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Article
Publication date: 28 October 2008

Hossein Varamini and Svetlana Kalash

The main purpose of this study is to use the Sharpe Ratio to test the efficient market hypothesis for different market capitalization and investment styles of mutual…

Abstract

The main purpose of this study is to use the Sharpe Ratio to test the efficient market hypothesis for different market capitalization and investment styles of mutual funds. The results of the study for the entire period of 1994‐2007 as well as the two subperiods (1994‐1999 and 2000‐2007) indicate that small cap funds have provided the highest risk‐adjusted return for the entire period whereas growth funds have exhibited lower returns. The findings, therefore, suggest that the mutual funds market is not always efficient, which makes it possible for an investor or a mutual fund manager to earn excess return on a risk‐adjusted basis.

Details

American Journal of Business, vol. 23 no. 2
Type: Research Article
ISSN: 1935-5181

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Article
Publication date: 1 October 2003

John N. Sorros

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…

Abstract

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.

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Managerial Finance, vol. 29 no. 9
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 1 May 2002

Panayiotis G. Artikis

Assesses the 1995‐1998 performance of 17 equity mutual funds operating in the Greek financial market, explains the calculations involved and reviews relevant research…

Abstract

Assesses the 1995‐1998 performance of 17 equity mutual funds operating in the Greek financial market, explains the calculations involved and reviews relevant research. Ranks the funds by daily, weekly, monthly and total return for the period and compares them with the general Athens Stock Exchange index. Goes on to rank them by total risk, coefficient of variation and systematic risk before applying Treynor’s index, Sharpe’s index and Jensen’s approach. Presents the results in detail and summarizes the main findings.

Details

Managerial Finance, vol. 28 no. 5
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 1 October 2003

George P. Artikis

The present article aims to evaluate the performance of ten domestic balanced mutual funds operating in the Greek financial market over the period 1/1/1995‐31/12/1998. In…

Abstract

The present article aims to evaluate the performance of ten domestic balanced mutual funds operating in the Greek financial market over the period 1/1/1995‐31/12/1998. 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, Sharpe and Jensen. The ten mutual funds achieved lower return than the General Index of the Athens Stock Exchange (ASE). However, the mutual funds achieved satisfactory return in relation to the total and systematic risk undertaken. The sample mutual funds followed defensive investment policy that was in line with their objectives. The General Index of the ASE appeared to be a close approximation of the market portfolio. To some extent the ranking of the mutual funds varied among the techniques of Treynor, Sharpe and Jensen, although certain mutual funds were ranked in the same order regardless of the technique used. According to Jensen, seven mutual funds had superior performance, while the remaining three demonstrated poor performance.

Details

Managerial Finance, vol. 29 no. 9
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 1 June 2001

George P. Artikis

Assesses the 1995‐1998 performance of ten domestic balanced mutual funds in the Greek financial market using daily net asset value per unit. Ranks them on the basis of…

Abstract

Assesses the 1995‐1998 performance of ten domestic balanced mutual funds in the Greek financial market using daily net asset value per unit. Ranks them on the basis of daily average return, total risk, coefficient of variation, systematic risk, Treynor’s index, Sharpe’s index and Jensen’s alpha. Shows that their risks and returns were lower than the Athens Stock Exchange index, that they followed defensive investment policies, that some achieved high returns with low risk and that there was some variation of ranking according to the techniques used.

Details

Managerial Finance, vol. 27 no. 6
Type: Research Article
ISSN: 0307-4358

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Managerial Finance, vol. 31 no. 2
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 1 March 2013

Praveen K. Das and S.P. Uma Rao

The purpose of this paper is to evaluate the performance of socially responsible funds by closely examining funds' investment styles.

Abstract

Purpose

The purpose of this paper is to evaluate the performance of socially responsible funds by closely examining funds' investment styles.

Design/methodology/approach

The authors apply William Sharpe's method of style analysis to evaluate the performance of 94 US socially responsible mutual funds. By using the fund style as a benchmark, the authors are able to separate the performance attributed to style and selection.

Findings

The authors observe that underperformance of socially responsible funds is more pronounced and common than identified in the previous literature. Proponents of socially responsible investing argue that screening process provides an opportunity to fund managers to identify best companies in terms of future financial performance. The paper finds that active management of mutual funds is an important determinant of their performance in socially responsible investing industry. This paper provides evidence supporting that active management of socially responsible funds add value.

Originality/value

This study will help investors in allocating their portfolios among many of the available SR funds. The result – actively managed SR funds outperform their passive counterparts – will be valuable for those investors who are willing to invest in socially responsible funds but are concerned about the financial performance.

Details

Social Responsibility Journal, vol. 9 no. 1
Type: Research Article
ISSN: 1747-1117

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Book part
Publication date: 10 November 2010

Stephen L. Vargo, Robert F. Lusch, Melissa Archpru Akaka and Yi He

Abstract

Details

Review of Marketing Research
Type: Book
ISBN: 978-0-85724-728-5

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Article
Publication date: 1 September 2003

C. Pat Obi and Augustine Emenogu

This study provides evidence regarding the performance of bank holding companies (BHC) following a series of deregulatory measures by the United States Congress. To…

Abstract

This study provides evidence regarding the performance of bank holding companies (BHC) following a series of deregulatory measures by the United States Congress. To compare performance of commercial banks before and after expanding their operations to nonbank functions, a set of hypotheses addressing BHC risk and return characteristics are proposed. Empirical results are mixed. Total risk dropped after expansion. Market risk, on the other hand, rose substantially in post‐expansion time. When returns are adjusted for risk, a marginal improvement in performance is achieved.

Details

Managerial Finance, vol. 29 no. 8
Type: Research Article
ISSN: 0307-4358

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Article
Publication date: 19 April 2011

C. Edward Chang and Thomas M. Krueger

The purpose of this paper is to examine operating characteristics, risk and performance measures of all available vehicles for index investing in US bond funds during the…

Abstract

Purpose

The purpose of this paper is to examine operating characteristics, risk and performance measures of all available vehicles for index investing in US bond funds during the 15‐year period from April, 1994 to March, 2009. The results shed light on the important issue of bond index mutual funds (BIMFs) and bond exchange‐traded funds (BETFs) performance compared with average of all bond mutual funds.

Design/methodology/approach

Data were obtained from Morningstar Principia. Operating characteristics include expense ratios, annual turnover rates, and tax cost ratios. Performance measures include average annual returns and return percentile rank in category, risks (measured by standard deviation) and risk‐adjusted returns (measured by the Sharpe ratio).

Findings

BIMFs and BETFs have significantly lower expense ratios and annual turnover rates than category averages. Their returns and risk‐adjusted returns are significantly higher than bond category averages.

Research limitations/implications

Future studies will be able to benefit from a larger sample size, longer performance records, and the strength of bond index funds in foreign markets.

Practical implications

Both BIMFs and bond exchange‐traded mutual funds have significantly lower expense and annual turnover rates, making them preferred investment choices.

Social implications

Efforts by active bond mutual fund managers to beat index benchmarks have largely failed. Investors should be wary of bond mutual fund managers touting their ability to beat the average or a bond index.

Originality/value

The advantage of investment in BIMFs and BETFs is clear.

Details

Managerial Finance, vol. 37 no. 5
Type: Research Article
ISSN: 0307-4358

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