Search results

This paper tries to find how investors evaluate mutual fund performance, not only based on both quantitative but also qualitative criteria.

This paper adopts the modified Delphi method and the analytical hierarchy process (AHP) to design an assessment method for evaluating mutual fund performance.

The most important criteria of mutual fund performance should be “mutual fund style,” following is “market investment environment.” This result indicates investors' focus when they evaluate the mutual fund performance.

The AHP assumes the criteria are independent between each other. However, in many real cases, the criteria to evaluate the funds' performance may not be independent. Therefore, the authors recommend correlation between each criterion can be considered in the future research.

When making investment decisions, investors should be more concentrate on gathering information of mutual fund style. As for mutual fund issuers, they could also leverage these results to communicate with their clients in more efficient way.

This study presents a framework of assessable mutual fund performance where the AHP were employed for finding the both tangible and intangible key criteria of performance evaluation.

Teaching and unit evaluations surveys are used to assess the quality of teaching and the quality of the unit of study. An analysis of teaching and unit evaluation survey practices in Australian universities suggests significant changes. One key change discussed in the paper is the shift from voluntary to mandatory use of surveys with the results used to assess and reward academic staff performance. The change in the direction is largely driven by the introduction of performance‐based funding as part of quality assurance arrangements. The paper aims to outline the current trends and changes and the implications in the future such as increased scrutiny of teaching and intrusion to academic autonomy.

The paper is based on the analysis of current teaching and unit evaluation practices across the Australian university sector. The paper presents the case of an Australian university that has introduced performance‐based reward using various measures to assess and reward academic staff such as the outcome of student satisfaction surveys. The analysis of external quality audit findings related to teacher and unit evaluations is also presented.

The findings suggest a shift in trend from the use of voluntary to mandatory tools to assess and reward quality teaching. The case of an Australian university outlined in the paper and the approach taken by seven other universities is largely driven by performance‐based funding. One of the key concerns for many in higher education is the intrusion of academic autonomy with increased focus on outcomes and less emphasis on resources needed to produce excellence in learning and teaching and research. The increased reliance on student happiness as a measure of educational quality raises the questions on whether high student satisfaction would strengthen academic rigour and student attainment of learning outcomes and generic skills which are seen as key factors in graduate exit standards.

The renewal of quality assurance and performance‐based funding using student satisfaction as a measure of educational quality will result in increased use of student voice to assess learning and teaching outcomes. Such direction will increase the accountability on academics to improve student experience and the measures will be used to assess academic staff performance.

The paper outlines the trends and changes in the teacher and unit evaluations in Australian universities and its implications in the future. The paper also provides a case of an Australian university that has recently made teacher and unit evaluations compulsory with the results used in academic staff annual performance review and linking reward with performance outcomes.

The purpose of this paper is to appraise the risk‐adjusted performance of international mutual funds using measures generated by the optimized variance (OV), and to promote ability of portfolio managers and investors in making logical decisions.

This study appraises the performance of 65 international mutual funds via the optimized risk‐adjusted measures during monthly period of 2001‐2010. Using 65 linear programming models, the OV is calculated to optimize the standard deviation of any funds. Then, another model is run to get the OV of market index. Consequently, seven optimized performance measures namely Treynor, Sharpe, Jensen's alpha, M‐squared, information ratio (IR), MSR, and FPI along with the optimized leverage factor are proposed to evaluate the performance of these mutual funds. Finally, the optimized measures are used to evaluate the funds during pre and post‐crisis periods in order to compare the funds' performance over the crisis periods.

The empirical evidence detects which OV, as measured by the Markowitz's linear programming model, is an important determinant in the performance evaluation measures. Using OV statistic and also its standard deviation, this paper shows that new optimized measures are mostly over‐performed rather than the benchmark index; in addition these optimized measures have close correlation with the conventional performance measures. The evidence shows that the average of the optimized measures during crisis has the lowest performance in comparison with other research periods. The results therefore highlight the importance of using the new optimized measures along with the conventional measures in the evaluation of mutual funds' performance.

It can be worthwhile to compare the optimized measure and also the conventional measures in identifying their superior measures.

The result of this study can be directly used as initial data to make decision by investors and portfolio managers who are seeking the possibility of participating in the global stock market through international mutual funds.

This paper is one of the first studies that optimizes the variance of return for any fund to suggest four optimized measures of Sharpe, IR, MSR, and FPI, and then proposes a new linear programming model to get OV of market index in introducing four optimized new measures of Treynor, M‐square, Jensen's alpha, and leverage factor.

The purpose of this paper is to provide the modified measures of risk-adjusted performance evaluation of Malaysian mutual funds using the downside risk concepts, and promote the ability of managers and investors in making logical decisions under the market asymmetry condition.

This study focusses on the performance evaluation of Malaysian mutual funds using eight modified measures of Sharpe, Treynor, M2, Jensen’s α, information ratio (IR), MSR, SPI, and leverage factor. These modified measures use the downside systematic risk and semi-standard deviation instead of systematic risk and conventional standard deviation, respectively, to evaluate the performance of Malaysian mutual funds over the period 2000-2011.

The results indicate that the conventional measures of performance evaluation do not have a crucial influence on the relative evaluation of mutual funds. Three modified measures of Sharpe, Treynor, and M2 have a high correlation with the conventional Sharpe measure and can be used instead of the conventional Sharpe measure. Since, two modified measures of Treynor and M2 display a high rank correlation coefficient with the conventional Treynor measure, they can be replaced with this traditional measure. In addition, two modified IR and MSR measures along with the modified SPI and conventional SPI show very high rank correlation coefficients in relation to each other. The results also document a modified leverage factor less than one for all funds. It can be concluded that the strategy of un-levering the investor’s holding must be followed.

The empirical evidence of this study can be utilized as inputs in the process of decision-making by different types of investors who are interested in participating especially in Malaysian stock market and generally in global stock market under the market asymmetry condition.

The contribution of this study is to modify five measures of M2, IR, MSR, FPI, and leverage factor in the downside risk framework which is a work on a rather under-researched area.

The purpose of this paper is to perform a relative assessment of performance benchmarks based on alternative asset pricing models to evaluate performance of mutual funds and suggest the best approach in Indian context.

Sample of 237 open-ended Indian equity (growth) schemes from April 2003 to March 2013 is used. Both unconditional and conditional versions of eight performance models are employed, namely, Jensen (1968) measure, three-moment asset pricing model, four-moment asset pricing model, Fama and French (1993) three-factor model, Carhart (1997) four-factor model, Elton et al. (1999) five-index model, Fama and French (2015) five-factor model and firm quality five-factor model.

Conditional version of Carhart (1997) model is found to be the most appropriate performance benchmark in the Indian context. Success of conditional models over unconditional models highlights that fund managers dynamically manage their portfolios.

A significant α generated over and above the return estimated using Carhart’s (1997) model reflects true stock-picking skills of fund managers and it is, therefore, worth paying an active management fee. Stock exchanges and credit rating agencies in India should construct indices incorporating size, value and momentum factors to be used for purpose of benchmarking.

The study adds new evidence as to applicability of established asset pricing models as performance benchmarks in emerging market India. It examines role of higher order moments in explaining mutual fund returns which is an under researched area.

The purpose of this paper is to provide an attempt to evaluate the risk-adjusted performance of international mutual funds using the risk statistic generated by the mean absolute deviation (MAD) and promote the ability of portfolio managers and investors to make the logical decisions for selecting different funds using the new optimized measures.

This study evaluates the performance of 50 international mutual funds using optimized risk-adjusted measures by the MAD over the monthly period 2001-2010. Using 50 linear programming models, the MAD is first computed by the linear programming models, and then seven performance measures of Treynor, Sharpe, Jensen’s α, M2, information ratio (IR), MSR, and FPI are optimized and proposed by the MAD to evaluate the mutual funds.

The empirical evidence detects that the MAD is an important determinant to evaluate the funds’ performance. Using the MAD statistic, this paper shows that new optimized measures are mostly over-performed by the benchmark index; in addition, these optimized measures have close correlation with each other. The results, therefore, detect the importance of using new optimized measures in evaluating the mutual funds’ performance.

The result of this study can be directly used as an initial data for decision of investors and portfolio managers who are seeking the possibility of participating in the global stock market by the international mutual funds.

This paper is the first study which optimizes the variance of returns in the MAD framework for each fund to propose new seven optimized measures of Treynor, Sharpe, Jensen’s α, M2, IR, MSR, and FPI.

The paper aims to examine the performance of Spanish mutual funds between 1999 and 2003.

The methodolgy uses the stochastic discount factor (SDF) framework across a variety of models developed in the recent asset pricing literature. This approach is a fairly recent innovation in the evaluation of investment performance.

The present work complements the research of Farnworth et al. and Fletcher and Forbes, adding a new issue to the SDF, the third co‐moment of asset returns. Recent asset pricing studies show the relevance of the component of an asset's skewness related to the market portfolio's skewness, the coskewness, and how it helps to explain the time‐variation of ex‐ante market risk premiums. It is found that the effects of adding coskewness to evaluate the performance is significant even when factors based on size, book‐to‐market and momentum are included.

The omission of a coskewness factor may lead to erroneous evaluations of a fund's performance, and therefore, issues such as the persistence of performance should be revised.

This paper explores, for the first time, the effects of incorporating a coskewness factor in the analysis of investment performance, both in an unconditional and a conditional framework using SDF models.

This study aims to empirically analyze the asset allocation capabilities of Outsourced Chief Investment Officers (OCIOs) in Korea. The empirical analysis used data from 35 funds that were evaluated by the Ministry of Strategy and Finance from 2012 to 2020. The results of the analysis are summarized as follows. First, this study found that funds that adopted OCIO improved their asset allocation performance. Second, the sensitivity between risk-taking and performance decreased for funds that adopted OCIO. Third, it is found that OCIO adoption improves a fund's asset management execution (tactical capabilities). This study has methodological limitations in which the methodology used in this study is not based on theoretical prior research, but on practical applications. However, considering the need to clearly analyze the capabilities of OCIO and the timeliness of the topic, this study is valuable and can provide meaningful information to funders who are considering adopting OCIO in the future.

This paper analyzes alternative performance evaluation models applied to equity mutual funds under conditional and unconditional approaches in the Brazilian market.

The analysis is conducted using CAPM's single factor, Fama–French three and five factors, under their conditional and unconditional versions in a sample of 896 equity mutual funds from 2008 to 2019.

The results suggest that the use of three- or five-factor models is especially relevant to reduce the effect of market anomalies in performance assessment. Additionally, results show that conditional approaches, adding time-varying alphas and betas with macroeconomic variables, provide higher explanatory power than their unconditional peers.

The results are relevant in the unique economic environment characterized by historically high interest rate and high market volatility.

This paper evaluates the risk-adjusted returns, selectivity, market timing skills and persistence of the performance of Nigerian pension funds.

Annual return data of 23 pension funds that operated in Nigeria between 2018 and 2022 were obtained from the National Pension Commission (PenCom). Risk-adjusted return was appraised using the Treynor ratio, Sharpe ratio and Jensen alpha, while the Treynor–Mazuy and Henriksson–Merton multiple regression models were applied to decompose selective and timing skills. Performance persistence was assessed using the contingency table and rank correlation models.

Evidence shows that pension funds deliver excess risk-adjusted returns and exhibit selective skills. However, the evidence does not support the presence of timing skills, and there is overwhelming evidence that good (bad) performance does not repeat.

An evaluation of the investment performance of pension funds is crucial for ensuring the financial stability of retirees, maintaining economic stability and making informed investment decisions. It serves the interests of pensioners, pension fund managers, regulators and the broader economy. Our evidence that pension funds generate positive excess returns is a departure from most of the literature on managed funds. We recommend that more Nigerians should leverage the pension fund industry to grow their wealth and prepare for retirement.

This study, to our knowledge, is the first to appraise all the key facets of the investment performance of pension funds in the Nigerian context.