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Studying the relationship between the management of mutual funds and their performance

Number of pages: 110 File Format: word File Code: 29842
Year: 2014 University Degree: Master's degree Category: Librarianship
Tags/Keywords: Active management - Combined data - Investment funds - Performance of investment funds - The excess variance of the fund's return
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  • Summary of Studying the relationship between the management of mutual funds and their performance

    Master's Thesis in Accounting

    Abstract

    This dissertation is an attempt to investigate the management of mutual funds and their performance. In this regard, Carhart's four-factor model has been used to calculate the performance of investment funds, and the effect of fund management, obtained through the variance of the difference between the fund's return and market return, has been measured on the fund's performance. For this purpose, the research hypotheses were tested based on the combined data method and using the monthly information and data of the return of mutual investment funds and the performance of the funds in the period of 1392-1390. For this purpose, monthly portfolios were formed based on market risk, book value factor to market value, size factor, trend factor and standard deviation of the difference between fund and market returns. Fund management is measured on it. Before testing the effect of fund management on their performance, the necessary statistical tests such as normality and collinearity were performed and the findings show the collinearity of the data in the long term, which makes us sure about the absence of false regression. Then the tests related to the application of the appropriate method for the analysis of combined data were conducted, the results of the F-test of Lemer show that the results of the mixed data method and the results of the Hausman test show that the fixed effects method should be used for the data analysis.

    The results of the model test using the fixed effects method show that the excess return of the fund has a positive and significant relationship with the market risk factor, the book value to market value factor, and the trend factor. Also, the findings show that the size factor and The standard deviation of the difference between fund and market returns has a negative relationship with excess fund returns, in other words, the final findings show that the performance of fund management has a positive and significant relationship with excess fund returns.

  • Contents & References of Studying the relationship between the management of mutual funds and their performance

    List:

     

    Title                                                                                                                                                                                                                                                             General research. 1

    Introduction. 2

    1-1. Defining the topic and stating the research problem. 3

    1-2.  Objectives of the research. 4

    1-3.  Research question 4

    1-4.  Research hypothesis. 5

    1-5.  Research method. 5

    1-6.  Limits of research. 7

    1-7. Definition of words and terms. 7

    1-8. Research structure. 8

    The second chapter: A review of the subject literature. 9

    Introduction. 10

    2-1. Theoretical foundations. 11

    2-1-1. Mutual funds. 11

    2-1-1-1. Definition of mutual funds. 11

    2-1-1-2. Mutual funds in Iran. 13

    2-1-1-3. Types of investment funds. 13

    2-1-1-3-1. Types of investment funds available in the world 14

    2-1-1-3-2. Types of investment funds available in Iran. 15

    2-1-1-4. Types of investment fund strategies. 19

    2-1-1-5. Investment risk in investment funds. 22

    2-1-2. Performance of investment funds. 23

    2-1-2-1. CAPM capital asset pricing model. 29

    2-1-2-2. Fama and French three-factor model. 30

    2-1-2-3.  Carhart's four-factor model. 33

    2-2.  Experimental studies. 35

    2-2-1.  Foreign studies. 35

    2-2-2.  Internal studies. 39

    The third chapter: Research method. 49

    Introduction. 50

    3-1. Research method. 50

    3-2. Scope of research. 51

    3-3. Collecting, organizing and describing data 52

    3-4. Research hypothesis. 54

    3-5. Specification of the research model. 54

    3-5-1. Monthly stock returns. 56

    3-5-2. Market returns 56

    3-5-3. Spending on market risk (MKT) 57

    3-5-4. Fund size (SMB) and ratio of book value to market value (HML) and acceleration factor (WML) 57

    3-5-5. Tracking Error. 60

    3-6. Combined data. 60

    3-6-1. Methods for pattern estimation of mixed data. 63

    3-6-1-1.  Combined least squares method: 63

    3-6-1-2. Least square model with dummy variables (fixed effect model): 64

    3-6-1-3. Random effect model. 64

    3-6-1-4. Pattern of random coefficients. 65

    3-6-2.  Combined data pattern tests. 66

    3-6-2-1.  Chow test 66

    3-6-2-2. Hausman test. 67

    3-6-2-3. Manai test in mixed data. 68

    3-6-2-4. Cointegration test in mixed data. 70

    Chapter Four: Model estimation and hypothesis testing 72

    Introduction. 73

    4-1. Descriptive statistics. 73

    4-2. Diagnostic tests on data 75

    4-2-1. Mana test. 75

    4-2-2. Cointegration test between variables 76

    4-2-3. Chow test (F-Limer) 77

    4-2-4.  Hausman's test. 78

    4-2-5.  Estimation of the model by fixed effects method. 79

    The fifth chapter: Conclusions and suggestions. 82

    Introduction. 83

    5-1. Discussion and conclusion. 83

    5-2. Matching the results of others. 85

    5-3.  Obstacles and limitations of research. 86

    5-4. Suggestion for future research. 86

    5-5. Practical advice. 87

    Resources. 88

    Persian sources. 89

    English sources. 90

     

    Source:

     

    Persian sources

    Ashrafzadeh, Hamidreza and Mehrgan, Nader. (1387). Panel data econometrics. Faculty of Social Sciences, University of Tehran, first edition

    Etamidi, Hossein; Mohammadi, Amir; Nazimi Ardakani, Mehdi. (1388). Investigating the relationship between auditor industry expertise and profit quality in companies listed on the Tehran Stock Exchange, Financial Accounting Research Journal, first year, first and second issue. (1389).  Investigating the effect of some managerial and environmental factors on mutual investment fund returns in Iran. Journal of Management Research, No. 86, 101-85. Pourzmani, Zahra and Bashiri, Ali. (2012). Carhartt model test for predicting expected returns by separating growth and value stocks. Journal of Financial Engineering and Securities Management, No. 16, 107-93.

    Jabari, Ramin, Salehi Sedkiani, Jamshid and Amiri, Maqsood. (2011). Performance evaluation and portfolio selection ofPerformance evaluation and portfolio selection of stock investment funds. Journal of research in operations and its applications. ninth year Number 1, serial 32, 1-19

    Rai, Reza, Poyanfar, A., (2009). Advanced Investment Management, Tehran, Somit Publications.

    Raee, Reza, and Saeedi, Ali. (1385). Fundamentals of Financial Engineering and Risk Management, Semit Publishing House.

    Rai, Reza; Telangi, Ahmed. (2004). Advanced Investment Management, Tehran, Somit Publishing House.

    Roshangarzadeh, Amin and Ramzan Ahmadi, Mohammad. (1390). Investigating the performance of investment funds based on criteria based on ultra-modern portfolio theory and the relationship between their ratings and modern portfolio criteria. Journal of financial accounting research, third year, first issue, serial number 7. 144-160.

    Saeedee, Ali and Maqdisian, Iman. (2010). Evaluation of the performance of common stock investment funds in Iran, Stock Exchange Quarterly, Year 3, Number 9. Shirzadi, Saeed. (1386). Capital newspaper, dated 4/16/86, number 498, page 9

    Safari Amir Mohammad (1388). Investigating the effectiveness of mutual investment funds' returns on stocks from some management and environmental factors in Iran, master's thesis in accounting, Faculty of Economics and Accounting, Tehran Islamic Azad University, Center

    Gujrati, Damodar. (1387). Basics of econometrics. Translated by Hamid Abrishmi, Tehran University Press.

    Mujtahadzadeh, Vida and Taremi, Maryam. (1385). Fama and French three-factor model test in Tehran Stock Exchange to predict stock returns. Management Message Magazine, No. 17, 132-110.

    Maghdasian, Iman (2009). Evaluation of the performance of joint stock investment funds in Iran. Master thesis, University of Economic Sciences, Faculty of Economic Sciences.

    Mir Hosseini Ganji, Mojtaba. (2013). Studying the relationship between corporate governance and the performance of investment funds accepted in the Tehran Stock Exchange. Master's Thesis in Accounting, Faculty of Economic and Administrative Sciences, Mazandaran University.

    Abassi, Ebrahim and Jalali, Seyed Sepideh. (2011). Evaluation of multi-factor asset pricing models of Carhart and Chen in Tehran Stock Exchange. Perspectives of the research group, second year, number 7.

    Abda Tabrizi, Hossein and Sharifian, Rooh Elah. (1387). Investigating the effect of adverse risk on the risk-adjusted performance of investment companies listed on the Tehran Stock Exchange, Tehran Stock Exchange Quarterly, No. 1, pages 35-70.

    English sources

    Antti Petajisto, (2013), "Active Share and Mutual Fund Performance", http://ssrn.com/ abstract=1685942

    Bartholdy, J. and Paula, P. (2005). Estimation of expected return: CAPM vs. Fama and French. International Review of Financial Analysis. 14(4), 407-427.

    Brian, R. M. and Ferguson, K. W. () "Post-Modern Portfolio Theory Comes Of Age. Journal of Investing, v. 3, N. 3, 11-17.

    Bollen, N, P, B. and Busse, J, A. (2004). Short-Term Persistence in Mutual Fund Performance. The Review of Financial Studies, Vol. 18, N. 569-597.

    Lin, J.H., (2010). Domestic open-end equity mutual fund evaluation using different distance approaches.

    1 REVIEW. 94. PP. 1276- 1302. Foreign exchange risk premiums and management, Vol. 4, 310-331 , Faculty of Mathematics and Economics.

    Estrada, J. (2007), "Mean-Semi variance behavior: Downside risk and capital asset pricing", International Review of Economics and Finance 16 P.169-185.

    Eraslan, V. (2013). Fama and French Three-factor model: Evidence from Istanbul stock exchange. Business and Economics Research Journal, Vol. 4, No. 2, pp. 11-22

    Fama, E, F. and French, K, R. (1993). Common risk factor in the returns on stocks and bonds, Journal of Finance, 33, pp. 3-56.

    Fama, E, F. and French, K, R. (2008). Mutual Fund Performance. Graduate School of Business, University of Chicago

Studying the relationship between the management of mutual funds and their performance
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