Performance of Mutual Funds

El presente trabajo desarrolla una nueva metodología para la selección de fondos gestionados por las Administradoras de Fondos de Pensiones (AFP), basada en la probabilidad de pérdida del afiliado. La metodología incorpora el efecto del desempeño histórico de la gestión del portafolio, en el período marzo 2006-mayo 2013, y lo hace en la proyección de la rentabilidad esperada al vencimiento o edad de jubilación del afiliado.

El presente trabajo desarrolla una nueva metodología para la selección de fondos gestionados por las Administradoras de Fondos de Pensiones (AFP), basada en la probabilidad de pérdida del afiliado. La metodología incorpora el efecto del desempeño histórico de la gestión del portafolio, en el período marzo 2006-mayo 2013, y lo hace en la proyección de la rentabilidad esperada al vencimiento o edad de jubilación del afiliado.

The liquidity shocks of '08-'09 revealed that measures of liquidity risk being used in most financial institutions turned out to be woefully inadequate. The construction of long-short portfolios based on liquidity proxies introduces errors such as extraneous risk factors and hedging error. We develop a new measure for liquidity risk using exchange-traded funds (ETFs) that attempts to minimize this error. We form a theoretically-supported measure that is long ETFs and short the underlying components of that ETF, i.e., long and short a similar set of underlying securities with the same weights. Pricing discrepancies between the long and short positions are driven by liquidity differences between the ETF and its underlying components. Constructing liquidity risk factors in a number of markets, we undertake several tests to validate our new liquidity metric. The results show that our illiquidity measure is strongly related to other measures of illiquidity, explains bond index returns, and reveals a systematic illiquidity component across fixed-income markets.

This research evaluates the performance of selected mutual funds in India using three advanced metrics: Treynor Ratio, Tracking Error, and Information Ratio. While traditional metrics like Sharpe Ratio, Beta, and Jensen's Alpha are widely used, this study highlights the importance of incorporating Treynor Ratio for market risk-adjusted returns, Tracking Error for consistency relative to a benchmark, and Information Ratio for risk-adjusted excess returns. The findings provide a more comprehensive understanding of mutual fund performance, particularly in the context of the Indian market, and offer practical insights for investors and fund managers.

Corporate Social Responsibility (CSR) and Environmental, Social, and Governance (ESG) are becoming important determinants in the investment process against the background of the evolving capital market in India. The following study will analyse the Indian mutual funds' performance throughout 2020-25 in order to explore the ways in which the CSR initiatives and ESG-based investing merge with the portfolio performance. There is empirical support that mutual funds which incorporate the ESG measure produced better risk-adjusted returns and especially when the market is turbulent hence appeal to investors who need sustainable growth over a long-term perspective. It is important to note that the presence of ESG-themed funds and the total value of their Assets under Management (AUM) has been on the increase; however, it is still subject to limitations of greenwashing, lack of historical data, and infrastructural deficiency of retail awareness. These findings are reflective of the nature of regulatory powers, investor behavior, social screening and how they influence the performance of ESG treated linked mutual funds and hence a positive but moderate possibility of ESG-and CSR-compatible investing in mutual fund industry of India.

Socially Responsible Investment (SRI) is an emerging investment avenue in India, encompassing various Environmental, Social, and Governance (ESG) mutual funds within the financial markets. This study adopts both an exploratory and empirical approach, aiming to provide historical insights into the landscape of SRI within India's financial markets. The study's objectives include elucidating the concept of SRI, assessing the performance of selected ESG funds in India, and examining the opportunities and challenges within this domain. To evaluate the effectiveness of Environmental, Social, and Governance (ESG) funds, the study employs various risk-adjusted performance measures. Notably, the ICICI Prudential ESG Fund in the Direct Plan-Growth (FDPG) option demonstrates superior overall performance compared to other selected ESG fund schemes in India. Conversely, the Aditya Birla Sun Life ESG FDPG option ranks as the least performer when contrasted with other schemes within the Direct Plan-Growth category.

Purpose of the article: The main purpose of the paper is empirically evaluating selectivity skills and market timing ability of Polish fund managers during the period from January 2009 to November 2014. After the global financial crisis of 2008, in this period of quantitative easing (QE), thanks to an increase in the money supply, a capital flow from developed countries to developing countries was observed. In this study, we try to analyse that although the financial market in Poland made an incredible progress, whether fund managers show better or worse performance than the market. Methodology/Methods: In order to evaluate fund manager performances, Jensen alpha (1968) is computed, which depicts selectivity skills of fund managers. For determining market timing ability of fund managers, Treynor & Mazuy (1966) regression analysis and Henriksson & Merton (1981) regression analysis are applied. Fund performances are evaluated using Warsaw Stock Exchange Index as the benchmark index. S...

The Financial Management System for SIP Calculation and Stock Recommendations is designed to assist investors in making informed financial decisions. This system integrates systematic investment planning (SIP) calculators with machine learningbased stock recommendation algorithms. It leverages financial analytics, real-time data integration, and an interactive user interface to help users manage their portfolios efficiently. This paper discusses the system's architecture, methodology, and its impact on financial planning strategies. This present study is based on Systematic investment plan (SIP), which has emerged as an alternative investment plan for a large number of investors interested in high returns but less risk with investments in instalments. These funds make saving and investment simple, accessible and affordable. The benefits of SIP include professional management, diversification, variety, liquidity, affordability, convenience and ease of record keeping-as well as strict government regulation and full disclosure. This paper especially studies about various saving and investment and how the investment in mutual funds through Systematic Investment Plan (SIP) can gain momentum and increase percentage of income. In the present study has studied the various factors of investment and also considered by investors in selecting a Systematic Investment Plan. The purpose of the study is to find out the motivating factor to invest in a systematic investment plan and it also aims at exploring the potential of SIP in India with all problems, complexities and variables and suggesting the means and ways of meeting the challenges for developing the mutual funds in tandem with its potential of economic growth. This study is based on secondary data which also identify and analyze the challenges and opportunities for a systematic investment plan.

With the evolution of capital market, investors prefer investing in mutual funds as they are relatively less risky compared to equity share investments. ELSS is an excellent avenue for regular small investments to earn attractive return over long period and it is the only category of mutual fund which give tax benefit under section 80C of Income Tax Act 1961. The study evaluates the performance of ELSS funds in lock-in period and open-ended ELSS funds after lock-in period using risk and return measures. Multiple measures used are 3 years Average return (%), Standard Deviation (%), Sharpe Ratio, Sortino Ratio, Beta, Alpha, R Square, Expense Ratio, Net Assets (Cr), Equity Asset (%), Debt Asset (%) and Cash and cash equivalent asset (%). The duration of the study was three years, from 16 June 2021 to 15 June 2024. The study incorporates 119 Equity ELSS funds of which 84 were open ended and 35 were in Lock-in period. The study reported that Funds in Lock-in period have recorded more returns than the ELSS open ended funds. Also, the funds in Lock-in period have recorded more variance in returns than the ELSS open ended funds which explain their higher return. Hence investors can redeem the ELSS units and reinvest the amount in another ELSS fund once lock-in period is over. The schemes which fall under growth investment style and medium capitalization are a good choice.

The study aims to benefit investors in making informed decision by identifying the best ESG mutual fund among eight funds available as an investment option. Design/Methodology/Approach: Quantitative technique used to determine the performance of eight ESG funds as of March 31, 2024, and since their inception, with the Nifty 50 index as the benchmark. Risk-adjusted metrics like Treynor's measure, Jensen's alpha, Sharpe measure and Sortino measure were applied for performance evaluation. Findings: According to the performance study of ESG mutual funds, the research found that Quant Equity ESG fund has been able to outperform the peer fund, while the ICICI Prudential ESG Exclusionary strategy fund, Axis ESG integration, is positioned second and third among eight ESG funds. Research Limitations: The study was restricted to theme-based ESG mutual funds in India, and the performance was considered from April 1st, 2023, to March 31st, 2024, and since inception. External factors such as economic disruptions may have affected fund performance and influenced the outcome. Practical implications: The study offers insights to investors for making informed decisions based on risk-adjusted returns also offers a foundation for future research. Originality: The novelty of the study lies in calculating sophisticated performance metrics, including downside risk, Treynor's measure, Jensen's alpha, and Sortino ratio, using daily NAV data, which are usually not furnished in standard mutual fund factsheets.

Investing in mutual funds presents a straightforward entry point into the stock market, particularly for novice investors. Regardless of one's familiarity with stock markets or age, mutual funds offer accessible investment opportunities. However, selecting the most suitable mutual fund scheme can be challenging, given investors' varying risk appetites and financial goals. This study aims to assist such investors grappling with scheme selection dilemmas by analysing mutual fund schemes of many types and determining which ones offer superior returns at lower risks. The research evaluates the risk and return profiles of various mutual fund schemes taken up for the study. Utilising various ratio like Jensen's, Sharpe, and Treynor, present discussion compares the returns by considering the systematic and unsystematic risk of selected schemes within each category. The analysis spans 5 years, from April 01, 2017, to March 31, 2022, drawing data from secondary sources including Moneycontrol, journals, books, and official websites of relevant financial bodies. BNP Paribas Large Cap Fund (G) emerges as a top performer in the sphere of large cap funds according to Sharpe and Jensen's measures, while Edelweiss Large Cap Fund-A(G) excels by Treynor ratio. Among mid cap schemes, Edelweiss Mid Cap Fund (G) consistently outperforms its peers across all evaluated ratios. In the small cap category, Axis Small Cap Fund-Regular (G) stands out for delivering the highest returns on the basis of Jensen's, Sharpe and Treynor ratios. Ultimately, this study serves to guide investors

This article describes the setup of an experimental protocol to take into account the effects of emotional adaptation following stock market decision-making. Basically, the qualitative models used to analyze the behavior of small investors in experimental finance consider three areas of analysis (a socio-demographic analysis, a socio-cultural analysis and an analysis of the psychological reality of individuals). These different areas would then influence the emotions felt, which would stimulate the development of behavioral and cognitive biases. Finally, the latter would ultimately be responsible for influencing decision-making processes. Firstly, our protocol is based on this traditional view of the different factors influencing individual investors' decision-making. Secondly, we suggest a retrospective approach as we believe that the confrontation between expectations and the results generated by decision-making have a feedback effect on the emotional patterns developed by individual investors, and on their psychological reality. Indeed, the increasing number of different emotions tends to "plunge" them into an "emotional bath" in which they can no longer regulate their emotions. This could result in abandonment versus euphoria. According to some authors, "emotional dysregulation" is the result of excessive emotional involvement. Since the stock market is an uncertain environment, where decisions must be made quickly and risks are high, emotional regulation strategies become difficult to apply. Finally, this experimental protocol, supported by qualitative methodological techniques implemented sequentially, makes it possible to analyze emotions as the experiment progresses. We believe this approach offers real added value on two levels. Firstly, even though behavioral finance questions the foundations of traditional finance (and the assumption of rationality), it most often uses quantitative measurement tools. For this purpose, the literature clearly highlights the under-representation of qualitative methodologies in this field. Secondly, the few studies supported by qualitative approaches aim at identifying cause-and-effect links between elements which, in some cases, are difficult to measure and cannot be approached in a linear process. This protocol provides a precise understanding of how emotional patterns and their changes over time might affect the decision-making processes of individual investors.

Mutual funds seek to provide investors with exposure to a diversified portfolio of assets at a relatively low cost. Exchange-traded funds are a relatively novel financial tool that has also been proving better suited to investors while requiring lower management costs. Both mutual funds and ETFs are often held for long periods of time. However, another important investment category is that of fixed income securities. Fixed income securities can provide investors with a higher level of predictability and less risk while held to maturity. This text looks into different investment alternatives that can be part of investors' portfolios. Its main purpose is to sort them out according to their different performance as economic conditions evolve over time. The three main purposes for holding investments are consumption smoothing, saving for future investment, and being able to consume on a regular basis once they begin to accumulate savings. The expected results show that changes in market conditions can lead to variations in the performance of investment funds, ETFs, and fixed securities, proving the market to be efficient in a general sense. In volatile markets, mutual funds evaluate different types of risks than ETFs. Bond investments were the ones to provide better results over time, being those that require the lowest degree of management skills. It is also shown that while management fees may affect the performance of funds and ETFs in different ways, market conditions lead to both costs, and when diversification principles are well achieved, they, when taken into consideration by managers, legal restrictions may not be so harmful. Legal constraints do not restrict the free movement of managers to hold portfolios of different securities, and they acquire some degree of protection provided by other members towards their own respective default risks.

Purpose -The purpose of this study is to assess the impact of investment motivation on mutual fund investment decisions by Nepalese investors. The research seeks to identify the key drivers that influence Nepalese investors' decisions in this context. Design/methodology/approach -The research design employed in this study was a descriptive and causal comparative research. The primary data was gathered from individual investors who were actively involved in trading on the Nepal Stock Exchange (NEPSE). To assess respondents' perceptions and factors influencing investment alternatives, a structured questionnaire survey was used. The sample size consisted of 384 participants, and they were selected through judgmental sampling technique. The research findings revealed that while there was a growing interest in mutual fund investments among Nepalese investors, there was a lack of awareness and understanding about these investment vehicles. The paper found that investor awareness level, fund manager qualities, risk perceptions, and fund performance positively affected mutual fund investment decisions in Nepal. These factors played an important role in determining investors' preferences and choices. The regression model demonstrated a good fit for the data, explaining 55.8% of the variation in investment decisions. The study also emphasized the significance of effective selection and monitoring processes for mutual fund schemes, including evaluating fund managers' performance and assessing the risk-return profile of different options. The findings implied the need for transparent reporting practices, access to reliable performance data, and investor-friendly policies. Policymakers should streamline regulations and create a favorable environment for mutual fund investments. These implications can contribute to the overall development of the capital market in Nepal by attracting more investors and fostering investor confidence in mutual fund schemes.

Over the past decades, social and solidarity finance initiatives have gained significant importance, particularly in South-East countries such as India, especially for poor women. These initiatives are often linked to social empowerment through collective action and institutions. The women self-help group (SHG) as an institution is designed to empower women through a wider range of initiatives such as savings, credit, micro insurance, micro-justice and other microfinance ‘+’ social activities including education and health. However, the existing body of knowledge has not significantly covered the empirical based efficiency of SHG in empowering women with scientific measurement tool. The Data Envelopment Analysis (DEA) tool was employed in this paper as an appropriate tool to measure the efficiency of SHGs in women empowerment. Women empowerment with socio-economic and human dimensions has been considered as the output of this tool. On the other
side, the CRS Input-Oriented Model of DEA used inputs such as: setting vision, mission and bylaw preparation; exposure and training; governance; building social capital; market linkage; social networking; and engagement with other development schemes. The data was collected through a structured interview schedule from 62 self-help groups in the Mayurbhanj district of Odisha, and data analysis was done through STATA software. The findings confirmed that 30 out of 62 SHGs were relatively more efficient in empowering women. The remaining 32 SHGs were operating below the required efficiency level. Therefore, it can be concluded that the efficiency of SHGs is significantly depends on the functioning of the facilitating activities (considered as inputs in this paper) as mentioned above.

The study focuses on the volatility spillover of balanced and equity mutual funds with Nifty 50 index in India. The data considered for the study is ranging from the period April 2009 to March 2019 both inclusive. The study employs descriptive statistics, Augmented Dickey-fuller test, Ordinary Least Square(OLS) method, Johansen co-integration ,Vector Error Correction Model (VECM) and Wald test and residual diagnostic test are performed using heteroskadasticity test , serial correlation test, normality test and granger causality test to find the best fit model. It is found that there is volatility spillover between the mutual funds and Indian stock market.

Purpose – This study aims to explore the dynamics indices returns. The objective is to provide a comprehensive understanding of how these relationships evolve over time and across
different time scales, which can guide investment decisions in the Unit Trust Funds by providing empirical evidence in examining how the dependence between equity unit trust
funds, fixed-income funds and Shariah-compliant index returns changed over time and different across time scales. Design/Methodology/Approach – The study conducted a timeseries study using a wavelet coherence analysis approach. The study examined a broad range of unit trust funds using equity funds and fixed-income funds with Shariah-compliant returns data. The study used advanced quantitative techniques to analyze the statistical results
across multiple time scales.
Findings – The findings reveal that the relationship between
equity funds, and fixed-income funds with Shariah-compliant indices returns evolves and
differs across time scales. The study also identified several challenges faced by the Federation
of Investment Managers Malaysia (FIMM), Securities Commission (SC), and other relevant agencies in Malaysia. The results show that various traditional and modern methodologies were used to understand the market's performance according to previous studies.
Originality/Value – This study is unique in its focus on the temporal dynamics and wavelet coherence analysis of fixed-income funds and Shariah-compliant index returns solely. The findings of this study believed that this research would provide a broader and more realistic vision of the academic interest level in this field and identify any existing gaps in the available literature.

The present study encompasses the appraisal of mutual fund schemes and considers only those whose performance has been rated by credit rating agency. Household savings play an important role in domestic capital formation. Only a small part of the household savings in India is channelised to the capital market. Under sector allocation, MF companies preferred banking, finance, current assets, OGPR, pharmaceuticals and housing. It is observed that funds concentrated their portfolio in FMCG and Infrastructural areas.

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.

In Turkey, there are two types of pension fund systems. One of them is general social security system which the fund is managed by formal government institutions. The other one is individual pension fund system that the fund is managed by private insurance companies. Individual pension fund system in Turkey, not only serves to social security reform but also has an important role in the development of the financial system since October 27, 2003. Every private insurance company has their own pension fund types that investors may choose them and create their portfolios.

This work sheds light on the complex interplay between mutual fund performance, using human capital, and GDP growth as mediating variables in Pakistan through the lens of Structural Equation Modeling. By employing this sophisticated analytical approach, the findings uncovered nuanced nexus that traditional methods might have overlooked. The findings underscore the critical role of GDP-Growth and human capital as a mediating factor, suggesting that investments in mutual funds could have far-reaching effects on the financial performance on individual investors. Moreover, the demonstrated link between GDP-growth and mutual fund outcomes highlights the intricate web of economic factors influencing investment landscapes. Our findings thus reveal that the impact of the market factor and GDP growth on portfolio returns shows statistically significant estimates both mediation models. However, size-factor shows two portfolios significant while two portfolios insignificant results using both mediating variables. However, the value factor shows highly significant in both mediating models but reveal insignificant nexus with HC-Growth as mediating variable using only FF3FM. Moreover, momentum factor shows insignificant results for both mediating models. As Pakistan continues to develop its mutual fund market, policymakers and fund managers alike would do well to consider these interconnections in their decision-making processes.

The mutual fund industry has experienced huge growth internationally, becoming one of the primary vehicles through which individuals and institutions invest in Capital Market. The evaluation of the performance of mutual funds has become a very interesting research topic both for academic researchers, managers of financial, banking and investment institutions. Thus, this study shows the best and least schemes in the context of risk, return, outperformed return and outperformed risk for the period from April 2010 to March 2015. The collected data are analyzed by using MS Excel package. The study applied many of the tests

This study investigates the effect of stock selection, market timing, and fund size on the mutual fund's performance with Covid-19 as a moderating variable. The sample data is limited to the listed conventional mutual funds supervised by the financial service authorization from 2014 to 2021, denominated in Rupiah currency, have a complete report, and have more than Rp 350 billion in fund equities. The sample data implements twenty-eight of the listed conventional mutual funds and is examined by a random method of Panel data multi-regression with moderated regression analysis (MRA). The result shows that market timing positively affects, and Covid-19 can enhance the effect of stock selection on the mutual fund's performance. Meanwhile, stock selection, fund size, and Covid-19 do not affect the mutual fund's performance. Covid-19 cannot moderate the effect of market timing and fund size on the mutual fund's performance. Fund managers highlight market timing as a crucial indicator of obtaining more returns, and Covid-19 is the best moment to select and collect potential stock at affordable prices and trade them to get more returns after the crisis.

The idea of this paper is to empirically test the impact of corporate governance measures on organizational performance of listed companies at 100-index of Karachi stock exchange (KSE). Like many other developing countries, ownership concentration and weak investor protection, especially protection of minority share holders, are the main characteristics of Pakistani market, which affect firm's performance. So the examination and exploration of link between corporate governance and organizational performance is the main area of this research. The research methodology used is ordinary least square regression analysis. Statistical significance is checked by using accounting measures of financial performance i.e. Return on equity, Return on assets, earning per share, net profit, sales growth and Herfindahl-Hirschman Index (HHI) for ownership structure. Company valuation is measured through Tobin's Q ratio. Based on a sample of KSE-100 index, the result reveals that there is a positive and significant relationship between organizational performance and corporate governance practices and there is positive and very significant relationship between company Valuation and corporate governance. Our results are consistent with organizational theory and Agency theory of corporate Governance. This is the first study of its own type that measures the relationship between organizational performance, company valuation and corporate governance practices of KSE-100 index companies in Pakistan by using cross-sectional data.

This article examines the organizational structure of Funds, the Securities and Exchange Commission's ("SEC") Rules on Funds in Nigeria, challenges facing Infrastructure Funds in Nigeria as well as viable solutions to maximize the potential of Infrastructure Funds in Nigeria.

The purpose of this paper was to analyze the relationships between the portfolio turnover and performance of equity investment funds in Brazil. There are few published studies on the subject, but the previously identified Brazilian studies that have examined making changes to portfolios have been limited to very restricted data samples and have only worked with an ordinary least squares (OLS) model without taking into account the indications of international studies and economic theory itself of the possible endogeneity of turnover, which would make OLS estimation inadequate. The expressive growth of the fund industry in the Brazilian market shows the relevance of the object of research. Two portfolio turnover metrics were analyzed: one based on changes in the monetary values of the assets and another based on changing the weights of the assets in the portfolio. The estimations were performed for fixed effects panel data and then for a two-stage least squares model, using instrument...

Background: Mutual funds, known for aggregating funds from a diverse investor base, play a crucial role in managing small funds smartly. This study evaluates the performance of selected closed-ended mutual funds and examines market efficiency in Nepal.
Methods: Using a descriptive and casual-comparative research design, the study spans fortyeight months from January 15, 2018, to January 14, 2022. Monthly data from five mutual funds are analyzed, with metrics such as the Treynor ratio, Sharpe ratio, and Jensen alpha. The study variables include market returns, assets, expense ratios, fund age, liquidity, and mutual fund returns. Various statistical tests, including correlation analysis, Integrated Ranking Analysis, ANOVA test, t-test, and P-value tests, are conducted to determine the significance and statistical relevance of the study variables.
Results: The findings reveal that mutual fund performance is influenced by factors such as return, age, liquidity, asset, and expense ratio. Expense ratio and age emerge as the most impactful factors, demonstrating a statistically significant relationship with market return (p < 0.05). All selected mutual funds outperform the market return (NEPSE), with Sanima Equity Fund securing the top rank in all three measures.

Mutual fund existed since 1964 in Pakistan capital market carrying certain benefits like risk diversification, assured returns and professional management for the retail investors. Growth of this investment mode has not been in the parallel levels in Pakistan as is the case around the world but still mutual funds in Pakistan appeared to be highly competitive financial service industry. This research paper aimed to study the performance of some selected mutual fund schemes in Pakistan based on risk-return relationship and various measures. Five balanced schemes offered by various mutual funds in Pakistan are selected for this study from 2010 to 2013. The analysis has been made on the basis of mean return, beta risk, total risk, Sharpe ratio, Treynor ratio, Jensen Alpha and Fama's decomposition measure. The empirical results reveal that average returns of selected portfolio are below from market returns, mix trend of risk in selected schemes and overall defensive beta values. In short results indicate underperformance of most of schemes during selected span of study.

This paper introduces the Dynamic Stability Portfolio, an investment strategy designed to offer long-term financial stability and growth regardless of market conditions. It aims to make investing accessible to beginners by specifying the assets and ETFs required for constructing a personal portfolio. The strategy addresses common challenges faced by novice investors, such as emotional decision-making and market complexity and is inspired by Ray Dalio's Bridgewater Associates Pure Alpha 1 Strategy, which may also provide valuable insights for advanced investors. The portfolio consists of a diversified mix of ETFs across four asset classes: Equity, Real Estate (REITs), Gold (ETCs), and Government Bonds. Key benefits include simplicity, accessibility, stability, and growth potential, with minimal management and substantial long-term returns through compounding while maintaining low ongoing costs. Additionally, the paper offers a concise overview of monetary history, the financial system and examines the role of bitcoin in the current economic landscape, providing a comprehensive context for understanding the strategy's relevance. Limitations include reliance on historical data, assumptions about risk tolerance, and the potential for changes in economic conditions that may affect the strategy's effectiveness.

This study provides a comprehensive evaluation of selected small and mid-cap equity mutual
funds, emphasizing the balance between risk and return. The research analyses the
performance of these funds using key metrics such as the Sharpe Ratio, Treynor Ratio, and
Jensen's Alpha, focusing on their risk-adjusted returns. The study identifies significant
correlations between volatility and returns, revealing that funds with higher volatility often
deliver superior returns, aligning with the traditional risk-return trade-off. The analysis
highlights the Quant Small Cap Fund and Motilal Oswal Midcap Fund as top performers,
demonstrating high returns alongside increased risk. Conversely, funds like the SBI Small
Cap Fund offer lower returns with reduced volatility, catering to investors with a lower risk
tolerance. The findings underscore the importance of evaluating mutual funds not only on
their returns but also on their efficiency in managing risk, providing crucial insights for
investors and financial advisors in making informed investment decisions. The study
concludes that while small and mid-cap funds offer potential for higher gains, they require
scrutiny due to their inherent risks.

As institutional investors have become more aggressive in deploying their capital, fund managers have become more creative with their product offerings. In this paper, we consider a new institutional fund of mutual funds, a portfolio that combines the "best-idea" stocks from two underlying primary funds. The sponsor of this portfolio has chosen to weight all of the stocks equally, even those chosen by both of the underlying funds' managers. However, stocks chosen by both managers may be more likely to outperform. We propose an alternative weighting scheme, where these "confirmed" stocks are weighted more heavily. We show that this overweighting strategy leads to a higher expected portfolio return than does the equally weighted scheme used by the sponsor.

Investment decision of an investor is depending on performance of a stock with risk associated with it, especially in case investment shares. In current scenario, investment in mutual fund is growing, basis reasons are Mutual fund having a portfolio of various securities and managed by team professionals, along with minimum investment. Investor must have basic knowledge of investment and financial market, additionally it can be purchased directly by online or offline with or without agent. Besides these characteristics, Mutual industry also needs to perform according to the expectations of the investors. This paper is based on this, the main objective of this paper is to find out the performance of mutual fund specifically Equity Fund. Research type is Empirical in nature, sample techniques is Judgmental and convenience. Sample size is 10 listed top listed large cap fund (NIFTY 100 Total Return Index), data is collected from secondary source. Analytical tools are Sharpe's Index, and Treynor's methods used to analyses the performance of mutual fund of last 5 years (Direct Plan). The result of the analysis shows , all funds are overvalued in Sharpe's ratio and undervalued in Treynor's ratio. HDFC top 100 is rank first is both index and

The CFA franc zone's appeal extends beyond economic interests, serving as a strategic tool for France's geopolitical influence in Africa. This is evident in the foreign exchange agreement that France leverages to maintain its influence. Ousmane Sonko, a prominent Senegalese politician, estimates that France siphons CFA 500 billion annually from the two African central banks. He suggests that a portion of this 'foreign exchange subsidy' could counter the European Union's scrutiny of Argentina's cumulative foreign exchange agreement. The geopolitical implications of the foreign exchange system within the French Treasury are thus of paramount importance and cannot be overstated.
The current COVID-19 crisis has underscored the pivotal role of a state's currency and foreign exchange reserves. These reserves, managed by the French Treasury, are essential and strategically crucial. They enable faster and more effective crisis management, serving as a buffer against the negative externalities from COVID-19 on the economy, banking sector, and corporate sector. They also play a pivotal role in maintaining a cheap policy-maker objective, as the central bank is not compelled to agree to unfavourable currency swap agreements with regional economic groups.

This thesis gives an overview of the research that has been conducted studying major risk-factors (size, value, profitability, momentum, investments) and Fama-French asset pricing models. Aim of this thesis is to study changes in major risk factors at the U.S. equity markets after the global financial crisis. The empirical part of this thesis uses three 120-month periods of daily data, focusing mainly on changes between the 120 months before and after the global financial crisis using the end of 2008 as a breakpoint for data. Also, the performance of the Fama-French five-factor model is evaluated in three different periods, revealing information on how the model works with various samples of data. Research set up follows mainly similar approach as in Fama and French asset-pricing studies by using portfolio sorts of different characteristics and portfolios that mimic risk factor returns. This thesis adds to the existing literature by evaluating three short periods of 120-months and comparing relative changes on these periods. The main focus is comparing risk-factor coefficients, risk factor return patterns, and performance of the Fama-French five-factor model in (01/1999-12/2008) data sample to (01/2009-12/2018) data sample in the U.S. equity market. The third period is used to control and point the magnitude of changes after the financial crisis. Results of the empirical part of this thesis reveal significant differences in risk-factors after the financial crisis. Previously discovered risk-factor return patterns disappear in the period after the financial crisis. This change is significant as clear and strong patterns of risks factor effects in average returns can be seen in the first two periods. Regression tests reveal clear trends in risk-factors coefficients. Profitability factor obtains explanatory power (importance) coming to the present day as the value factor loses explanatory power. Size factor gains on small firms' categories but loses on big-sized firms. Investment factor does not play a significant part in explaining returns in general in the period after the financial crisis. Fama-French five-factor model performance is persistently highest in the period after the financial crisis supporting its usage on different applications. Main findings show enhanced importance of profitability factor. This signs of the increased importance of quality characteristics of firms in explaining the excess returns in line with recent quality-based studies.

This thesis gives an overview of the research that has been conducted studying major risk-factors (size, value, profitability, momentum, investments) and Fama-French asset pricing models. Aim of this thesis is to study changes in major risk factors at the U.S. equity markets after the global financial crisis. The empirical part of this thesis uses three 120-month periods of daily data, focusing mainly on changes between the 120 months before and after the global financial crisis using the end of 2008 as a breakpoint for data. Also, the performance of the Fama-French five-factor model is evaluated in three different periods, revealing information on how the model works with various samples of data. Research set up follows mainly similar approach as in Fama and French asset-pricing studies by using portfolio sorts of different characteristics and portfolios that mimic risk factor returns. This thesis adds to the existing literature by evaluating three short periods of 120-months and comparing relative changes on these periods. The main focus is comparing risk-factor coefficients, risk factor return patterns, and performance of the Fama-French five-factor model in (01/1999-12/2008) data sample to (01/2009-12/2018) data sample in the U.S. equity market. The third period is used to control and point the magnitude of changes after the financial crisis. Results of the empirical part of this thesis reveal significant differences in risk-factors after the financial crisis. Previously discovered risk-factor return patterns disappear in the period after the financial crisis. This change is significant as clear and strong patterns of risks factor effects in average returns can be seen in the first two periods. Regression tests reveal clear trends in risk-factors coefficients. Profitability factor obtains explanatory power (importance) coming to the present day as the value factor loses explanatory power. Size factor gains on small firms' categories but loses on big-sized firms. Investment factor does not play a significant part in explaining returns in general in the period after the financial crisis. Fama-French five-factor model performance is persistently highest in the period after the financial crisis supporting its usage on different applications. Main findings show enhanced importance of profitability factor. This signs of the increased importance of quality characteristics of firms in explaining the excess returns in line with recent quality-based studies.

This paper investigates the effect of managerial attributes like, age of manager, qualification of manager, experience of manager, age of fund and management fee on performance of mutual funds. For this purpose open ended equity funds of 19 assets management companies with a data set ranging from 2010 to 2014 is taken. Fixed effect panel regression is used to control the unobserved heterogeneity between the assets management companies. Results reveal that managers qualification, age, total experience in mutual fund industry are positively and significantly related to performance of funds whereas, age of fund is negatively related to fund performance. Secondly, explanatory variable, management fee is not related to performance of mutual fund in Pakistan.

In this study, we propose a new concept of partially equivalent (PE) benchmarks for evaluation different mutual funds categories in Pakistan. We constructed separate benchmarks for all major categories of funds after carefully considering the asset composites of classes. For the validity of proposed benchmarks, we conducted unit root test, kernel density distribution and ANOVA analysis. Our results prove that money market and aggressive income non-sharia benchmarks and most of Sharia benchmarks indices have shown indifference of distribution against the conventional benchmark i.e. KSE 100 and KMI 30. This encourage the fund managers and scholars alike to use the proposed benchmark indices against the conventional ones to analyze the management style, market variations, market timing and behavioral aspects with some precision and accuracy.

In this study, we propose a new concept of partially equivalent (PE) benchmarks for evaluation different mutual funds categories in Pakistan. We constructed separate benchmarks for all major categories of funds after carefully considering the asset composites of classes. For the validity of proposed benchmarks, we conducted unit root test, kernel density distribution and ANOVA analysis. Our results prove that money market and aggressive income non-sharia benchmarks and most of Sharia benchmarks indices have shown indifference of distribution against the conventional benchmark i.e. KSE 100 and KMI 30. This encourage the fund managers and scholars alike to use the proposed benchmark indices against the conventional ones to analyze the management style, market variations, market timing and behavioral aspects with some precision and accuracy.

The growth of the Mutual Fund Industry in India has created its edge in the personal finance industry in India and has opened up opportunities to investors in order to diversify the investments across assets. Mutual Fund industry plays a key role in the Indian Financial Sector. Investing in mutual fund has seen an upfront growth in India because of the nature of this instrument. Mutual fund is a type of financial intermediary that empowers million small as well as large investors across the country to participate and invest in capital market and derive benefits from it. The Average Assets Under Management (AAUM) of Indian Mutual Fund Industry for the month of February 2022 stood at Rs. 38,56,140 crore. The AUM size crossed Rs. 30 trillion (Rs.30 Lakh Crore) for the first time in November 2020. The Industry AUM stood at Rs.37.56 Trillion (Rs. 37.56 Lakh Crore) as on February 28, 2022.The total number of accounts (or folios as per mutual fund parlance) as on February 28, 2022 stood at 12.61 crore (126.1 million). This study helps to understand the comparative performance of Equity, Debt and Hybrid Mutual Fund schemes, measure the volatility and return relationship, risk and return analysis of selected mutual fund by various financial tools like: SD, Beta, Treynor, Sharpe, Jensen, Information ratio and correlation between fund and index return.

O objetivo deste estudo é verificar, com base nos tradicionais modelos de avaliação de performance de fundos de investimento, quais variáveis afetam o retorno dos ETFs brasileiros. Foram estimadas regressões com base em um modelo híbrido que engloba variáveis oriundas do CAPM e de seus modelos complementares, especificamente os modelos de Momentos Superiores, Modelos de Três e Quatro Fatores e Modelo APT. Com base em dados do período entre 02/01/2009 a 31/12/2013, as conclusões evidenciam que os ETFs são influenciados pela co-curtose e pelo fator SMB, corroborando que o risco sistemático não é o seu único fator de precificação.

DOI: 10.5902/198346593607 The mutual fund industry plays an important role in picking up and allocating resources in Brazil. This market has grown considerably since country’s economic opening, both in number of funds and in equity under management.This article aims to investigate the impact of size and size variation of Brazilian mutual fund equities on its performanceandthe impact ofthe fund’s age. Panel data of daily frequency was used to analyze 162 Brazilian mutual funds with different benchmarks and management styles, concerning the 2001-2009 period. Several regressions were estimated, including variables that catch the equity and age evolution and dividing the sample in quartilesaccording the fund mean equity size. The conclusions show that Brazilian mutual funds  May be subject to size effect because, in general, funds with larger equity size present better performance. Age’s influence depends on the fund category.

Mutual Fund is a Capital Market Investment Vehicle. In Bangladesh there are 48 Mutual Funds under 17 Asset Management Companies. This paper focused on evaluating the performance of 48 growth oriented mutual funds on the basis of weekly returns compared to market returns. Risk adjusted performance measures suggested by Jenson, Treynor, Sharpe and statistical models are employed. It is found that, most of the mutual funds have performed better according to Jenson and Treynor measures but not up to the benchmark on the basis of Sharpe ratio. However, most of the mutual funds are diversified and have reduced its unique risk. The growth oriented funds have performed better in terms of total risk and the funds are offering advantages of diversification and professionalism to the investors. So, mutual funds perform better with their expertise.

During 2022, the world has witnessed a threatening situation due to the war scenarios between Russia and Ukraine. Huge damage was caused to the wealth of the nations, numerous people lost lives, livelihood and experienced displacements. Many organizations stated the huge reduce in exports, increase in the energy prices, food insecurity and risen poverty levels. It has negatively impacted the stock markets. Mutual funds are one of the well knows alternatives for investment and to generate a good amount of gains.Companies in India are classified into various types based on the size of their market capitalization as under: Large cap: Companies having a market capitalization of over 20000 crores. Mid cap: Companies having market cap ranging from 5000 to 20000 crores. Small cap: Companies with market cap of less than 5000 crores. Mutual funds are also classified into the above-mentioned types based on their allocation of investment. Need for the study:-Mutual funds provide as much as flexibility in providing the returns to the investors. Since the beginning of the war, there has been a lot of volatility in the market, nationally and globally as well. Russia which is assumed to be one

Purpose: The numerous organisations that provide a range of funds are making it difficult for retail investors to choose an investment that is acceptable to them. During the pandemic, global market systems were disturbed, notably hurting market returns. Design: Evaluate the open-ended schemes' performance concerning equity and debt in mutual funds. The sample contains 10 schemes chosen from ten of the BSE 30 corporate schemes from January 2018 to December 2022. The performance of selected funds is examined to determine various statistical tools such as the daily average return, standard deviation, beta, and risk-adjusted value (Treynor and Jensen ratios). A benchmark index has also been created for analysis. Findings: The results of the performance evaluation showed that equity schemes had a comparatively better return with moderate risk compared to debt schemes, but at the same time, the risk would be lower in debt schemes compared to equity. This study will help investors to identify good schemes and asset management firms should enhance the performance of their equity schemes to attract investors who are eager to pick the market's portfolio structure. It is critical to identify and investigate the reasons for changes in time and market structure.

Alpha-based performance evaluation may fail to capture correlated residuals due to model errors. This paper proposes using the Generalized Information Ratio (GIR) to measure performance under misspecified benchmarks. Motivated by the theoretical link between abnormal returns and residual covariance matrix, GIR is derived as alphas scaled by the inverse square root of residual covariance matrix. GIR nests alphas and Information Ratio as special cases, depending on the amount of information used in the residual covariance matrix. We show that GIR is robust to various degrees of model misspecification and produces stable out-of-sample returns. Incorporating residual correlations leads to substantial gains that alleviate model error concerns of active management.