Artículos de revistas: "Fund selection"

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Elton, Edwin J., Martin J. Gruber y Andre de Souza. "Fund of Funds Selection of Mutual Funds". Critical Finance Review 7, n.º 2 (31 de diciembre de 2018): 241–72. http://dx.doi.org/10.1561/104.00000056.

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Chan, Chia-Ying, Hsuan-Chi Chen, Yu Hsuan Chiang y Christine W. Lai. "Fund selection in target date funds". North American Journal of Economics and Finance 39 (enero de 2017): 197–209. http://dx.doi.org/10.1016/j.najef.2016.10.006.

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Kaur, Inderjit. "Mutual fund investor’s behaviour towards information search and selection criteria". Qualitative Research in Financial Markets 10, n.º 4 (5 de noviembre de 2018): 395–414. http://dx.doi.org/10.1108/qrfm-09-2017-0084.

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PurposeThe fund selection process of investors in a mutual fund needs to be understood for designing better marketing strategies. Knowledge and perception about the mutual funds can affect investor’s behaviour towards information search and selection criteria during the decision process. Therefore, this study aims to examine Indian mutual fund investors under the framework of Theory of Planned Behaviour and consumer’s behaviour model.Design/methodology/approachThe data have been collected from mutual fund investors in the National Capital Region–Delhi, India, through structured questionnaire. The collected data were examined with relevant statistical tools.FindingsKnowledge and perception affect information search behaviour of the investor. Investors having better knowledge of mutual funds access impersonal sources of information and performance of fund affects their choice, whereas investors having lesser knowledge of mutual fund take advice of experts and select funds based on fund characteristics. Investors with better return perception for mutual funds ignore performance as selection criteria, whereas investors having poor risk perception tend to reduce their bias by accessing personal sources of information. Education and income of investor affect knowledge and perception of mutual funds.Practical implicationsThe financial advisor-driven investors ignore performance as selection criteria and could lead to dissatisfaction later. Therefore, to make the industry investor driven, mutual funds need to focus on improving the knowledge of investors.Originality/valueThis paper shows the unique effect of knowledge and perception on information search behaviour of investors towards mutual funds. The knowledgeable investor selects mutual funds by understanding all risks and benefits.

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Amiri, Haniyeh y Ana Maria Gil-Lafuente. "Studying of the Factors Affecting on the Mutual Fund by Individual Investor in Iran, Malaysia, Turkey and US". Modern Applied Science 10, n.º 9 (29 de junio de 2016): 192. http://dx.doi.org/10.5539/mas.v10n9p192.

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This study examines the main criteria of domestic investors in mutual funds selection behavior and evaluates their performance and with a survey method and using a questionnaire, the behavior of domestic investors in selection of mutual fund was evaluated. Factor analysis along with Multinomial Logistic Regression was used to test the hypotheses of the research. The Findings of the study indicate that there are 7 major factors that influence different types of investors in mutual funds selection behavior. These include: inherent characteristics of the fund, image reputation of fund, flexibility to facilitate the investment, performance, popularity, transparency and non-cash benefits. Another important aspect of this study is analysis impressibility the different groups of investors (professional, ambitious, moderate, conservative and cautious) towards these seven factors. The results of this analysis give us what is different between professional investors and other kinds of investors in the selecting of mutual funds.

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Amiri, Haniyeh y Ana Maria Gil-Lafuente. "Studying of the Factors Affecting on the Mutual Fund by Individual Investor in Iran, Malaysia, Turkey and US". Modern Applied Science 10, n.º 9 (21 de julio de 2016): 218. http://dx.doi.org/10.5539/mas.v10n9p218.

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This study examines the main criteria of domestic investors in mutual funds selection behavior and evaluates their performance and with a survey method and using a questionnaire, the behavior of domestic investors in selection of mutual fund was evaluated. Factor analysis along with Multinomial Logistic Regression was used to test the hypotheses of the research. The Findings of the study indicate that there are 7 major factors that influence different types of investors in mutual funds selection behavior. These include: inherent characteristics of the fund, image reputation of fund, flexibility to facilitate the investment, performance, popularity, transparency and non-cash benefits. Another important aspect of this study is analysis impressibility the different groups of investors (professional, ambitious, moderate, conservative and cautious) towards these seven factors. The results of this analysis give us what is different between professional investors and other kinds of investors in the selecting of mutual funds.

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Joenväärä, Juha, Mikko Kauppila y Hannu Kahra. "Hedge fund portfolio selection with fund characteristics". Journal of Banking & Finance 132 (noviembre de 2021): 106232. http://dx.doi.org/10.1016/j.jbankfin.2021.106232.

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Adelia, Meidiana Rizki y Muhammad Nafik Hadi Ryandono. "DETERMINAN KINERJA REKSADANA SAHAM SYARIAH". Jurnal Ekonomi Syariah Teori dan Terapan 7, n.º 5 (3 de julio de 2020): 940. http://dx.doi.org/10.20473/vol7iss20205pp940-954.

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There are a lot of factors that determine the sharia equity mutual funds performance, included stock selection skill, market timing ability, and fund age. This study aims to understand the effect of stock selection skill, market timing ability, and fund age on the sharia equity mutual funds performance in Indonesia from 2012 to 2018. This research uses a quantitative approach using an explanatory research type. The sampling technique in this study was purposive sampling and 6 sharia equity mutual funds were selected as samples. This study uses multiple linear regression analysis. The result of the study displayed that stock selection skill and market timing ability have a significant effect on the performance of sharia equity mutual funds in Indonesia from 2012 to 2018. On the contrary, fund age have no effect on the performance of sharia equity mutual funds in Indonesia from 2012 to 2018. Keywords: stock selection skill, market timing ability, fund age, sharia equity mutual funds perfomance

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Sanjaya, Sigit, Yosi Yulia, Elfiswandi, Zerni Melmusi y Faradilla Suretno. "Factors influencing equity fund performance: evidence from Indonesia". Investment Management and Financial Innovations 17, n.º 1 (17 de marzo de 2020): 156–64. http://dx.doi.org/10.21511/imfi.17(1).2020.14.

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This study aims to discover the factors that affect equity fund performance in companies listed on the Indonesia Stock Exchange (IDX) during 2015–2018. This research is quantitative. Past performance, stock selection skills, market timing abilities, fund size, fund age are independent variables, while fund performance is the dependent variable. The population in this study was 73 equity funds. A total of 21 equity funds were selected as the sample by the purposive sampling method. The analytical method used is panel data regression analysis using the EViews program. Hypotheses were tested using a t-test with a significance level of alpha 0.05. The results show that equity fund past performance, stock selection skill, market timing ability, fund size, fund age and IDX composite index simultaneously have a significant effect on equity fund performance. Stock selection skill and IDX composite index partially have a positive and significant effect on equity fund performance. However, past performance, market timing ability, fund size and fund age have no positive and significant effect on equity fund performance. AcknowledgmentAll authors would like to thank Universitas Putra Indonesia YPTK Padang and Yayasan Perguruan Tinggi Komputer for financial support. Any remaining errors are our own.

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Das, Praveen K. y S. P. Uma Rao. "Market timing and selectivity performance of socially responsible funds". Social Responsibility Journal 11, n.º 2 (1 de junio de 2015): 258–69. http://dx.doi.org/10.1108/srj-07-2013-0088.

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Purpose – The purpose of this paper is to examine the market timing and stock selection abilities of socially responsible (SR) mutual funds. Some high-profile SR fund managers try to embrace market timing and security selection plans to add value to the performance. Market timing relies on forecasting the equity market and shifting assets into or out of the market in anticipation of market movements. The selectivity measure assesses fund managers ability to select undervalued securities. Furthermore, the authors examine whether fund characteristics play any role in market timing and security selection ability. Design/methodology/approach – The authors use Treynor and Mazuy's’ (1966) and Henriksson and Mertons’ (1981) model to examine the market timing and security selection ability. The study uses a decade of monthly returns to examine the skills of fund managers in the SR industry for the period from July 2002 to June 2012. Findings – The main findings are that the managers – though not very successful – do indulge in stock selection and market timing activities. It was found that 48 funds have positive statistically significant stock selectivity coefficients and only a very small number of five funds with positive statistically significant market timing coefficients. Results suggest that there is a trade-off between the two activities. It was found that aggressive funds, funds with higher growth rate and riskier funds are more likely to engage in market timing rather than stock selection. Practical implications – The implication is that SR managers cannot achieve superior stock selection and market timing ability simultaneously. Risk-averting investors in SR funds expect SR behavior from the managers. This means that managers of SR funds, with very little evidence of market timing ability, may have to refrain from market timing of SR funds. Originality/value – Using a Morningstar dataset comprising almost all SR funds in existence as of June 2012, this is probably the most exhaustive long-term study to date on market timing and stock selection abilities of SR fund managers.

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Brands, Simone y David R. Gallagher. "Portfolio selection, diversification and fund-of-funds: a note". Accounting and Finance 45, n.º 2 (julio de 2005): 185–97. http://dx.doi.org/10.1111/j.1467-629x.2004.00130.x.

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Mustafa, Mohammad. "Evolution of Fund Selection, Sanctioning and Monitoring Process under the Fund of Funds Operations". IIMS Journal of Management Science 10, n.º 3 (2019): 128. http://dx.doi.org/10.5958/0976-173x.2019.00010.1.

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Crane, Alan D. y Kevin Crotty. "Passive versus Active Fund Performance: Do Index Funds Have Skill?" Journal of Financial and Quantitative Analysis 53, n.º 1 (febrero de 2018): 33–64. http://dx.doi.org/10.1017/s0022109017000904.

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We apply methods designed to measure mutual fund skill to a cross section of funds that is unlikely to exhibit managerial portfolio selection skill: index funds. Surprisingly, these tests imply index fund skill exists, is persistent, and is in similar proportion as in active funds. We use the distribution of passive fund performance to gauge the incremental ability of active managers. Outperformance by top active funds is lower when benchmarked to the index fund distribution and disappears when we account for residual risk. Stochastic dominance tests suggest no risk-averse investor should choose a random active fund over a random index fund.

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Mulyawan, Setia. "Kinerja reksa dana syariah dan beberapa faktor yang memengaruhinya: studi di pasar modal Indonesia 2010-2013". IJTIHAD Jurnal Wacana Hukum Islam dan Kemanusiaan 16, n.º 2 (24 de enero de 2017): 217. http://dx.doi.org/10.18326/ijtihad.v16i2.217-236.

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The purpose of this study was to determine the effect of the characteristics on the performance ofIslamic mutual funds in Indonesia. By analyzing data from 27 Islamic mutual funds traded on theIndonesia Stock Exchange during the 48 months (January 2010-December 2013), and using panel dataas a technical analysis, the study came to the conclusion that the characteristics of Islamic mutual funds,represented by the turnover ratio, expenses ratio, fund size, fund age, and fund selection influence theperformance of Islamic mutual funds in Indonesia. Turnover ratio, fund size, fund age, and fundselection have positive effect to the performance of Islamic mutual fund.

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Gayatri, Gayatri y Ni Luh Sari Widhiyani. "Kinerja Investasi Exchange Trade Fund di Indonesia". E-Jurnal Akuntansi 31, n.º 7 (25 de julio de 2021): 1632. http://dx.doi.org/10.24843/eja.2021.v31.i07.p02.

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The aim of this research is to obtain empirical evidence about the effect of stock selection skills, market timing ability, fund size and fund age on the performance of exchange trade funds. The population in this study are all exchange trade fund investment products listed on the Indonesia Stock Exchange from 2017 to 2019. The sampling technique uses purposive sampling. To test the hypothesis, multiple linear regression analysis was used. This study proves that stock selection skills have a positive effect on the performance of exchange trade funds in Indonesia. Meanwhile, market timing ability, fund size and fund age do not have a positive effect on the performance of exchange trade funds in Indonesia. The reason is that only one investment manager PT. Indo Premier Investment Management which is always active in trading exchange trade funds in Indonesia. This research has implications for the more active investment managers in offering exchange trade fund products to attract investors because they are able to survive in times of crisis. Keywords: Exchange Trade Funds; Investation.

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Kaur, Inderjit. "Performance of Equity Mutual Fund and Educational Credentials of Fund Manager". Vision: The Journal of Business Perspective 21, n.º 1 (10 de febrero de 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 that the performance between these two groups of fund managers does not differ significantly. However, the difference in performance became significant after controlling for various fund characteristics, such as size, expense ratio, liquidity ratio and flow of funds. This suggests that the relation between fund performance and educational credentials may be moderated by control variables. The results showed that the fund managers with a premier management degree were performing better than the other group and that they also followed a more extreme investment strategy. Further, the study has examined whether the relation between educational credentials of fund managers and performance and investment strategy has been impacted by different time periods of economic cycle. The examination in different sub-periods of economic cycle provided better performance of fund managers with premier management education, particularly during crisis period of economy. This performance differential due to educational credentials during the crisis period have been independent of the investment strategy of fund managers.

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Malhotra, D. K., R. Martin y V. Marisetty. "An Empirical Analysis of Australian Superannuation Fund Expenses". Review of Pacific Basin Financial Markets and Policies 07, n.º 04 (diciembre de 2004): 451–69. http://dx.doi.org/10.1142/s0219091504000202.

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This study investigates the determinants of expense ratios of Australian superannuation funds. No prior research on this topic exists despite the importance of expense ratios for fund selection. We relate expense ratios to fund age, size, investment objective, sales charges, fund family membership, risk-adjusted return, and wholesale/retail category. Average expense ratios for wholesale funds are considerably lower than those of retail funds. For retail funds, expense ratios are positively related to investment objective and sales charge, and negatively related to fund age. For wholesale funds, they are negatively related to investment objective and positively related to fund age and size.

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Pan, Frank y Kuan-Mien Hsieh. "Importance and performance analysis on the investor’s choice of an offshore mutual fund and a bank channel in Taiwan". International Journal of Finance & Banking Studies (2147-4486) 8, n.º 3 (21 de agosto de 2019): 01–12. http://dx.doi.org/10.20525/ijfbs.v8i3.831.

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Investors in Taiwan prefer to invest in offshore funds, and they are good customers in the eyes of the world's major fund companies. Funds are competing these investors through these 3,400 bank branches. Literature has indicated comprehensive selection criteria when investors choosing a fund, yet no study revealed the gap between what investors’ expected and experienced. The current study conducted a survey among these investors with importance-performance analysis (IPA) to fill this gap. There were two parts in the questionnaire, first part was drawn from literature to measure funds, and the second part was summarized from several depth interviews based on SERVQUAL with senior investors. 240 valid responses from current fund investors. The factors investor’s preference in evaluating a fund may be different in terms of residence areas and age. Perceived importance of fund selection criteria is not significantly different in terms of gender, education, marriage, and income levels. Test results indicated that “investment performance record”, “management fees” and “additional features” of fund, and the “sympathy” dimension of bank should be first improved by either fund or bank company respectively.

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Maftukhah, Anni. "The Performance of Sharia Equity Fund Investment Manager". Jurnal Iqtisaduna 1, n.º 1 (21 de septiembre de 2020): 81. http://dx.doi.org/10.24252/iqtisaduna.v1i1.16056.

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Sharia mutual funds are fund raising activities from investors to be managed by investment managers with sharia-based management, namely by not investing funds in companies whose types and scope of business are not in accordance with Islamic sharia. This study was conducted to determine the effect of turnover ratio, expenses ratio, fund size, managerial tenure, and fund selection skills on the performance of sharia mutual fund investment managers in Indonesia. The data used in this study are monthly Net Asset Value, BI rate, IHSG, annual turnover data, annual expenses ratio data, and prospectus of 9 sharia stock mutual funds from December 2014 to December 2018. Samples were taken based on the purposive sampling method during this research. The measurement of the performance of sharia equity fund investment managers uses the Sharpe Ratio method. The method used is multiple linear regression analysis and classic assumption tests using descriptive statistical tests, multicollinearity tests, and heteroscedasticity tests using EVIEWS 10 statistical software. The results of this study indicate that turnover ratio, fund size, fund selection skills significantly influence performance Islamic mutual fund investment manager. While expenses and managerial tenure ratios do not significantly influence the performance of investment managers in Islamic mutual funds.

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Low, Soo-Wah. "Explaining the expense ratio of international equity funds". American Journal of Business 32, n.º 2 (5 de junio de 2017): 82–92. http://dx.doi.org/10.1108/ajb-07-2016-0021.

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Purpose The purpose of this paper is to examine the determinants of fund expense ratio for Malaysia-based international equity funds. An understanding of what these factors are and how they affect a fund’s expense ratio is important given that international funds can be expensive to operate and that fund expenses have negative impact on investors’ returns. Design/methodology/approach This study employs a standard cross-sectional regression model in examining the factors that influence fund expense ratio of international equity funds. Findings The findings show that sales charge is positively related to fund expense ratio although it is not included in the expense ratio computation. This suggests that investor could possibly incur additional “hidden cost” since sales charge represents an upfront cost that an investor has already paid at the time of the fund sale. Additionally, funds with aggressive investment objective and frequent portfolio turnover show higher expense ratios than funds with conservative investment objective and less trading activities. There is no evidence that fund size, fund age, and the number of funds in a fund family are significantly related to the fund expense ratio. While the lack of statistical finding for fund size in this study seems inconsistent with the results of the US market in general, the finding is supportive of the Thai equity fund market and thus implying that finding could be country specific. Research limitations/implications There is limited availability of international equity funds in Malaysia. Practical implications The findings provide useful insights for investors to make informed international fund selection decisions. Expense-conscious investors should pay particular attention to fund’s sales charge, turnover ratio, and its investment objective when selecting funds for investment. Originality/value This paper provides first evidence on the determinants of fund expense ratio of Malaysia-based international equity funds.

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Kucko, Irena. "Investment Fund Portfolio Selection Strategy". Verslas: teorija ir praktika 8, n.º 4 (27 de diciembre de 2007): 214–20. http://dx.doi.org/10.3846/btp.2007.30.

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Black, Keith H. "Hedge Fund Investing: A Quantitative Approach to Hedge Fund Manager Selection and De-Selection". CFA Digest 34, n.º 3 (agosto de 2004): 13–15. http://dx.doi.org/10.2469/dig.v34.n3.1505.

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Krisbiantoro, Dwi y Wiga Maulana Baihaqi. "THE IMPLEMENTATION OF SIMPLE ADDITIVE WEIGHTING METHOD IN THE SELECTION OF REHABILITATION FUND RECIPIENTS FOR UNINHABITABLE HOME". Simetris: Jurnal Teknik Mesin, Elektro dan Ilmu Komputer 10, n.º 1 (1 de abril de 2019): 309–18. http://dx.doi.org/10.24176/simet.v10i1.3023.

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The rehabilitation program is one of the programs given to people who have homes that are not habitable. They are usually from poor families with low economic income. In this program, the family will receive funds to rehabilitate their home. However, as long as the program is running, various problems have been encountered, including those who received fund sometimes received back the fund for rehabilitation funds. This is of course not in accordance with regulations that only allow applicants to receive the fund once. Based on this problem, a decision support system was made to select potential recipients of rehabilitation funds for uninhabitable house. By using the SAW method which is based on the value of criteria and preference weights, an appropriate assessment and ranking can be obtained after going through the selection process of assessing the weight of each attribute. The support for the selection decision for receiving uninhabitable rehabilitation fund was generated in this study. Decision making to determine beneficiaries was facilitated by the existence of a decision support system that was submitted, so that the fund provided was targeted at those entitled to receive uninhabitable rehabilitation fund.

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Hassan, Hafinaz Hasniyanti y Nazimah Hussin. "Conceptual Framework for the Determinants of Mutual Fund Performance in Malaysia". Journal of Finance and Banking Review Vol. 3 (4) Oct-Dec 2018 3, n.º 4 (11 de diciembre de 2018): 48–53. http://dx.doi.org/10.35609/jfbr.2018.3.4(2).

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Objective - The aim of the study is to identify the determinants of mutual fund performance. Mutual funds have grown in the global financial scene since the 1890s. Past studies have examined various issues associated with mutual funds. However, in Malaysia, mutual fund related studies are rather limited. While most global researches observe the determinants of conventional mutual fund performance, the literature in Malaysia focuses only on a comparison of the performance of mutual funds. Hence, this study aims to fill that gap by providing a framework to assess the determinants of mutual fund performance. More specifically, the study proposes a conceptual framework to determine the effect of historical return, fund governance, timing and selection skills on mutual fund performance. The advancement of the study can be found through the use of theory of performance and mutual fund fees as a mediator in determining the performance of mutual fund fees. Methodology/Technique - A quantitative approach based on secondary data will be used in this study. Multivariate regression analysis and structural equation modelling is also used to evaluate the relationship between the variables. Findings - A conceptual framework is proposed based on the Theory of Performance. The model fit and the mediating role of mutual fund fees will be confirmed after the collection of the research data. It is expected that historical return, fund governance, timing and selection skills will affect mutual fund performance and mutual fund fees will mediate the relationship between the two. Novelty – This study will provide a new perspective on mutual fund performance by using the Theory of Performance. In addition, the mediating role of mutual fund fees is further examined in relation to the specified determinants and mutual fund performance. Type of Paper - Review. Keywords: Mutual Funds; Fees; Performance; Mediator; Theory of Performance. JEL Classification: G10, G11, G19.

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Davies, Ryan J., Harry M. Kat y Sa Lu. "Fund of hedge funds portfolio selection: A multiple-objective approach". Journal of Derivatives & Hedge Funds 15, n.º 2 (23 de julio de 2009): 91–115. http://dx.doi.org/10.1057/jdhf.2009.1.

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Gusni, Silviana y Faisal Hamdani. "Factors affecting equity mutual fund performance: evidence from Indonesia". Investment Management and Financial Innovations 15, n.º 1 (3 de enero de 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 to 2015. A panel data analysis method has been used to analyze the effect of those factors on the equity mutual fund performance. The result showed that equity mutual fund performance tends to fluctuate in Indonesia. Equity mutual fund performance influenced by stock selection skill and inflation, meanwhile, market timing skill and fund size have no significant effect on the equity mutual fund performance.

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Deb, Soumya Guha, Ashok Banerjee y B. B. Chakrabarti. "Market Timing and Stock Selection Ability of Mutual Funds in India: An Empirical Investigation". Vikalpa: The Journal for Decision Makers 32, n.º 2 (abril de 2007): 39–52. http://dx.doi.org/10.1177/0256090920070204.

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Evaluation of performance of mutual funds and identification of successful fund managers are of great interest to both investors and academicians. Two possible methods that are presumed to be used by fund managers for generating superior performance are identified as: Market timing: Market timing skills imply assessing correctly the direction of the market, whether bull or bear, and positioning their portfolios accordingly. Stock selection: Stock selection skills involve micro forecasting, which generally forecasts price movements of individual stocks relative to stocks and identification of individual stocks that are under-or over-valued relative to equities in general. The two pioneering works in this field is by Treynor Mazuy( 1966) and Henriksson Merton ( 1981). They developed two different models for testing the market timing and stock selection abilities of the fund managers but found little evidence of timing by the fund managers in their samples. Most of the other works mentioned in the paper have used these two models (which we name as traditional/unconditional models) or slight variations of the same for testing market timing and stock selection abilities of the fund managers. Person and Scadt (1996) modified the classical performance measures (of timing and stock selection ability) to take account of well-known information variables like interest rate, market dividend yield, etc. They termed it as ‘conditional approach’ of measuring mutual fund performance and claimed that conditioning on public information controls for biases in traditional market timing and stock selection models. Traditional models have taken the view that ‘any information’ correlated with the future market returns is superior information; in other words, they are unconditional models. Person and Scadt's approach used basically the same simplifying assumptions as the traditional models but they assumed, in addition, semi-strong form of market efficiency. The idea was to distinguish between market timing based on public information from market timing information that is superior to the lagged publicly available information variables. Although the academic literature on stock selection and market timing ability of mutual fund managers is rich and spans several decades, not many studies exist on this issue using emerging market data. This paper attempts to find the stock selection and market timing abilities of the Indian mutual fund managers using unconditional as well as conditional approaches. With a sample of 96 Indian mutual fund schemes, a lack of market timing ability and presence of stock selection ability were observed among the Indian funds managers in both unconditional as well as conditional approaches. A pooled regression was carried out for various categories of funds as well as for the entire sample, which also showed a lack of market timing abilities and presence of stock selection abilities.

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Hassan, Sharika, Asif Iqbal Fazili y Asif Hamid. "Factors Affecting the Fund Selection Capability of Mutual Fund Advisors". Asian Journal of Management 9, n.º 1 (2018): 445. http://dx.doi.org/10.5958/2321-5763.2018.00069.0.

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Broeders, Dirk y Leo de Haan. "Benchmark selection and performance". Journal of Pension Economics and Finance 19, n.º 4 (12 de noviembre de 2019): 511–31. http://dx.doi.org/10.1017/s1474747219000246.

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AbstractUsing regulatory data free of self-reporting bias for 2007–16, we decompose investment returns of 455 Dutch pension funds according to their key investment decisions, i.e., asset allocation, market timing and security selection. In extension to existing papers, we also assess the impact of benchmark selection. Over time, asset allocation explains 39% of the variation of returns, whereas benchmark selection, timing and selection explain 11%, 9% and 16%, respectively. Across pension funds, asset allocation explains on average only 19% of the variation in pension fund returns. Benchmark selection dominates this by explaining 33% of cross-sectional returns. We relate the choice for a specific benchmark to investment, risk and style preferences.

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Nanda, Yulia Vidya y Apriani Dorkas Rambu Atahau. "AN EMPIRICAL STUDY ON PENSION FUNDS’ PORTFOLIO AND INVESTMENT PERFORMANCE: THE EFFECT OF PENSION FUNDS’ SIZE". Jurnal Manajemen dan Kewirausahaan 22, n.º 2 (1 de septiembre de 2020): 115–21. http://dx.doi.org/10.9744/jmk.22.2.115-121.

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This study seeks to investigate whether larger pension funds exhibit better investment performance than smaller ones and differences in the selection of investment instruments between large and small pension funds. Our research sample is 13 pension funds that are the members of BKS Dapen-KI (Badan Kerja Sama Dana Pensiun Kristen Indonesia – the Cooperation Council of Christian Pension Fund in Indonesia) in 2010-2017. We use the quantitatively descriptive and independent-sample t-test methods. The results indicate no significant difference between the performance of large and small pension funds likely because both pension fund types have relatively similar total assets. However, large and small pension funds have exhibit different investment instruments selection.

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Hirano, Masanori, Hiroki Sakaji, Shoko Kimura, Kiyoshi Izumi, Hiroyasu Matsushima, Shintaro Nagao y Atsuo Kato. "Related Stocks Selection with Data Collaboration Using Text Mining". Information 10, n.º 3 (7 de marzo de 2019): 102. http://dx.doi.org/10.3390/info10030102.

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We propose an extended scheme for selecting related stocks for themed mutual funds. This scheme was designed to support fund managers who are building themed mutual funds. In our preliminary experiments, building a themed mutual fund was found to be quite difficult. Our scheme is a type of natural language processing method and based on words extracted according to their similarity to a theme using word2vec and our unique similarity based on co-occurrence in company information. We used data including investor relations and official websites as company information data. We also conducted several other experiments, including hyperparameter tuning, in our scheme. The scheme achieved a 172% higher F1 score and 21% higher accuracy than a standard method. Our research also showed the possibility that official websites are not necessary for our scheme, contrary to our preliminary experiments for assessing data collaboration.

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31

Seok, Sang Ik, Tae Hyun Kim, Hoon Cho y Tae Joong Kim. "A Study on the Effect of Geographic Diversification of Firms on Hedging Activity Using Derivatives". Journal of Derivatives and Quantitative Studies 26, n.º 1 (28 de febrero de 2018): 59–83. http://dx.doi.org/10.1108/jdqs-01-2018-b0003.

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This paper examines the effect of fund manager replacement on investment performances of mutual funds. In managerial labor market of mutual fund industries with information asymmetry about the type and action of a fund manager, separating compensation may not be achievable due to imperfect evaluation of performances of fund managers. This paper extends contract theory to model the situations where a mutual fund offers pooling compensation contract to a fund manager based on his reputation. Under these environments, the fund manager has an economic incentive to acquire private benefit by manipulating performances and then to turn over to other mutual fund. Fund manager’s replacement is an aspect of adverse selection in the managerial labor market of fund industries. That is, a fund manager with low ability can select and manipulate unsuccessful investment portfolio generating loss to fund while he turns over to hide himself in the reputation under pooling contract mechanism. The empirical analysis of this paper provides the significant evidence that, differently from those of mutual funds of which managers stay in the same mutual funds, the fund performances drop after the fund managers turn over to other mutual funds. These empirical evidences support the theoretical prediction that the fund managers have incentive to manipulate short-term performances to maintain reputation for acquiring favorable compensation contracts.

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32

Kim, Heonsoo y Byung-Uk Chong. "Fund Manager Replacement and Manipulative Portfolio Management : Application of Contract Theory and Empirical Analysis of Fund Market in Korea The Determinants of Idiosyncratic Volatility". Journal of Derivatives and Quantitative Studies 25, n.º 4 (30 de noviembre de 2017): 547–90. http://dx.doi.org/10.1108/jdqs-04-2017-b0003.

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This paper examines the effect of fund manager replacement on investment performances of mutual funds. In managerial labor market of mutual fund industries with information asymmetry about the type and action of a fund manager, separating compensation may not be achievable due to imperfect evaluation of performances of fund managers. This paper extends contract theory to model the situations where a mutual fund offers pooling compensation contract to a fund manager based on his reputation. Under these environments, the fund manager has an economic incentive to acquire private benefit by manipulating performances and then to turn over to other mutual fund. Fund manager’s replacement is an aspect of adverse selection in the managerial labor market of fund industries. That is, a fund manager with low ability can select and manipulate unsuccessful investment portfolio generating loss to fund while he turns over to hide himself in the reputation under pooling contract mechanism. The empirical analysis of this paper provides the significant evidence that, differently from those of mutual funds of which managers stay in the same mutual funds, the fund performances drop after the fund managers turn over to other mutual funds. These empirical evidences support the theoretical prediction that the fund managers have incentive to manipulate short-term performances to maintain reputation for acquiring favorable compensation contracts.

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33

Saraoglu, Hakan y Miranda Lam Detzler. "A Sensible Mutual Fund Selection Model". Financial Analysts Journal 58, n.º 3 (mayo de 2002): 60–72. http://dx.doi.org/10.2469/faj.v58.n3.2538.

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34

Huber, Claus. "Machine Learning for Hedge Fund Selection". Wilmott 2019, n.º 100 (marzo de 2019): 74–81. http://dx.doi.org/10.1002/wilm.10752.

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35

Busse, Jeffrey A. y Qing Tong. "Mutual Fund Industry Selection and Persistence". Review of Asset Pricing Studies 2, n.º 2 (4 de julio de 2012): 245–74. http://dx.doi.org/10.1093/rapstu/ras004.

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36

Koehler, Jonathan J. y Molly Mercer. "Selection Neglect in Mutual Fund Advertisements". Management Science 55, n.º 7 (julio de 2009): 1107–21. http://dx.doi.org/10.1287/mnsc.1090.1013.

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37

Hribernik, Tanja y Uroš Vek. "Mutual Fund Performance in Slovenia: An Analysis of Mutual Funds with Investment Policies in Europe and the Energy Sector". South East European Journal of Economics and Business 6, n.º 1 (1 de abril de 2011): 61–69. http://dx.doi.org/10.2478/v10033-011-0006-y.

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Mutual Fund Performance in Slovenia: An Analysis of Mutual Funds with Investment Policies in Europe and the Energy Sector This paper examines the risk and return performance of mutual funds in Slovenia from 2005 until August 2009. The research is limited to the regional investment policies in Europe and the energy sector. Using monthly returns, we analyzed different risk-adjusted measures such as: the Treynor ratio, the Sortino ratio and the Information ratio. We also studied selections and timing ability using the Treynor-Mazuy model. The risk and return performance of mutual funds in the Slovenian market does not deviate from those in developed markets. We also found out that the selection ability of fund managers is better than market timing and that the findings of this paper are in accordance with other international studies.

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38

Amaral, Rodrigo Coccarelli Marroco do y Ricardo Pereira Câmara Leal. "Selection of stock funds using information that is not observable or measurable". Revista Contabilidade & Finanças 32, n.º 85 (abril de 2021): 143–57. http://dx.doi.org/10.1590/1808-057x202010610.

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ABSTRACT The aim of this paper is to investigate whether the flows and the future returns of stock funds are related to investors’ unobservable information. This article extends the knowledge about investment decisions regarding stock funds and considers a representation of unobservable information that until now has not been contemplated by the Brazilian literature. Understanding decisions to invest in stocks has become more important since the fall in interest rates and migration toward equity investments. The use of unobservable information for making investment decisions is important when choosing stock funds and the return gap could be added to the list of information offered to investors. The return gap measures the value added by managers in relation to the most recently disclosed complete lagged portfolio and was calculated every month for every asset in the portfolios of every fund in the sample disclosed with a three-month lag. A parsimonious sample was used of 22 actively managed funds in the period from January of 2010 to December of 2018, containing one from every one of the 22 biggest independent Brazilian managers, because it is laborious to calculate this metric. The return gap represents unobservable information about a fund. Investors that direct their capital toward stock funds with a higher historical return gap tend to obtain higher returns in out-of-sample tests, suggesting persistence of the returns of these funds and supporting the importance of unobservable information. Investors that directed their capital toward funds with lower historical return gaps could also obtain positive alphas in some cases, indicating that some managers were neglected. The fund flow results were inconclusive.

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39

Chu, Patrick Kuok-kun y Michael McKenzie. "A Study on Stock-Selection and Market-Timing Performance: Evidence from Hong Kong Mandatory Provident Funds (MPF)". Review of Pacific Basin Financial Markets and Policies 11, n.º 04 (diciembre de 2008): 617–49. http://dx.doi.org/10.1142/s0219091508001507.

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This paper presents the first comprehensive study of the performance and market timing ability of the equity funds that comprise the Hong Kong Mandatory Provident Funds (MPF) scheme. In general, our results suggest that US equity funds consistently underperform relative to the market, while the other fund groups consistently outperform the market. The stock-selection ability of MPF constituent equity funds in times of changing economic condition is also investigated. The evidence is consistent with previous studies, which suggest that the conditional models decrease the individual fund traditional alpha measure. The market timing models of Treynor–Mazuy and Henriksson–Merton provide evidence of superior market timing ability.

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40

Ling, Pick-Soon y Ruzita Abdul-Rahim. "MANAGERIAL ABILITIES AND FACTOR INVESTMENT STYLE PERFORMANCES OF MALAYSIAN MUTUAL FUND MANAGERS". Journal of Nusantara Studies (JONUS) 6, n.º 1 (28 de enero de 2021): 118–35. http://dx.doi.org/10.24200/jonus.vol6iss1pp118-135.

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Background and Purpose: Studies focusing on mutual fund managerial abilities and investment style strategies are still scarce in the literature. Thus, this study aims to provide new evidence and insights into the managerial abilities and investment style performances of Malaysian fund managers. Methodology: A total of 444 Malaysian equity mutual funds (EMFs) were evaluated using Carhart’s model incorporated with Treynor-Mazuy (T-M) and Henriksson-Merton (H-M) market timing models for the study period, from January 1995 to December 2017. Findings: Fund managers displayed superior stock selection skills with 32 percent and 43 percent of funds for T-M and H-M respectively, with perverse market timing ability which accounted for 39 percent and 42 percent of funds for T-M and H-M respectively. Perverse timing ability had reduced the superior stock-picking skills of fund managers. This suggests that the EMFs performance could further improve if respective fund managers perform better in market timing ability. The finding also indicates that size effect (SMB) and value effect (HML) play significant roles in investment style strategies, while results of momentum factor (WML) propose that Malaysian fund managers have followed the contrarian strategy. Contributions: This study contributes in several ways especially in the literature of portfolio management as the evidence is obtained from the largest mutual funds sample size and the longest study period. Moreover, this study also used the highest frequency data to study the effects of market timing which were overlooked in previous studies. Keywords: Adjusted carhart, Malaysian market, market timing, mutual fund, stock selection. Cite as: Ling, P-S., & Abdul-Rahim, R. (2021). Managerial abilities and factor investment style performances of Malaysian mutual funds. Journal of Nusantara Studies, 6(1), 118-135. http://dx.doi.org/10.24200/jonus.vol6iss1pp118-135

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41

Ascioglu, Asli y Kevin John Maloney. "From stock selection to multi-asset investment management". Managerial Finance 46, n.º 5 (14 de junio de 2019): 647–61. http://dx.doi.org/10.1108/mf-07-2018-0304.

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Purpose The purpose of this paper is to trace the evolution of the Archway Investment Fund (AIF) at Bryant University from its founding in 2005 as a portfolio focused exclusively on US equities to a multi-asset program that incorporates US equities, non-US equities, equity ETFs, REITs, individual bonds, fixed income ETFs and options. It also describes the explicit introduction of environmental, social and governance (ESG) considerations into the investment process. Design/methodology/approach The paper follows a case study approach. Findings The paper describes the programmatic changes that accompanied this evolution in these areas: finance department curriculum innovations; the investment guidelines and constraints that govern the AIF; the investment process utilized; the oversight and governance process; and the reporting, presentation, and publicity initiatives that keep critical constituencies (university administration, faculty, alumni and students) informed and engaged in this program to sustain its success. Originality/value The vast majority of student-managed funds are equity funds focused on individual stock selection. The AIF is a multi-asset fund with separate equity and fixed income sub-portfolios that explicitly incorporates ESG factors into the security selection process.

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42

Lau, Wee Yeap. "Private Retirement Scheme Funds: Will the Asset Allocation Strategy Work For Retirees?" Shanlax International Journal of Economics 8, n.º 1 (1 de diciembre de 2019): 1–13. http://dx.doi.org/10.34293/economics.v8i1.1173.

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One of the principal-agent problems is the asymmetric information between fund managers and investors. To mitigate this issue, this study conducts the return-based style analysis on Private Retirement Scheme funds to their asset allocation strategy. Our results show: First, conservative funds have a strong focus on fixed income products rather than equity. Second, in terms of asset allocation to equity, on average, growth funds have a higher allocation to foreign equity of 16.28 per cent, followed by moderate funds of 9.18 per cent; Third, growth funds focus on large growth stocks, while moderate funds focus on large value stocks. However, three observations deserve our attention: First, a high degree of selection for the conservative fund will entail higher transaction cost; and second, in terms of the degree of style and selection, conservative funds do not vary much from growth funds. In other words, there is no distinct product differentiation between the two categories; Lastly, there is a wide disparity in asset allocation across the conservative funds. This implies some degree of risk-taking by some fund managers. These results suggest that the financial goals of retirees will be undermined if PRS funds do not focus on their mandate.

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43

Yolanda, Putri, Fivi Anggraini y Yeasy Darmayanti. "Analisis Pemilihan Saham dan Tingkat Risiko terhadap Kinerja Reksa Dana Saham". Jurnal Kajian Akuntansi dan Auditing 14, n.º 2 (20 de octubre de 2019): 113–21. http://dx.doi.org/10.37301/jkaa.v14i2.14.

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Mutual funds performance is one of the most important method to measure the capability of Mutual funds, this method will answer your question whether the mutual funds can be used as a good priority in investment or not. Beside that, the manager’s ability in selecting share also play the big role, since the choice that made by the manager will determine how much “return” will be received by the investors. After that, the high risk in investment, which later will show up, should be considered before taking the final decision in selecting share.This study aimed to verify the effect of share selection and the level of risk on the performance of mutual fund sharesThe data used in this study is the share of mutual funds in 2009-2011 and the samples are 18 mutual funds selected by using purposive sampling method. The data are obtained from the NAB of each fund which can be obtained at Bapepam-LK. Based on the results of hypothesis for regression models, we found out that selecting share give a great influence on Mutual funds performance and the level of risk has no significant effect on the in Mutual funds performance.

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44

Yanti, Harti Budi. "Faktor Determinan Pemicu Korupsi di Sektor Pemerintahan (Studi pada Pegawai Negeri Sipil di Jakarta)". Jurnal Kajian Akuntansi dan Auditing 15, n.º 2 (6 de enero de 2021): 104–17. http://dx.doi.org/10.37301/jkaa.v15i2.27.

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Mutual funds performance is one of the most important method to measure the capability of Mutual funds, this method will answer your question whether the mutual funds can be used as a good priority in investment or not. Beside that, the manager’s ability in selecting share also play the big role, since the choice that made by the manager will determine how much “return” will be received by the investors. After that, the high risk in investment, which later will show up, should be considered before taking the final decision in selecting share.This study aimed to verify the effect of share selection and the level of risk on the performance of mutual fund sharesThe data used in this study is the share of mutual funds in 2009-2011 and the samples are 18 mutual funds selected by using purposive sampling method. The data are obtained from the NAB of each fund which can be obtained at Bapepam-LK. Based on the results of hypothesis for regression models, we found out that selecting share give a great influence on Mutual funds performance and the level of risk has no significant effect on the in Mutual funds performance.

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45

Yanti, Harti Budi. "Faktor Determinan Pemicu Korupsi di Sektor Pemerintahan (Studi pada Pegawai Negeri Sipil di Jakarta)". Jurnal Kajian Akuntansi dan Auditing 15, n.º 2 (6 de enero de 2021): 104–17. http://dx.doi.org/10.37301/jkaa.v15i2.27.

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Mutual funds performance is one of the most important method to measure the capability of Mutual funds, this method will answer your question whether the mutual funds can be used as a good priority in investment or not. Beside that, the manager’s ability in selecting share also play the big role, since the choice that made by the manager will determine how much “return” will be received by the investors. After that, the high risk in investment, which later will show up, should be considered before taking the final decision in selecting share.This study aimed to verify the effect of share selection and the level of risk on the performance of mutual fund sharesThe data used in this study is the share of mutual funds in 2009-2011 and the samples are 18 mutual funds selected by using purposive sampling method. The data are obtained from the NAB of each fund which can be obtained at Bapepam-LK. Based on the results of hypothesis for regression models, we found out that selecting share give a great influence on Mutual funds performance and the level of risk has no significant effect on the in Mutual funds performance.

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46

Murugesu, John y Chandra Sakaran. "The Interaction of Market Risk and Idiosyncratic Risk on Equity Mutual Fund Returns". International Journal of Financial Research 10, n.º 6 (8 de agosto de 2019): 1. http://dx.doi.org/10.5430/ijfr.v10n6p1.

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This study examines the importance of idiosyncratic and systematic risks in explaining equity fund returns in Malaysia. The level of market and idiosyncratic risk in a mutual fund depends on what asset class it invests in. Equity type asset classes are exposed to both systematic and idiosyncratic risk but research generally suggest that only systematic risk is relevant in mutual fund selection since idiosyncratic risk can be reduced through fund diversification. This study attempts to expand the insights of the risk-return relationship by providing additional evidence on the direct and indirect effects of investment risk on equity mutual fund returns. Employing partial least squares structural equation modelling (PLS-SEM), we also explore if idiosyncratic risk moderates the relationship between market risk and mutual fund returns. A sample of 150 Malaysian domestic equity mutual funds comprising of large, mid & small-cap equity funds were selected from the Morningstar website. The results indicate that market risk does not influence mutual funds returns but idiosyncratic risk has a significant and positive effect. Idiosyncratic risk is proxied by fund characteristics comprising of size, age, expenses and fund manager ability. This study shows that fund size, age or expenses are not significant and only the fund alpha which measures fund manager ability is relevant in predicting fund returns. The study also finds that the fund alpha moderates the influence of market risk on returns by changing the nature of the relationship from positive to negative.

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47

Rabikauskaitė, Viktorija y Lina Novickytė. "II pillar pension funds: how the selection of fund influences the size of the old-age pension". Ekonomika 94, n.º 3 (1 de enero de 2015): 96–118. http://dx.doi.org/10.15388/ekon.2015.3.8790.

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The government, in order to achieve the welfare of the citizens in the retirement age to keep pace with the working people, carried out the various pension systems transformations. The working people’s welfare is growing due to the economic progress, so there is a theory of economics, which examines the existing income redistribution in time. It should be noted that in order to ensure the financial well-being in old age it is necessary to efficiently allocate the scarce resources. In Lithuania, the existing three pillar pension system allows each employee to contribute to their own financial well-being in the future. This article aims to assess the second pillar pension fund performance and how fund differences affect the amount of old age pension. The analysis made it possible to determine the correlation between the return generated by the fund and the number of participants in the fund; the spreadsheet is provided, which allows estimating the influence of the choice of different funds on the size of the retirement pension. It was found that fund return and the number of participants in the fund have a negative correlation. This shows that the part of households who raise money in fund with the lowest return will be much poorer, and the corresponding result is a smaller pension. It may be noted that the accumulation of different pension fund reserves have a significant impact on the future pension size (this difference can be as high as 230%).

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48

Zheng, Lu. "Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability". Journal of Finance 54, n.º 3 (junio de 1999): 901–33. http://dx.doi.org/10.1111/0022-1082.00131.

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49

Preciado, Luis Berggrun y Fernando Jaramillo Recio. "Performance evaluation, fund selection and portfolio allocation applied to colombia's pension funds". Estudios Gerenciales 26, n.º 117 (octubre de 2010): 13–40. http://dx.doi.org/10.1016/s0123-5923(10)70132-7.

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50

Phalippou, Ludovic. "Private Equity: Performance, Risk, and Fund Selection". CFA Institute Conference Proceedings Quarterly 27, n.º 3 (septiembre de 2010): 47–51. http://dx.doi.org/10.2469/cp.v27.n3.1.

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