiment and Mutual Fund Strategies." Journal of Financial and Quantitative Analysis 50, no. 4 (2015): 699–727. http://dx.doi.org/10.1017/s0022109015000253.

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AbstractWe show that mutual funds employ portfolio strategies based on market sentiment. We build a proxy for the degree of a fund’s sentiment beta (or FSB). The low-FSB funds outperform high-FSB funds, even after controlling for standard risk factors and fund characteristics. This effect is sizable and delivers a net-of-risk performance of 3.8% per year. Funds with a lower FSB follow more idiosyncratic strategies, suggesting that FSB is a deliberate, active choice of the fund manager. A sentiment contrarian strategy leads to high flows due to its superior performance, whereas a sentiment cate

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Li, Yanan, Zengti Li, and Chuanzheng Li. "A Continuous-Time Version of a Delegated Asset Management Problem." Mathematical Problems in Engineering 2020 (November 30, 2020): 1–8. http://dx.doi.org/10.1155/2020/9097321.

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This paper develops a continuous-time model to study the widely used investment mandates in the institutional asset management industry. In this paper, just like He and Xiong (2013), we suppose that the asset management industry has a two-layered incentive structure, and fund families charging investors fixed management fees while compensating individual fund managers based on fund performance. Different from He and Xiong (2013), we suppose that the fund family aims to select an optimal incentive strategy to maximize its terminal benefits, while the fund manager needs to select the optimal eff

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Mwamba, John Muteba. "On The Persistence Of Selectivity And Market Timing Skills In Hedge Funds." International Business & Economics Research Journal (IBER) 12, no. 12 (2013): 1575. http://dx.doi.org/10.19030/iber.v12i12.8251.

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This paper investigates the persistence of hedge fund managers skills during periods of boom and/or recession. We consider a data set of monthly investment strategy indices published by Hedge Fund Research group. The data set spans from January 1995 to June 2010. We divide this sample period into four overlapping sub-sample periods that contain different economic cycles. We define a skilled manager as a manager who can outperform the market consistently during two consecutive sub-sample periods. We first estimate outperformance, selectivity and market timing skills using both linear and quadra

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Junkus, Joan, and Thomas D. Berry. "Socially responsible investing: a review of the critical issues." Managerial Finance 41, no. 11 (2015): 1176–201. http://dx.doi.org/10.1108/mf-12-2014-0307.

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Purpose – The purpose of this paper is to provide a review of the most recent work in major finance journals on socially responsible investment (SRI). While SRI involves individual investors, firms, and investment managers, the authors concentrate primarily on the investment view. Design/methodology/approach – The authors briefly review the development of socially responsible investing (SRI) and the theoretical issues related to SRI and investment choice. This is followed by a review of the empirical results concerning firm value. The question of whether SR mutual funds and SR indexes differ i

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Riyazahmed, K., B. Anitha Kumari, and B. Diwakar Naidu. "A taxonomic evaluation of Indian mutual funds’ performance and its determinants – Post-pandemic." Investment Management and Financial Innovations 19, no. 2 (2022): 180–90. http://dx.doi.org/10.21511/imfi.19(2).2022.15.

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The COVID-19 pandemic has caused significant disruption in financial markets worldwide and impacted the performance of investment avenues like mutual funds. It has been a challenging scenario for all mutual funds to sustain the pre-pandemic performance. To understand the mutual fund investment scenario further, this study focused on examining the post-pandemic performance in the year 2021 of various categories of mutual funds, the significance of scheme characteristics in determining the performance, risk-adjusted performance, and outperformance of various categories of funds. Out of 4,305 mut

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Venkataraman, R., and Thilak Venkatesan. "Evaluation of Growth of Mutual Funds and Exchange Traded Funds in India." SDMIMD Journal of Management 7, no. 1 (2016): 41. http://dx.doi.org/10.18311/sdmimd/2016/8413.

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Investors are always baffled about the risk-return characteristics of their investments. There is often the challenge of the alternative between active&amp;passive investments. In case of active mutual funds there are numerous categories of active funds each tracking a different benchmark. It often leads to confusion about how the performance can be compared between one fund to another. The growth of ETFs' has been phenomenal in the recent years due to various advantages of an exchange traded fund compared to the mutual fund as lower cost of management, lesser dependence on fund manager, e

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Malhotra, Priya, and Pankaj Sinha. "Forecasting Fund Flows in Indian Equity Mutual Funds Market using Time Series Analysis: An Empirical Investigation." Journal of Business Thought 12 (December 15, 2021): 1. http://dx.doi.org/10.18311/jbt/2021/25970.

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<p>Mutual Funds are the second most preferred financial investment option in India amongst households, corporate and private investors alike. Managed funds bring with them the expertise of fund managers along with the benefits of diversification and lower costs. The sensitivity of fund flows defines the ability of the fund manager in offering expected future returns. Mutual fund flows exhibit time series characteristics, it being financial data collected at regular intervals over a time period. This paper studies the dynamics of mutual fund flows by utilising time series regression model

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Abramov, Alexander, and Xenia Akshentseva. "The Determinants of Mutual Funds Performance in Russia." Journal of Corporate Finance Research / Корпоративные Финансы | ISSN: 2073-0438 9, no. 2 (2015): 37–53. http://dx.doi.org/10.17323/j.jcfr.2073-0438.9.2.2015.37-53.

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Ksenia Akshentseva is a junior researcher at the Institute of Applied Economic Research of the Russian Academy of National Economy and Public Administration under the President of the Russian Federation. Email ksakshentceva@gmail.com Alexander Abramov is a candidate of economic sciences, a leading researcher at the Institute of Applied Economic Research of the Russian Academy of National Economy and Public Service under the President of the Russian Federation, Professor of the Department of the Stock Market and the Investment Market, National Research University "Higher School of Economi

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Fasano, Antonio, and Claudio Boido. "CONCENTRATION AND BEHAVIORAL BIASES IN THE ACTIVE MANAGEMENT OF BRIC FUNDS." Ekonomika 96, no. 1 (2017): 58–73. http://dx.doi.org/10.15388/ekon.2017.1.10664.

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This study addresses two targets: first, the relationship between performance measurement and the focusing of fund investment strategies on local risk factors; second, the behavioral considerations which fall under this topic, in particular with regard to fund managers’ overconfidence.Brazil, Russia, India and China were supposed to represent a force of new demand growth and spending power, but the recent financial crisis in China (July and August 2015) and the former problems in the Russian economy, also caused by an embargo by other countries, have contributed to a shift which has occurred m

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Hsieh, Heng-Hsing. "A Review of Performance Evaluation Measures for Actively-Managed Portfolios." Journal of Economics and Behavioral Studies 5, no. 12 (2013): 815–24. http://dx.doi.org/10.22610/jebs.v5i12.455.

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In the recognition that investment management is an on-going process, the performance of actively-managed portfolios need to be monitored and evaluated to ensure that funds under management are efficiently invested in order to satisfy the mandate specified in the policy statement. This paper discusses the primary performance evaluation techniques used to measure a portfolioâ€™s basic risk and return characteristics, risk-adjusted performance, performance attribution and market timing ability. It is concluded that the Treynor measure is more suitable for evaluating portfolios that are constitue

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Alexey Lyashuk, Alexey Lyashuk, and Alexey Bakulev Alexey Lyashuk. "Clarifying portfolio manager job functions: in search of essential ones." 青年企業管理評論 14, no. 1 (2021): 001–23. http://dx.doi.org/10.53106/207308882021101401001.

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<p>The research aims to clarify portfolio manager (PfM) job functions and design essential and marginal job functions a PfM should perform. Often understood as a tool for embodying the company strategy and creating its value, portfolio management is viewed chiefly from the project management and investment perspectives. Despite the differences in understanding portfolio management from different perspectives, on the fundamental level, outcomes have similarities shown in the literature review. Different PfM studies display primarily descriptive characteristics of the role, which are blurr

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Lawson, Daniel T., Robert L. Schwartz, and Seth D. Thomas. "Hedge Funds, Arbitrage, and Timing." International Journal of Economics and Finance 13, no. 1 (2020): 45. http://dx.doi.org/10.5539/ijef.v13n1p45.

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This paper is an extension of the work of Lawson and Schwartz (2018) which analyzes the risk-adjusted performance of hedge funds by employing a collection of four, five, seven, and eight-factor models. The purpose is to evaluate how well the top and bottom performing subset of hedge fund strategies have profited on known asset pricing anomalies during two unique time periods, 1994 to 2000 and 2001 to 2008. The bifurcation of the data into two distinct periods allows for a deeper exploration of the potential time-varying significance of estimated factor arbitrage. Our empirical testing suggests

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Geczy, Christopher C., Robert F. Stambaugh, and David Levin. "Investing in Socially Responsible Mutual Funds." Review of Asset Pricing Studies 11, no. 2 (2021): 309–51. http://dx.doi.org/10.1093/rapstu/raab004.

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Abstract We construct optimal portfolios of mutual funds whose objectives include socially responsible investment (SRI). Comparing portfolios of these funds to those constructed from the broader fund universe reveals the cost of imposing the SRI constraint on investors seeking the highest Sharpe ratio. This SRI cost crucially depends on the investor’s views about asset pricing models and stock-picking skill by fund managers. To an investor who strongly believes in the CAPM and rules out managerial skill, that is, a market index investor, the cost of the SRI constraint is typically just a few b

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Lee, Eunchang, Jong Gye Shin, and Yongtae Park. "A Statistical Analysis of Engineering Project Risks in the Korean Shipbuilding Industry." Journal of Ship Production 23, no. 04 (2007): 223–30. http://dx.doi.org/10.5957/jsp.2007.23.4.223.

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Risk management in shipbuilding projects is important in practice, but there have been few studies about risk assessment in the shipbuilding industry. The purpose of this study is to identify critical risks in shipbuilding projects and to examine the relationships among them, according to the ship production phases. A survey analysis was conducted with 248 experts from 10 major Korean shipbuilders in April 2007, and association rule mining was used as the research methodology. Twenty-six different risks are deduced. At the beginning stage of shipbuilding, it was discovered that design and fina

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Setiawan, Achdiar Redy, and Murni Yusoff. "Islamic Village Development Management: A Systematic Literature Review." Jurnal Ekonomi Syariah Teori dan Terapan 9, no. 4 (2022): 467–81. http://dx.doi.org/10.20473/vol9iss20224pp467-481.

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ABSTRAK Pengelolaan pembangunan desa islami adalah konsep pembangunan desa yang memiliki karakteristik tercapainya tujuan pembangunan sosial ekonomi yang berdimensi holistik, seimbang antara aspek material dan spiritual. Penelitian ini bertujuan untuk mengkaji pembahasan kajian-kajian terdahulu secara sistematis tentang konsep dan praktik pengelolaan pembangunan desa dalam perspektif islam. Dalam rangka melakukan review publikasi artikel secara sistematis, riset ini menggunakan standar protokol RAMESES. Hasil penelitian ini terbagi menjadi dua tema utama, yaitu peran dan fungsi lembaga keuanga

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Gallagher, David R. "Investment Manager Characteristics, Strategy, Top Management Changes and Fund Performance." SSRN Electronic Journal, 2003. http://dx.doi.org/10.2139/ssrn.368801.

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Kim, Soohun, and Aaron Yoon. "Analyzing Active Fund Managers’ Commitment to ESG: Evidence from the United Nations Principles for Responsible Investment." Management Science, April 18, 2022. http://dx.doi.org/10.1287/mnsc.2022.4394.

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The United Nations Principles for Responsible Investment (PRI) is the largest global environmental, social, and governance (ESG) initiative in the asset-management industry to date. We analyze what happens after active U.S. mutual funds sign the PRI to assess whether they exhibit ESG implementation. We find that PRI signatories attract a large fund inflow, but we do not observe improvements in fund-level ESG scores or fund returns. We consider a battery of ways to proxy for funds’ ESG incorporation (e.g., entry/exit, screening, engagement, voting for pro-ESG proposals), but fail to observe evi

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Singh, Anurag Bhadur, and Priyanka Tandon. "Association between fund attributes and fund's performance: a panel data approach." Benchmarking: An International Journal ahead-of-print, ahead-of-print (2021). http://dx.doi.org/10.1108/bij-10-2020-0545.

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PurposeThe present study tries to explore the various fund attributes that influence the mutual fund performance. Further, study examined the effect of mutual fund attributes namely, Net Asset Value (NAV), Portfolio turnover ratio (PTR), fund size (AUM), expense ratio (ExpR) and fund age (Age) on mutual fund's performance using gross return and risk-adjusted performance measures.Design/methodology/approachThe study evaluated balanced panel data (short panel) comprising 81 Indian equity mutual fund schemes for the period of 2013–2019. The study estimated relationship between fund attributes (Ne

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Ghalke, Avinash, and Shripad Kulkarni. "Mutual fund manager turnover: an empirical investigation of performance." International Journal of Managerial Finance ahead-of-print, ahead-of-print (2021). http://dx.doi.org/10.1108/ijmf-04-2021-0195.

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PurposeWhen a fund manager leaves, the investment strategy of the fund changes or remains the same. The departing fund manager's resignation is either forced or voluntary. The study investigates the relationship between the portfolio manager's transition and the fund's investment strategy and how the change affects the mutual fund returns in the subsequent period.Design/methodology/approachThe authors examine 148 fund manager changes in India between April 2005–March 2018 using three performance measures: abnormal return (fund return minus benchmark return), Jensen's alpha and Carhart four-fac

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SONG, YUPING, ZHENWEI LI, JING HAN, and XIAOCHEN WANG. "RESEARCH ON THE APPLICATION OF ARTIFICIAL INTELLIGENCE IN FUND MANAGER IDENTIFICATION." Singapore Economic Review, August 10, 2020, 1–35. http://dx.doi.org/10.1142/s0217590820480033.

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For the selection of fund managers in fund investment, traditional measurement methods were mainly based on descriptive analysis and regression modeling for a small sample of numerical data. They did not make full use of the relevant big data information of fund managers and ignored the nonlinearity between data. As a result, the prediction error was large. In this paper, we use the heterogeneous data of fund managers, such as numerical data and textual data, to fully explore the characteristic factors of fund performance, and further employ the artificial intelligence algorithms including the

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Angelini, Flavio, Katia Colaneri, Stefano Herzel, and Marco Nicolosi. "Implicit incentives for fund managers with partial information." Computational Management Science, May 27, 2021. http://dx.doi.org/10.1007/s10287-021-00404-w.

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AbstractWe study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the manager is to maximise the expected utility of her final wealth. The manager observes the prices but not the values of the market price of risk that drives the expected returns. Estimates of the market price of risk get more precise as more observations are available. We formulate the problem as an optimization under partial information. The particular structure of the incentives makes the objective function no

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Istavirti, Yuyun, Dr Andi M. Alfian Parewangi, and Dr Ruslan Prijadi. "KINERJA PENGELOLAAN DANA PADA PASAR MODAL INDONESIA." Buletin Ekonomi Moneter dan Perbankan 10, no. 4 (2008). http://dx.doi.org/10.21098/bemp.v10i4.231.

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The mutual fund is a fast growing, flexible and sizely attainable product, hence make it as favourable choice for the investors. As in other developing countries, however, the management of the fund invested in mutual fund is done by pointed fund manager. This paper raises and answers the question of how efficient the fund management is. This paper ustilizes the decomposition return model on the monthly data set from 2002-2006 in Indonesia. The model derived, enable us to trace and decompose the management performance into (i) the allocation policy skill, (ii) the security selection skill and

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Cookson, Gordon, Tim Jenkinson, Howard Jones, and Jose Vicente Martinez. "Virtual Reality? Investment Consultants’ Claims About Their Own Performance." Management Science, December 22, 2021. http://dx.doi.org/10.1287/mnsc.2021.4218.

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Investment consultants market their services by claiming their fund manager recommendations add significant value. Using nonpublic data sourced from investment consultants and the UK regulator, we find no such evidence, but identify several practices that explain their exaggerated claims: comparisons to benchmarks instead of peers, inclusion of simulated and backfilled returns, use of investment horizons that allow losers to be forgotten, and unexplained exclusions of products from the analysis. Consultants do not fully disclose their methodology to investors, who therefore cannot verify or re

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Chekenya, Nixon S., and Shingirai Sikomwe. "Skin color and investment performance in South Africa's mutual funds industry." Review of Behavioral Finance ahead-of-print, ahead-of-print (2020). http://dx.doi.org/10.1108/rbf-05-2020-0115.

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PurposeUsing data for the period 1965–2016, we investigate whether there are systematic differences between the investment performance of Black fund managers and those of other races in South Africa and whether investors recognize these differences. The two-tailed test results show that there is no significant difference between the two means considering the 12 months yield return at a hypothesized mean difference of zero. There is no statistical difference at 5% level of significance implying that the performance of Black fund managers is as equally as that of managers of other races. Our res

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Busse, Jeffrey A., Tarun Chordia, Lei Jiang, and Yuehua Tang. "Transaction Costs, Portfolio Characteristics, and Mutual Fund Performance." Management Science, July 16, 2020. http://dx.doi.org/10.1287/mnsc.2019.3524.

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We study the interdependencies between transaction costs, portfolio characteristics, and mutual fund performance. Using a novel data set of actual mutual fund trades, we find that, controlling for investment style, larger funds realize lower percentage transaction costs than smaller funds. Larger mutual funds trade less frequently and hold bigger stocks to actively avoid incurring higher trading costs. Gross returns of larger funds are lower than those of smaller funds due, in part, to the characteristics of their holdings, which suggests that decreasing returns to scale could arise due to lim

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Peters, Gareth W., Mantana Chudtong, and Andrea De Gaetano. "Analysis of option-like fund performance fees in asset management via Monte Carlo actuarial distortion pricing." Annals of Actuarial Science, January 9, 2023, 1–43. http://dx.doi.org/10.1017/s1748499522000203.

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Abstract A detailed analysis of management and performance fees for asset managers and investment funds is undertaken. While fund fees are considered as a cost of capital for investors, the structuring of such fee mechanisms in a fund can also influence a fund manager’s decisions and investment strategy, thereby also influencing the investment performance of the investors funds. The study undertaken will allow for an assessment of the effect of fee structures and the potential for asymmetric incentives to arise that may promote adverse risk-taking behaviours by the fund manager, to the detrime

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Pulga Vivas, Fredy Alexander, and María Teresa Macías Joven. "Portfolio Managers on the Colombian Open-End Mutual Fund Industry: Performance, downside risk and persistence." Cuadernos de Administración 32, no. 59 (2019). http://dx.doi.org/10.11144/javeriana.cao32-59.pmco.

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This study explores whether Colombian mutual funds deliver abnormal risk-adjusted returns and delves on their persistence. Through traditional and downside risk measures based on Modern Portfolio Theory and Lower Partial Moments, this article evaluates the performance of 146 mutual funds categorized by investment type and fund manager. This assessment suggests that mutual funds underperform the market and deliver real returns. Similarly, bond funds underperform equity funds, and investment trusts underperform brokerage firms as managers. Furthermore, bond funds and funds managed by investment

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Matos, Pedro. "Hedge Fund Due Diligence at Leman Alternative Asset Management Company." Darden Business Publishing Cases, January 20, 2017, 1–15. http://dx.doi.org/10.1108/case.darden.2016.000150.

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In early January 2008, a senior VP with LAAMCO, a fund of hedge funds known for alternative investments, was conducting due diligence on an equity market-neutral hedge fund. The hedge fund used an option strategy known as a collar (also known as a bull spread or split-strike conversion). The track record of the hedge fund had been stellar. The fund's performance had not only beaten that of the S&P 500 Index over the same period but had done so with much lower monthly return volatility. As part of the due diligence, it was necessary to backtest the collar strategy and try to quantify how mu

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Cataltepe, Veysel, Rifat Kamasak, Füsun Bulutlar, and Deniz Palalar Alkan. "Dynamic and marketing capabilities as determinants of firm performance: evidence from automotive industry." Journal of Asia Business Studies, July 1, 2022. http://dx.doi.org/10.1108/jabs-11-2021-0475.

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Purpose This study aims to explore the roles and relations of dynamic capabilities (DCs) and marketing capabilities (MCs) to generate firm performance through new empirical data from the automotive industry in an emerging market, Turkey, where volatile market conditions may compel firms to use both their DCs and MCs. The automotive industry dynamic character, which is shaped by fierce competition among car manufacturers, fluctuating customer demands and strong effect of environmental forces, provides an ideal context for examining the performance outcomes of MC and DC in non-static environment

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Lopez, Mario. "From Bride to Care Worker?" M/C Journal 10, no. 3 (2007). http://dx.doi.org/10.5204/mcj.2662.

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   Introduction This paper explores some specific conjunctions that tie together two nations, Japan and the Philippines. Over the past 30 years both have become entwined as a transfer of people, cultures and societies have connected and formed some interesting developments. Relations between both countries have been highly influenced through the deployment of State intervention (historically colonial and post-colonial), as well as through actors’ initiatives, leading to the development of a complex network that links both countries. It is in these relations that I would like

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