Literature review on mutual funds analysis
People for (1966) in order to evaluate the risk-adjusted performance of mutual funds introduced the measure known as reward-to-variability ratio (currently sharpe ratio). With the help of this ratio he evaluated the return of 34 open-end mutual funds in the period 1945-1963. Sharpe (1966) found that from 1954 to 1963 only 11 funds outperformed the dow-jones industrial average (djia) while 23 funds were outperformed by the djia. Results also showed that good managers concentrate on evaluating risk and providing (1968) developed own measure known as jensen’s alpha to examine the risk- portfolios’ risk-adjusted performance and estimate the predictive ability of mutual fund managers. For this purpose a sample of 115 open end mutual funds (for which net asset and dividend information was available) was taken for the period 1955-1964. After applying the jensen measure he concluded that stock prices could not be forecasted accurately with the help of mutual funds therefore buy and hold strategy could not be used to take any advantage. Similarly there is slight evidence that an individual mutual fund can achieve returns higher than a portfolio comprised of randomly selected n (1970) conducted a research to analyze the predictive value of past results in forecasting future performance of mutual funds for the period 1948-1667. First of all he constructed indices for three types of mutual funds (diversified common stock, balanced, income) and compared these indices with the market indices. The results provide empirical support to the return-risk postulate of the capital asset pricing model and concluded that whether mutual funds outperform the market depends on the selection of both the time period and market proxy. Author proposed that the third moment, a measure of the direction and size of the distribution’s tail, be included in the analysis. Furthermore author reexamined the sharpe (1966) data with this additional requirement and found that average fund performance was not inferior to dow jones industrial average (djia) performance because the skewness of the dow jones industrial average (djia) return distribution was significantly less than fund ld (1973) developed a model to evaluate the investment performance of funds holding securities in two countries.
Review of literature on comparative analysis of mutual funds
For this purpose a sample of eight of the oldest french mutual funds was taken. The results showed that the funds generally produced superior risk-adjusted returns and that the french market was inefficient with respect to the completeness and speed of dissemination of information. The author concluded that those funds which invested in the french market in 1964-69 generally achieved lower return at a given level of variance than that reflected in the u. Mcdonald (1973) also found that the funds were generally able to attain superior returns relative to naive portfolio ld (1974) conducted a research to examine the objectives and performance (risk and return) of american mutual funds in the period 1960-1669. The results also showed that 67 funds perform better than the stock market average in case of treynor’s (1965) index while in case of sharpe’s (1966) index only 39 mutual funds showed higher performance than the stock market average. Study applied these procedures to price appreciation data for the market and 28 mutual funds for the period of 1973-1974. However, no general, statistically significant relationships of either type were order to analyze the market-timing performance of mutual funds a study was conducted by henriksson (1984). For this purpose a sample of 116 open-end mutual funds from february 1968 to june1980 was taken. By using parametric and nonparametric techniques author examined the performance of these open-end mutual funds using monthly data. Both the parametric and nonparametric tests showed that mutual fund managers were unable to follow a successful investment strategy. The results showed that risk-adjusted returns in the mutual fund industry, net of fees and expenses, were comparable to returns available in index funds.
The researcher concluded that mutual funds with higher turnover fees and expenses, earn rates of return sufficiently high to offset the higher charges. Research also concluded that the mutual funds were efficient in the trading and information-gathering activities. Research was conducted by cumby and jack (1990) to compare the performance of internationally diversified mutual funds with international equity index and morgan stanley index for the united states. The results concluded that the performance of funds individually or as a whole was not higher than the performance of international equity index. The authors also examined the performance of the funds relative to the morgan stanley index for the united states and found some evidence that the funds outperform the u. Att and sheridan (1992) conducted a research to analyze whether mutual fund performance relates to past performance. The results indicated a positive persistence in mutual fund performance and fund managers were able to earn abnormal returns. Therefore study concluded that the past performance of a fund provides useful information for investors who were considering an investment in mutual funds. Samples of bond fund: first sample was designed to eliminate survivorship bias and was comprised of the 46 non-municipal bond funds for the 10-year period from the beginning of 1979 to the end of 1988. The results showed that bond funds underperform relevant indexes post l (1995) conducted a research to analyze the performance of equity mutual funds for the period 1971 to 1991. For this purpose study involved a data set that included the returns from all mutual funds in existence in each year of the period.
After analyzing the returns from all funds he found that mutual funds underperformed the market. For this purpose a sample of 800 open-type mutual funds run by 9 management companies was taken. This research used jensen measure, positive period weighting (ppw) measure and conditional jensen measure in order to evaluate the performance of these funds. The results showed that value-weighted and equal-weighted portfolios of 800 mutual funds underperform the single-index benchmark by approximately 7. The results also showed that most of the funds were inclined to invest more in large and dennis (1999) analyzed the performance of european mutual funds from 1991 through december 1998. The results indicated that the european mutual funds especially small cap funds were able to add value and 4 out of 5 countries exhibit significant outperformance at an aggregate level. The results also revealed positive relation between risk-adjusted return and fund size and negative relation between risk-adjusted and funds’ expense (2000) analyzed the risk adjusted returns for five portfolios of international mutual funds. Results showed that under sharpe (1966)’s and treynor (1965) indices the performance of portfolios of international mutual funds was higher than the u. Equity portfolio and the market index was higher than global portfolios from and olaf (2001) conducted a research to evaluate the open-ended mutual funds risk-adjusted performance. Study used a data set that included all german funds sold to the public in 1972. First of all researchers examined the rates of return of individual funds with the help of sharpe (1966) and jensen measures and then applied the same measures to evaluate the unweighted average rates of return of all funds.
In case of the rates of return of individual funds, results showed that the funds underperform the appropriate benchmarks by approximately 1. Study also concluded that the large german stock mutual funds, on the average, performed better than the small ones. Study was conducted by otten, and mark (2002) to compare the performance of european mutual fund industry with performance of united states fund industry. Sample of 506 european open-ended mutual funds and 2096 american open-ended mutual funds was taken from january 1991 to december 19979. Study was restricted the sample to purely domestic equity funds with at least 24 months of data. Results also indicated that european mutual funds had on average a better performance than the american counterparts and that the small cap mutual funds in both europe and the united states outperformed the benchmark and all other mutual , john and john (2005) evaluated the risk adjusted performance of greek equity funds during the period 1997-2000. This study is based on weekly data for equity mutual funds and includes 23 equity funds that existed for the whole period under consideration. The results also indicated that the beta of all funds is smaller than 1 for four-year period. The authors concluded that the equity funds have neither the same risk nor the same return. The investor needs to know the long-term behavior of mutual funds in order to make the right investment and cortez (2006) conducted a research to analyze the impact of using conditioning information in evaluating the performance of mutual funds. For this purpose two different samples of portuguese-owned open end equity funds were built, over the period of june 2000 to june 2004.
The first sample contained surviving 24 funds (10 national funds and 14 european union funds) at the end of june 2004. The results of unconditional model indicated that the performance of national funds was neutral while the performance of european union funds was negative. On the other hand conditional models suggested that conditional betas (but not alphas) are time-varying and dependent on the dividend yield aux and suzanne (2007) conducted a study to examine the risk adjusted returns of international mutual funds for the period of 2000-2006. For this purpose a sample of ten portfolios of international mutual fund was taken and risk-adjusted performance was calculated by using sharpe (1966)’s index of reward to variability ratio. The results showed that the performance of nine out of ten of the international mutual fund was higher than the u. Stock mutual funds underperform on a risk adjusted the funds that contained all international mutual funds. The authors concluded that investors may not fully take advantage of possible portfolio risk reduction and higher returns if international mutual funds were lan and ajay (2008) examined the risk-adjusted performance of us-based international equity funds from 1994-2003. For this a sample of 50 large us-based international equity funds was taken and a new method of measurement modigliani and modigliani (m squared) was applied. Higher return funds may loose attractiveness due to higher risk while the lower return funds may be attractive to investors due to the lower , oliver and macro (2009) conducted a research to evaluate the risk-adjusted performance of european investment grade corporate bond mutual funds. Sample of 19 investment-grade corporate bond funds was used for the period of 5 years (july 2000 – june 2005). Funds were evaluated on the basis of single-index model and several multi-index and asset-class-factor models.
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Both maturity-based indices and rating based indices were used to account for the risk and return characteristics of investment grade corporate bond funds. The results indicated that the corporate bond funds, on average, underperformed the benchmark portfolios and there was not a single fund exhibiting a significant positive performance. Results also indicated that the risk-adjusted performance of larger and older funds, and funds charging lower fees was i (1971), another look at mutual fund performance, journal of financial and quantitative analysis, 6, lan, and ajay (2007), evaluating large us-based equity mutual funds using risk-adjusted performance measures, international journal of commerce and management, 17, 1/2, aux and suzanne (2007), empirical analysis of international mutual fund performance, international business & economics research journal, 6, and jack (1990), evaluating the performance of international mutual funds. Journal of finance 45, 2, n (1970), aggregate performance of mutual funds, the journal of financial and quantitative analysis, 5, 1, et al. 1997), the performance of japanese mutual funds, the review of financial studies, 10, 2, , oliver and macro (2009), the performance of investment grade corporate bond funds: evidence from the european market, the european journal of finance, 15, 2, att and sheridan (1992), the persistence of mutual fund performance, the journal of finance, 47, 5, sson (1984), market timing and mutual fund performance: an empirical investigation, the journal of business, 57, 1, to (1989) efficiency with costly information: a study of mutual fund performance, 1965-1984, the quarterly journal of economics, 104, 1, (1968), the performance of mutual funds in the period 1945-1964, journal of finance, 23, 2, and cortez (2006), “conditional performance evaluation: evidence from the portuguese mutual fund market”, working paper, university of et al. 1993), ‘efficiency with costly information: a reinterpretation of evidence from managed portfolios’, review of financial studies, 6, 1, 1–l (1995), ‘returns from investing in equity mutual funds 1971 to 1991’, journal of finance, 50, 2, 549–ld (1974), objectives and performance of mutual funds 1960-1969, journal of financial and quantitative analysis, 9, 3, ld (1973), mutual fund performance: evaluation of internationally-diversified portfolios, the journal of finance, 28, 5, and nicholas (1980), nonstationarity and evaluation of mutual fund performance, the journal of financial and quantitative analysis, 15, 3, 639 -, john and john (2005), performance of mutual funds. Mutual fund industry, managerial finance, 28, 1, and dennis (1999), european mutual fund performance, european financial management, 8, 1, (2000) the performance of global and international mutual funds, journal of financial and strategic decisions 13, 1, (1966), mutual fund performance, the journal of business, 39, 1, and olaf (2001), the long-run performance of german stock mutual funds, working paper, humboldt-universität zu this article? Responses to literature review of mutual e information abt literaure review and for this wonderful literature review. Cant copy it just read and a reply cancel ibe in a ples of e research uction to ples of ples of ptive collection process with of research five forces analysis of mark and spencer (m&s). You must disable the application while logging in with your system ture review on mutual fundsuploaded by simran487related interestsindex fundstock market indexmutual fundsbusiness economicsfinancial economicsrating and stats5. 5)document actionsdownloadshare or embed documentembedview morecopyright: attribution non-commercial (by-nc)download as doc, pdf, txt or read online from scribdflag for inappropriate contentliterature reviewliterature on mutual fund performance evaluation is enormous.
Treynor has suggested a new predictor of mutual fund performance, one that differs from virtually all those used previously by incorporating the volatility of a fund's return in a simple yet meaningful manner. Evaluated performance of indian mutual funds in a bear market through relative performance index, risk-return analysis, treynor’s ratio, sharpe’s ratio, sharpe’s measure , jensen’s measure, and fama’s measure. Then after excluding funds whose returns are less than risk-free returns, 58 schemes are finally used for further analysis. The results of performance measures suggest that most of mutual fund schemes in the sample of 58 were able to satisfy investor’s expectations by giving excess returns over expected returns based on both premium for systematic risk and total risk. This paper uses a technique called conditional performance evaluation on a sample of eighty-nine indian mutual fund schemes . Paper measures the performance of various mutual funds with both unconditional and conditional form of capm, treynor- mazuy model and henriksson-merton model. The effect of incorporating lagged information variables into the evaluation of mutual fund managers’ performance is examined in the indian context. The results suggest that the use of conditioning lagged information variables improves the performance of mutual fund schemes, causing alphas to shift towards right and reducing the number of negative timing coefficients. At the same time, there do seem to be periods where certain index funds appear to depart from the discipline of indexation. Studied construction of mutual fund portfolios, developed a multicriteria methodology and applied it to the greek market of equity mutual funds. The methodology is based on the combination of discrete and continuous multi-criteria decision aid methods for mutual fund selection and composition.
Utadis multi-criteria decision aid method is employed in order to develop mutual fund’s performance models. Goal programming model is employed to determine proportion of selected mutual funds in the final (2005) matched a sample of socially responsible stock mutual funds matched to randomly selected conventional funds of similar net assets to investigate differences in characteristics of assets held, degree of portfolio diversification and variable effects of diversification on investment performance. The study found that socially responsible funds do not differ significantly from conventional funds in terms of any of these attributes. Both groups underperformed the domini 400 social index and s & p 500 during the study ended documentsdocuments similar to literature review on mutual fundsskip carouselcarousel previouscarousel nextquestionnaire on mutual fund invetmentinvestor's perception towards mutual funds project reportfinance project on “analysis on performance of mutual fund companies in india”comparative analysis of mutual fundsliterature reviewproject on mutual fund akhilesh mishracomparative analysis of reliance and hdfc mutual fundproject on mutual fundsproject report on study of mutual funds industrymutual funds complete project report project on hdfc mutual fundcomparative analysis of mutual fund of hdfc &icicicomparitive study of mutual funds in indiaproject on perception towards mutual fundliterature review originalcustomer perception towards mutual fundsquestionnaire on mutual fundscomparitive analysis of mutual funds and ulips - project reportproject report synopsis on mutual fundproject on consumer perception on investment in mutual fundsproject mutual fund in indiafinal project report on hdfc mutual fundsmba project file for finance (mutual funds)detail study of hdfc mutual fundcomparitive analysis of mutual funds with equity shares project reportreportproject report on awareness of mutual funda project on comparative analysis of hdfc mutual fund with other mutual funds in the city of jamshedpur by gopal kumar agarwal, cuttackcomparative analysis of mutual fundssystematic investment plans mba projectdocuments about index fundskip carouselcarousel previouscarousel nextjanet c hall financial disclosure report for 2010key reversals and key levels testedrebecca b smith financial disclosure report for 2009william h barbour jr financial disclosure report for 2009steven m colloton financial disclosure report for 2009david m lawson financial disclosure report for 2010susan p graber financial disclosure report for 2009jennifer w elrod financial disclosure report for 2009brock d hornby financial disclosure report for 2009alice m batchelder financial disclosure report for 2010morrison c england jr financial disclosure report for 2010thomas w phillips financial disclosure report for 2009allan r edgar financial disclosure report for 2010steven j mcauliffe financial disclosure report for 2009charles s haight jr financial disclosure report for 2009nancy f atlas financial disclosure report for 2009gladys k kessler financial disclosure report for 2009ron clark financial disclosure report for 2009valerie b fairbank financial disclosure report for 2009understanding smart beta 2. Dialogthis title now requires a credituse one of your book credits to continue reading from where you left off, or restart the t ture review on mutual fundsuploaded by simran487related interestsindex fundstock market indexmutual fundsbusiness economicsfinancial economicsrating and stats5. Dialogthis title now requires a credituse one of your book credits to continue reading from where you left off, or restart the t previewloading.
