The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis (original) (raw)

The Performance of Global and International Mutual Funds

2000

This study examines the risk-adjusted returns using Sharpe's Index, Treynor's Index, and Jensen's Alpha for five portfolios of i nternational mutual funds and for three time periods: 1985 through 1994, 1985 -1989, and 1990-1994. The benchmarks for comparison were the U. S. market proxied by the Vanguard Index 500 mutual fund and a portfolio of funds that invest solely in

The determinants of mutual fund performance: A cross-country study

Swiss Finance Institute …, 2006

This paper studies the performance of mutual funds around the world using a sample of 10,568 open-end actively managed equity funds from 19 countries between 1999 and 2005. Performance is measured using four alternative benchmark models, including an international version of the Cahart four-factor model. We regress abnormal performance on fund attributes such as age, size, fees, management structure, and management tenure. We also investigate whether country characteristics such as economic development, financial development, familiarity, and investor protection have additional explanatory power. The results show that large funds tend to perform better, which suggests the presence of significant economies of scale. When investing abroad, young funds are more able to obtain better performance. Performance is higher in funds with higher fees and that are managed by an individual manager with more experience. Mutual fund performance is better in countries with stronger legal institutions. Domestic funds located in developed countries, in particular with liquid stock markets, perform better. When investing abroad, familiarity and proximity enhances the performance of mutual funds.

The Characteristics of Alternative Mutual Funds

This study investigated the portfolio characteristics and investment performance of alternative mutual funds from April 1993 to March 2013, focusing on Bear Market mutual funds, Market Neutral mutual funds, and a sampling of traditional stock mutual funds. The results indicate that alternative mutual funds are, on average, younger and smaller in size than the average traditional fund. Alternative funds, however, have significantly larger expense ratios, larger portfolio turnover, and fewer portfolio holdings. Bear Market fund returns generally move in the opposite direction of the stock market, whereas Market Neutral funds and the average traditional fund returns rise and fall with the stock market. The two categories of alternative funds underperformed the traditional funds, with substantially greater variability of returns and larger tracking errors. Furthermore, Bear Market funds had a negative beta and were more volatile than the stock market, whereas Market Neutral funds had a near-zero beta, making them less volatile than the stock market. The performance of the average traditional fund was not significantly different from zero, and its beta did not differ significantly from unity.

Mutual Funds Unveiled: A Performance Review and Comparative Analysis

This study comprehensively evaluates the performance of ten selected large-cap mutual funds in India. Large-cap funds are known for investing in well-established, high-market-capitalization companies, offering investors a balance of risk and stability. This research aims to analyze these funds' absolute and risk-adjusted returns, compare them against benchmark indices such as NIFTY 100 and BSE 100, and assess the impact of expense ratios on net returns by considering the last five years' performance. Using a dataset spanning five years from 2019 to 2024, the study employs critical performance metrics, including the Sharpe Ratio, Standard Deviation, Beta, and Expense Ratio, to evaluate each fund's risk management and return generation effectiveness. The analysis reveals that while all funds provided positive returns, significant disparities existed in their risk-adjusted performance. ICICI Prudential Bluechip Fund seems to be the best option overall because of its low expenses, moderate risk, and impressive risk-adjusted returns. The most minor volatile fund is Franklin India Bluechip Fund, which is appropriate for cautious investors. Although Nippon India Large Cap Fund has a high return potential, its risk-adjusted efficiency is lower. This comparative analysis provides valuable insights into large-cap mutual funds' investment strategies and portfolio characteristics, highlighting the importance of cost efficiency and risk management in achieving superior returns. The findings serve as a crucial guide for investors seeking to optimize their investment portfolios, offering practical recommendations based on fund performance and market conditions. The study concludes by discussing the implications for mutual fund investors and potential areas for future research in the context of evolving market dynamics.

Exploring the Co-movement Between Return and Risk of Mutual Funds

International Journal of Advanced Research in Economics and Finance-, 2024

The goal of this study is to review the significance of the mutual fund market's return and volatility and which type of mutual fund has a vital impact which contributes to the understanding of the investor's indicates their investment decisions and identify the past related studies upon the performance of the mutual fund towards aligning to the latest short and longterm strategies for the responsible authority to reorient their policies to ensure the terms of exposure of current managerial actions is heading upon the evolution of innovation. The author has analysed and evaluated a broad range of literature on mutual funds, examining a range of factors and features that contribute to their short and long-term viability and diversification. As a result of their thorough review, the study has identified diverse types of mutual funds indicating that it plays a vital role in the survival and success of these investment vehicles. Furthermore, the current studies delving into a wide range of recognition of the Unit Trust Funds roles for the responsible institutions at domestic and international organisations directed towards establishing a better ailing with better-shaped strategies which are been explored. Yet, the past research has been a gap being explicated due to lack of innovation and this study would like to address the gap and is proposed along with the list of resources for future research with a similar aim. The originality of this study is to ensure that the validity of the research has been well assured by reference to highly indexed articles from various platforms such as Scopus, Web of Science etc. Thus, the purpose of the study is supported with solid justification.

Drivers of Fund Performance: A Panel Data Analysis

Real Estate & Planning Working Papers, 2009

The principle aim of this research is to elucidate the factors driving the total rate of return of non-listed funds using a panel data analytical framework. In line with previous results, we find that core funds exhibit lower yet more stable returns than value-added and, in particular, ...

Challenges arising from alternative investment management

2003

Alternative investment management differs from traditional asset management in a number of respects. First, it is distinct in terms of both its targets – aiming to achieve an absolute performance, regardless of trends in underlying markets – and its strategies, in particular exploiting inefficiencies in the valuation of financial assets via opportunistic and discretionary positions. It also differs in terms of the financial techniques implemented, e.g. the extensive use made of leverage, derivatives and short selling, and the specific investment vehicles used (ad hoc structures such as hedge funds that are not bound by ordinary law in the way traditional investment vehicles are). These particularities, alongside the fact that the alternative investment universe is somewhat opaque, make it difficult to measure a fund’s risks or a fund manager’s performance. Specific measurement tools are therefore required, which differ from those commonly used in traditional asset management. Over t...

The size and structure of the world mutual fund industry

European Financial Management, 2009

This paper analyses the mutual fund industry for 20 countries using a new database of more than 50,000 mutual funds. The results suggest that more developed industries provide more benefits to investors as they diversify more internationally, charge lower annual charges and present more product sophistication. The results also have important policy implications by emphasising the role of competition and contestability in industry development. Fewer barriers to entry are positively associated with a larger industry, and concomitantly with more efficiency in terms of returns and fees.