Thai Mutual Fund Performance Skill or Luck

In this literate review the most important papers about explaining stock returns from 1952, when Markowitz came up with Modern Portfolio Theory, till around 2011 will be discussed. As stated in Chapter 2, Jack Treynor was one of the first economists that started to work on the CAPM model. When he developed the CAPM in 1961, there was no way yet to fully test it. Because there were no samples large enough or of sufficient quality, the real testing of the CAPM started in 1970. In 1973, the world was shown the famous Black and Scholes options pricing model. One of the first studies that gave a different answer than the CAPM was the research by Basu (1977). While he agrees with the Efficient Market Hypothesis, Basu reaches another

The goal of this paper is to explain why CCM’s aggressive program is a good alternative to any investor looking to diversify its portfolio. The paper will be divided into three distinct parts: the operational analysis, the quantitative analysis and a comparison against its peers (including the impact of CCM in a traditional portfolio).

Carhart, M. M., “On Persistence in Mutual Fund Performance”, Journal of Finance, 52(1), 57-82, 1997

The purpose of this paper is to inform the average investor of how to make money in the stock market. The stock market should be thought of as a long-term savings vehicle. Investing in the stock market should not be associated with gambling. By investing in high-quality U.S. companies, the investor in a company profits along with the company. As a shareholder, when the company makes money, the investor also does. There are many ways to invest in the stock market, but it is my opinion that investing in mutual funds is probably the most appropriate way for the average person, without expertise in stock analysis, to make money. This paper plans to inform the

This essay sets out to know which type of investment fund is better for a retail investor. By this, we will consider the meaning and operations of an index tracker fund, as well as that of the actively managed funds. Furthermore, identify the advantages of index tracker funds over actively managed funds and draw conclusions in relation to the topic above.

For the study purpose the daily changes in performance of Mutual funds were analyzed in relation to other Mutual fund company and also to the daily volatility in the National Stock Exchange of India benchmark Index (NIFTY) and national stock exchange and Bombay national exchange

This report is going to examine and analyze whether the chosen portfolio with actively picking method was outperformed when comparing with the FTSE 100. The chosen portfolio was constructed and traded in over 3-month period.

Conventional academic theories suggest that in markets characterized by high competition, easy entry, and information efficiency, it would be extremely difficult to beat the market on a sustained basis. William H. (Bill) Miller III, a mutual fund manager of Baltimore, Maryland – based Legg Mason, seemed to defy such theories while managing Legg Mason’s $11.2 billion Value Trust. Miller and Value Trust outperformed the S&P 500 for 14 consecutive years, the longest success streak for any portfolio manager in the mutual-fund industry. Proponents of academic theory have explained this extraordinary success as luck, meanwhile others attribute the

The equity funds invest a major portion of their assets in the stock market with an objective of giving comparatively higher returns. The degree of risk exposure of the investor is moderate to high. These funds are apt for investors who are looking for returns over a long term horizon.

A mutual fund is a professionally managed fund that accumulates money from numerous financial specialists to buy securities. There is no legitimate meaning of the word "mutual fund”. It is a collective investment product that are controlled and sold to the general public on a daily basis. Investment in Mutual fund is lot easier than selling and buying of individual stocks. It also gives flexibility to users to sell their fund any time.

A long-term approach investing into the Vietnam Index (VNI) should capture significant profits generated by a steady growth rate of an emerging economy. Nonetheless, a current lack of sound laws and regulations limits drastically the participation of foreign investors into the Vietnam stock market. Furthermore, insider trading is notorious and frustrated many fund managers. Martin Adams, a longtime investor, had to close his Vietnam Fund in 2004 after 13 years of operation and said that his investors who bought in the beginning broke even. He now manages the 10-year-old Beta Vietnam Fund and declares that early investors are still losing money (Balfour, 2005).

During the 20th century, securities trading in the stock market has significantly increased. Since then, many studies have analysed the performance of managed portfolios and evaluated the way investors explain returns on stocks (Jagannathan and Wang, 1996). The most common theory used by managers and practitioners is known as the Capital Asset Pricing Model (CAPM). However, this theory has been criticised by some empirical models. This paper will critically analyse the relative merits of the CAPM and will discuss the Fama and French (F&F) three-factor model (TFM) as one possible

The Equity Index Fund (GEQZX) is a Biblically Responsible Investment (BRI) fund created by GuideStone Funds. The objective stated in the prospectus is to gain the same performance as the S&P 500 Index by investing in the same components. The screening process is to recreate the S&P 500 by investing in the same assets which include 486 different holdings. All of the companies in the mutual fund will have the same weight as they do in the index it is following. The mutual fund does maintain some cash with a 2% allocation for liquidity purposes. The mutual fund has shared close returns. The returns are within 1% of the benchmark, S&P 500, as shown in Figure 1 acquired from GuideStone’s website. There are two share classes which are Investor and Institutional. To invest in the Investor Class shares a minimum initial investment of $1,000 is required. Subsequent investments must be at least $100. The management fee is 0.10%. The gross expense ratio is 0.43%. The net expense ratio is 0.42%. There is no 12 b-1, Redemption fees, or Sales Charge. The portfolio turnovers for each year between January 1, 2011 and December 31, 2015 were 4%, 3%, 4%, 5%, and 6% respectively. The fund’s sector allocation is 12.8% Consumer Discretionary, 8.8% Consumer Staples, 7.8% Energy, 16.6% Financial Services, 12.6% Health Care, 10.7% Industrials, 20.8% Technology, 3% Materials, 3.1% Telecommunications, and 3.8%

Two funds were chosen in order to determine the performance of each investment by observing the risk and significance of fund management fees. In order to achieve the highest level of accuracy possible, the two funds were chosen in the same sector of the market and of equal size and investment strategy. One fund chosen was an open-ended actively managed mutual fund, and the other a close-ended passively managed exchange traded fund.

Chevalier and Ellison (1999), furthermore provides new access for the study of fund earnings, they tend to concern about fund managers, assume it is necessary to distinguish the returns of persistence and expression comes from the manipulation of managers or fund itself. Only when the fund manager is the main indicator of the yield of the fund, then funds can be selected from the perspective of managers, and help investors to identify the manager’s characteristic to select fund. Furthermore, they introduced SAT average score to evaluate whether the fund manager’s university is prestigious. Through least squares analysis, they noticed that the higher SAT score and younger manager have better achievement, and the fund administrator with MBA degrees have a greater chance of investing in better-growing stocks, compare with who without MBA, yet this variable has an insignificant effect on fund revenue.