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The present article aims to evaluate the performance of sixteen equity mutual funds operating in the Greek financial market over the period 1/1/1995‐31/12/1999. In doing…
The present article aims to evaluate the performance of sixteen equity mutual funds operating in the Greek financial market over the period 1/1/1995‐31/12/1999. In doing so, the sample mutual funds were ranked on the basis of their return, total risk, coefficient of variation, systematic risk, and the techniques of Treynor, and Sharpe. Four mutual funds achieved lower return than the General Index of the Athens Stock Exchange (ASE). All sixteen mutual funds showed lower total risk, and risk‐return coefficient than the General Index of the ASE. In all mutual funds the beta coefficient was statistically significant at 5 per cent level of significance. The alpha coefficient was also statistically significant at 5 per cent level of significance in eight mutual funds. The movements of the General Index of the ASE explain more than 80 per cent of the variation in return in all sixteen mutual funds. Eight mutual funds were ranked in the same order on either Treynor’s or Sharpe’s technique.
The present article aims to evaluate the performance of thirty‐nine domestic bond mutual funds operating in the Greek financial market over the period…
The present article aims to evaluate the performance of thirty‐nine domestic bond mutual funds operating in the Greek financial market over the period 15/3/1999‐31/12/1999. The ranking of the sample mutual funds is different between the average daily return, and the total risk. On the basis of the coefficient of variation the sample mutual funds are classified in nine categories. The performance of thirty‐three mutual funds is affected, and can be explained to a satisfactory level by the movements in the Bond Index. On the other hand, the performance of twenty‐five mutual funds is affected, and can be explained to a satisfactory level by the movements in the General Index of the ASE. The Bond Index appears to approximate the market portfolio closer than the General Index of the ASE. Twenty‐seven from the sample mutual funds show values for alpha coefficient different than zero value that is assumed by the capital asset pricing model.
We examine the benefits of active international mutual fund management. Is there an advantage to active fund management over investing in index funds? Previous research…
We examine the benefits of active international mutual fund management. Is there an advantage to active fund management over investing in index funds? Previous research has found that for domestic funds, active fund management can not outperform index funds. But there has been no clear conclusion as to active international mutual fund management. We utilize Morningstar Mutual Fund data to analyze five international mutual fund categories, and overall, for a sample of 831 funds with 4,835 annual return data points. We find the difference in mean return (index minus fund return) is negative for all fund categories, except for Europe funds. The difference is significant overall and for four of the five fund categories. The results from the multivariate regression show no relationship between total return and expense ratio, but there is a significant positive relationship between total return and turnover, and a significant positive relationship between total return and fund size (LN net assets). As opposed to domestic mutual funds, it appears to be beneficial to select actively managed international mutual funds over index funds.
How investors can capitalise on a long‐term currencytrend by leveraging their investment in a mutual fundis investigated. The sensitivity of mutual fund yieldsto exchange…
How investors can capitalise on a long‐term currency trend by leveraging their investment in a mutual fund is investigated. The sensitivity of mutual fund yields to exchange rate movements and the degree of leverage is tested for a strong dollar cycle (1981‐1984) as well as for a weak dollar cycle (1985‐1987). The empirical results provide evidence of the benefits derived from leveraging investments in mutual funds in anticipation of a long‐term trend in the home‐currency′s value. To facilitate the foreign leveraging by the small investor, the creation of foreign levered mutual funds is suggested. While this study was performed from the US perspective, the general implications apply to investors in any country.
To alert participants in the mutual fund industry to regulatory developments in the alternative mutual fund space as articulated by the SEC’s Director of the Division of…
To alert participants in the mutual fund industry to regulatory developments in the alternative mutual fund space as articulated by the SEC’s Director of the Division of Investment Management.
Reviews the Director’s discussion of the SEC’s concerns related to Valuation, Liquidity, Leverage and Disclosure resulting from the proliferation of alternative mutual funds. Additionally, summarizes the Director’s comments regarding Board oversight of alternative mutual funds.
While the Director’s speech does not establish any new law or regulation, it is a practical summary of the SEC’s expectations for mutual fund complexes when implementing and operating mutual funds with alternative investment strategies that have historically been the province of private funds.
Practical explanation from experienced financial institutions lawyers.
Recent empirical and theoretical developments related to the microprocesses of institutional logics have helped to cultivate a powerful theory of agency. We build on these…
Recent empirical and theoretical developments related to the microprocesses of institutional logics have helped to cultivate a powerful theory of agency. We build on these developments to show how the institutional logics perspective can shed light on important questions related to frame construction and how institutions matter. In particular, we show how the emergence of an economic democracy frame in post-war Sweden generated different efforts to define that frame with concrete ideas and practices linked to different logics – socialism and neoliberalism. We show how socialists tried to define economic democracy as requiring a radical transformation in the nature of ownership and control embedded in the innovative financial practice of wage earner’s funds. In contradistinction, conservatives drew on neoliberal ideas and extant mutual fund practices to construct alternative meanings and practices related to economic democracy that enrolled citizens in Capitalism without challenging extant Capitalist ownership structures. While mutual funds and wage earner’s funds initially existed in a state of parabiosis – existing side by side without much interrelationship – struggles over the meaning of economic democracy led these practices to become competing solutions in a framing contest. Implications for the study of institutional logics, frames and the social organization of society are discussed.
The Canadian mutual fund setting is unique in that two governance mechanisms – corporate and trust – coexist. This study empirically examines the impact of each mechanism…
The Canadian mutual fund setting is unique in that two governance mechanisms – corporate and trust – coexist. This study empirically examines the impact of each mechanism on fund fees and performance. We find that corporate class funds charge higher fees but deliver superior fee-adjusted returns than trust funds. We then analyze the impact of various board characteristics on fees and performance for corporate class funds. We find that a board with smaller size, CEO duality, and a higher percentage of independent directors is more likely to charge lower fees. In addition, smaller boards are strongly associated with higher fee-adjusted performance. Our study supports agency theory over stewardship theory and provides valuable guidelines for Canadian investors and regulatory agencies.
Purpose – Run a comparative analysis between investments of sovereign wealth funds (SWFs) and mutual funds, focusing on firm-level, country-level, and institutional…
Purpose – Run a comparative analysis between investments of sovereign wealth funds (SWFs) and mutual funds, focusing on firm-level, country-level, and institutional variables.
Methodology/approach – We use a hand-collected sample of 1,845 acquisitions around the world over the last 25 years (251 for SWFs and 1,594 for mutual funds). We then run univariate parametric and nonparametric tests to assess the differences in the investments of both subsamples.
Findings – We review the literature on the determinants of SWFs' investment decisions. Our analysis adds to the scarce available literature on the investment decisions of SWFs and their comparison with other institutional investors. Our results show that, compared to mutual funds, SWFs indeed exhibit different preferences: for instance, SWFs prefer to acquire stakes in larger, less liquid companies which are financially distressed but which also have a higher level of growth opportunities. They also prefer less innovative firms with more concentrated ownership, which are located in less developed but geographically closer countries with whom they do not necessarily share cultural and religious backgrounds.
Social implications – Our results are important for practitioners and firms seeking to attract a given type of institutional investment. They also add insights to the debate on the “hidden” political objectives behind SWF investments in the Western world.
Originality/value of paper – This is the first attempt to empirically assess the differences in the investment choices of SWFs and mutual funds.