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1 – 10 of 940Wenhui Li, Anthony Loviscek and Miki Ortiz-Eggenberg
In the search for alternative income-generating assets, the paper addresses the following question, one that the literature has yet to answer: what is a reasonable allocation, if…
Abstract
Purpose
In the search for alternative income-generating assets, the paper addresses the following question, one that the literature has yet to answer: what is a reasonable allocation, if any, to asset-backed securities within a 60–40% stock-bond balanced portfolio of mutual funds?
Design/methodology/approach
The authors apply the Black–Litterman model of Modern Portfolio Theory to test the efficacy of adding asset-backed securities to the classic 60–40% stock-bond portfolio of mutual funds. The authors use out-of-sample tests of one, three, five, and ten years to determine a reasonable asset allocation. The data are monthly and range from January 2000 through September 2021.
Findings
The statistical evidence indicates a modest reward-risk added value from the addition of asset-backed securities, as measured by the Sharpe “reward-to-variability” ratio, in holding periods of three, five, and ten years. Based on the findings, the authors conclude that a reasonable asset allocation for income-seeking, risk-averse investors who follow the classic 60%–40% stock-bond allocation is 8%–10%.
Research limitations/implications
The findings apply to a stock-bond balanced portfolio of mutual funds. Other fund combinations could produce different results.
Practical implications
Investors and money managers can use the findings to improve portfolio performance.
Originality/value
For investors seeking higher income-generating securities in the current record-low interest rate environment, the authors determine a reasonable asset allocation range on asset-backed securities. This study is the first to provide such direction to these investors.
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Abdel Latef M. Anouze and Imad Bou-Hamad
This paper aims to assess the application of seven statistical and data mining techniques to second-stage data envelopment analysis (DEA) for bank performance.
Abstract
Purpose
This paper aims to assess the application of seven statistical and data mining techniques to second-stage data envelopment analysis (DEA) for bank performance.
Design/methodology/approach
Different statistical and data mining techniques are used to second-stage DEA for bank performance as a part of an attempt to produce a powerful model for bank performance with effective predictive ability. The projected data mining tools are classification and regression trees (CART), conditional inference trees (CIT), random forest based on CART and CIT, bagging, artificial neural networks and their statistical counterpart, logistic regression.
Findings
The results showed that random forests and bagging outperform other methods in terms of predictive power.
Originality/value
This is the first study to assess the impact of environmental factors on banking performance in Middle East and North Africa countries.
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Richard Danquah and Baorong Yu
The study assess the selection ability and market timing skills of mutual fund and unit trust managers in Ghana.
Abstract
Purpose
The study assess the selection ability and market timing skills of mutual fund and unit trust managers in Ghana.
Design/methodology/approach
The study uses an improved survivorship bias-free dataset of yearly after-fee returns of all mutual funds and unit trusts operating in Ghana from January 2011 to December 2019, cumulating in nine years of quantitative fund data. The authors assess Mutual funds and Unit trusts that ever existed, “alive” or “dead,” over the sample period in the study. The authors construct factor loadings to enable the application of multifactor models in the analysis. The authors apply the unconditional versions of the Jensen alpha, Fama-French three-factor, and Carhart four-factor models to determine the selection ability and market timing skills of 32 mutual funds and 17 unit trusts. The authors deploy HAC-consistent robust standard errors to the OLS estimations to subdue the effect of heterogeneity and autocorrelation.
Findings
The results indicate that, on average, mutual funds and unit trust managers possess market timing skills but no selection ability. When the results are decomposed into fund types, fixed-income and balanced mutual fund managers possess selection ability and market timing skills.
Originality/value
To the authors' best knowledge, this study is the earliest to examine the selection ability and market timing skills of both mutual fund and unit trust managers in Sub-Saharan Africa (SSA). It is also the earliest to construct factor loadings for the Ghana stock market.
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Hoa Thi Nguyen and Dung Thi Nguyet Nguyen
The purpose of this paper is to examine the determinants of mutual funds’ performance at both a country level and a fund level in Vietnam.
Abstract
Purpose
The purpose of this paper is to examine the determinants of mutual funds’ performance at both a country level and a fund level in Vietnam.
Design/methodology/approach
The different types of funds with more than three-year operation are selected to remove outliers of the stock market boom from 2015 to 2018. The data set includes 54 mutual funds operating during the period from 2008 until November 2018.
Findings
The research finds that there is a positive relationship between macroeconomics and mutual funds’ performance. Furthermore, country-level governance such as regulation effectiveness, political stability, economic growth and financial development has a positive correlation with mutual funds’ performance. However, the impact of fund-level factors is diverse with the no significant impact of board size on mutual fund’s performance, while passive funds perform better than active funds in Vietnam.
Practical implications
The research results suggest that investors should pay attention to the types of funds and operating expense when making an investment decision in mutual funds. There are some recommendations for both government policy-makers and the mutual fund industry that are likely to facilitate the development of this field in Vietnam.
Originality/value
The research contributes to the understanding of what are the factors that should be considered when investing in mutual funds.
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