Search results
1 – 10 of over 14000Pablo Durán Santomil, Pablo Crisanto Lombardero Fernández and Luis Otero González
The purpose of this study is to evaluate whether the classification of the equity mutual fund depends on the performance measure used.
Abstract
Purpose
The purpose of this study is to evaluate whether the classification of the equity mutual fund depends on the performance measure used.
Design/methodology/approach
The sample for this study includes stock mutual funds for the USA, Europe and emerging market economies covering the period 2010 to 2020. Using more than 20 performance measures the results are compared using the Sharpe ratio as the reference.
Findings
The results show that performance measures based on absolute reward–risk ratios like Sortino, Treynor, etc. have similar rankings, because in general the numerator (mean excess return) is the same. However, when the authors employ other types of performance measures, results may be significantly different, especially in the case of metrics for “incremental returns”, i.e. alphas. Focussing on markets, their results show that choosing performance measures is more relevant for emerging markets.
Research limitations/implications
The sample is only limited to the USA, Europe and the emerging market, and there are other performance metrics in the literature which have not been covered in this work.
Practical implications
The ordering of equity mutual funds depends on the measure used, specially if investors employ factor models to measure excess returns (alphas). Hence, policy formulation on disclosure of mutual fund performance should encourage the use of several metrics from different families. Investors must be aware of the different rankings made and the most appropriate metrics based on their preferences.
Originality/value
This paper focusses specifically on the effect that performance metrics have on relative fund performance. Previous studies have ignored alpha metrics to rank funds, which are commonly employed by investors. The authors’ study performs an analysis for three different markets considering the two main developed ones (the American and European equity markets), as well as the emerging one, largely ignored until now.
Details
Keywords
Jeremy King and Gary Wayne van Vuuren
This paper aims to investigate the use of the bias ratio as a possible early indicator of financial fraud – specifically in the reporting of hedge fund returns. In the wake of the…
Abstract
Purpose
This paper aims to investigate the use of the bias ratio as a possible early indicator of financial fraud – specifically in the reporting of hedge fund returns. In the wake of the 2008-2009 financial crisis, numerous hedge funds were liquidated and several cases of financial fraud exposed.
Design/methodology/approach
Risk-adjusted return metrics such as the Sharpe ratio and Value at Risk were used to raise suspicion for fraud. These metrics, however, assume distributional normality and thus have had limited success with hedge fund returns (a characteristic of which is highly skewed, non-normal return distributions).
Findings
Results indicate that potential fraud would have been detected in the early stages of the scheme’s life. Having demonstrated the credibility of the bias ratio, it was then applied to several indices and (anonymous) South African hedge funds. The results were used to demonstrate the ratio’s scope and robustness and draw attention to other metrics which could be used in conjunction with it. Results from these multiple sources could be used to justify further investigation.
Research limitations/implications
The traditional metrics for performance evaluation (such as the Sharpe ratio), assume distributional normality and thus have had limited success with hedge fund returns (a characteristic of which is highly skewed, non-normal return distributions). The bias ratio, which does not rely on normally distributed returns, was applied to a known fraud case (Madoff’s Ponzi scheme).
Practical implications
The effectiveness of the bias ratio in demonstrating potential suspicious financial activity has been demonstrated.
Originality/value
The financial market has come under heightened scrutiny in the past decade (2005 – 2015) as a result of the fragile and uncertain economic milieu that still (2015) persists. Numerous risk and return measures have been used to evaluate hedge funds’ risk-adjusted performance, but many fail to account for non-normal return distributions exhibited by hedge funds. The bias ratio, however, has been demonstrated to effectively flag potentially fraudulent funds.
Details
Keywords
Can Uzun and Raşit Eren Cangür
This study presents an ontological approach to assess the architectural outputs of generative adversarial networks. This paper aims to assess the performance of the generative…
Abstract
Purpose
This study presents an ontological approach to assess the architectural outputs of generative adversarial networks. This paper aims to assess the performance of the generative adversarial network in representing building knowledge.
Design/methodology/approach
The proposed ontological assessment consists of five steps. These are, respectively, creating an architectural data set, developing ontology for the architectural data set, training the You Only Look Once object detection with labels within the proposed ontology, training the StyleGAN algorithm with the images in the data set and finally, detecting the ontological labels and calculating the ontological relations of StyleGAN-generated pixel-based architectural images. The authors propose and calculate ontological identity and ontological inclusion metrics to assess the StyleGAN-generated ontological labels. This study uses 300 bay window images as an architectural data set for the ontological assessment experiments.
Findings
The ontological assessment provides semantic-based queries on StyleGAN-generated architectural images by checking the validity of the building knowledge representation. Moreover, this ontological validity reveals the building element label-specific failure and success rates simultaneously.
Originality/value
This study contributes to the assessment process of the generative adversarial networks through ontological validity checks rather than only conducting pixel-based similarity checks; semantic-based queries can introduce the GAN-generated, pixel-based building elements into the architecture, engineering and construction industry.
Details
Keywords
The purpose of this paper is to utilize a constrained random portfolio-based framework for measuring the skill of a cross-section of Indian mutual fund managers. Specifically, the…
Abstract
Purpose
The purpose of this paper is to utilize a constrained random portfolio-based framework for measuring the skill of a cross-section of Indian mutual fund managers. Specifically, the authors test whether the observed performance implies superior investment skill on the part of mutual fund managers. Additionally, the authors investigate the suitability of mutual fund investments under diverse investor expectations.
Design/methodology/approach
The authors use a new skill measurement methodology based on a cross-section of constrained random portfolios (Burns, 2007).
Findings
The authors find no evidence of superior investment skill in the sample of Indian equity mutual funds. Using a series of statistical tests, the authors conclude that the mutual funds fail to outperform the random portfolios. Furthermore, mutual funds show no persistence in their performance over time. These results are robust to choice of performance measure and the investment horizon. However, mutual funds provide lower downside risks and may be suitable for investors with high degree of risk aversion.
Originality/value
The authors extend Burns’ (2007) methodology in several aspects, especially by using a much wider range of performance and downside risk measures to address diverse investor expectations. To the best of the authors’ knowledge, this is first study to apply the constrained random portfolios-based skill tests in an emerging market.
Details
Keywords
Halenur Soysal-Kurt and Selçuk Kürşat İşleyen
Assembly lines are one of the places where energy consumption is intensive in manufacturing enterprises. The use of robots in assembly lines not only increases productivity but…
Abstract
Purpose
Assembly lines are one of the places where energy consumption is intensive in manufacturing enterprises. The use of robots in assembly lines not only increases productivity but also increases energy consumption and carbon emissions. The purpose of this paper is to minimize the cycle time and total energy consumption simultaneously in parallel robotic assembly lines (PRAL).
Design/methodology/approach
Due to the NP-hardness of the problem, A Pareto hybrid discrete firefly algorithm based on probability attraction (PHDFA-PA) is developed. The algorithm parameters are optimized using the Taguchi method. To evaluate the results of the algorithm, a multi-objective programming model and a restarted simulated annealing (RSA) algorithm are used.
Findings
According to the comparative study, the PHDFA-PA has a competitive performance with the RSA. Thus, it is possible to achieve a sustainable PRAL through the proposed method by addressing the cycle time and total energy consumption simultaneously.
Originality/value
To the best knowledge of the authors, this is the first study addressing energy consumption in PRAL. The proposed method for PRAL is efficient in solving the multi-objective balancing problem.
Details
Keywords
Robert Kozielski, Michał Dziekoński and Jacek Pogorzelski
It is generally recognised that companies spend approximately 50% of their marketing budget on promotional activities. Advertising belongs to the most visible areas of a company’s…
Abstract
It is generally recognised that companies spend approximately 50% of their marketing budget on promotional activities. Advertising belongs to the most visible areas of a company’s activity. Therefore, it should not be surprising that the average recipient associates marketing with advertising, competitions and leaflets about new promotions delivered to houses or offices. Advertising, especially Internet advertising, is one of the most effective forms of marketing and one of the fastest developing areas of business. New channels of communication are emerging all the time – the Internet, digital television, mobile telephony; accompanied by new forms, such as the so-called ambient media. Advertising benefits from the achievements of many fields of science, that is, psychology, sociology, statistics, medicine and economics. At the same time, it combines science and the arts – it requires both knowledge and intuition. Contemporary advertising has different forms and areas of activity; yet it is always closely linked with the operations of a company – it is a form of marketing communication.
The indices of marketing communication presented in this chapter are generally known and used not only by advertising agencies but also by the marketing departments of many organisations. Brand awareness, advertising scope and frequency, the penetration index or the response rate belong to the most widely used indices; others, like the conversion rate or the affinity index, will get increasingly more significant along with the process of professionalisation of the environment of marketing specialists in Poland and with increased pressure on measuring marketing activities. Marketing indices are used for not only planning activities, but also their evaluation; some of them, such as telemarketing, mailing and coupons, provide an extensive array of possibilities of performance evaluation.
Details
Keywords
Khaliq Lubza Nihar and Kameshwar Rao Venkata Surya Modekurti
This paper aims to undertake a comprehensive comparative analysis of Sharīʿah-compliant equity investments (SCEIs) and their non-Sharīʿah counterparts, in India, conditioning for…
Abstract
Purpose
This paper aims to undertake a comprehensive comparative analysis of Sharīʿah-compliant equity investments (SCEIs) and their non-Sharīʿah counterparts, in India, conditioning for investment horizon and market volatility. Indirectly, it also investigates for time varying performance of SCEIs, and explicitly analyses the unsystematic risk and related adequacy of returns.
Design/methodology/approach
Testing for statistical significance of differences in risks and returns; analysing portfolio performance using conventional metrics, information ratio, and Jensen's Alpha; Estimating returns due to stock selection and market timing using Fama’s Net Selectivity and Treynor and Mazuy’s Models.
Findings
SCEIs in India do not significantly differ in their total risks and returns compared to their conventional counterparts. While their risk is lower in the monthly and quarterly investment horizons, their Jensen’s Alphas are positive only in the annual investment horizons. These findings hold, when market volatility is low. Market timing wipes out the superior returns that exist due to stock selection in SCEIs.
Research limitations/implications
Being Sharīʿah-compliant is beneficial only in longer investment horizons. Asset selection, not co-movement with the market, is key to excess returns to compensate for risks due to inadequate diversification. However, only cautious market timing can conserve them.
Practical implications
Though investors are not better-off in choosing ethical investments, they are not worse-off either. Being Sharīʿah-compliant is rewarding during less volatile markets.
Originality/value
This paper extends international literature on SCEIs, with evidence on the impact of investment horizon and market volatility on their returns and risks. Further, this paper is also a comprehensive analysis of Indian SCEIs, broadening the empirical evidence on a significant, non-Islamic and emerging market.
Details