جستجوی مقالات مرتبط با کلیدواژه "صندوق های سرمایه گذاری" در نشریات گروه "مالی"

Investment capital funds, like all other sectors of the capital market, are affected by economic variables, and its quality and type of effectiveness can be found in how to guide this financial institution in the face of search. Objectives and

In this study, using the integrated model of Lit et al. (2003), we will evaluate the performance of Iranian investment funds in the years 2016-2019 using soft panel transfer regression (PSTR) by MATLAB software and check whether the investment funds have been able to reduce the nonlinear effects. Recognize macro variables on fund returns and change the composition of your portfolio based on that?

The results indicate the existence of a non-linear relationship between macroeconomic variables and the return of investment funds by considering a transfer function and a threshold parameter and a two-regime model.

Considering the asymmetric relationship between macroeconomic variables and the returns of funds, the ability to recognize this issue, identifying the appropriate stocks in each regime and the positioning of investment funds can, in addition to creating competition between funds in having superior performance, lead to their ranking by institutions. supervisory help.

This study is aimed to investigate the effect of the 5 personality phases of managers of mutual funds in dealing with smart money by using the structural equation model. Meanwhile, managers' financial intelligence has also been examined as a moderating variable. This survey is carried out by collecting statistics from all mutual funds. This analysis was carried out in 1399 and all data have been collected from mutual funds during that time. Five studied phases of personality are: Hypomania, Psychopathic Deviate, Psychasthenia, Paranoia, Depression.The results show that out of the five personality phases studied, four of them have a significant relationship with smart money and there is no significant relationship between only one personality phase and smart money. Also, the moderating role of financial intelligence was accepted only concerning one type of personality phase( Hypomania,) and concerning the other four personality phases(Psychopathic Deviate, Psychasthenia , Paranoia, Depression), the effect of the moderating variable was not confirmed.

Iranian mutual funds’ average turnover rate stood at 330% in the years from 2001 to 2007. Such a high rate could lead to excessive trading costs for investors without necessarily bringing in high returns. The goal of this paper is to estimate transaction costs and examine their effect on the performance of the funds.

In addition to the explicit costs of trading such as transaction taxes and commissions, there are other, implicit, components such as bid-ask spread and price impact which are harder to compute and less recognized by investors. This paper used high frequency (tick-by-tick) trade and limit order book data, as well as the hand-collected quarterly holding and trading data for a sample of Iranian equity mutual funds to estimate the aforementioned trading costs. Then, the effect of trading costs on the risk-adjusted fund returns was examined using the four-factor alpha as our proxy.

Funds understudy spend on average 11% of their AUM annually on trading costs which is a considerable amount in comparison to their return (15.6%), during the sample period. The present study found no significant effect of trading costs on the funds’ performance in the sample. However, during the subperiod of 2013-2014, a negative and significant relationship was discovered between them.

As the obtained results of the present study proved, more trading activities of the Iranian fund managers’ do not lead to higher returns; accordingly a high trading volume generates only enough excess return to offset the associated transactions costs.

Since portfolio optimization models are based on past information, the efficiency of these models has always been questioned. In this study, first, an optimization model based on investor views is introduced and then the performance of all optimization models are compared with the performance mutual funds to both measure the effectiveness of these models and to achieve a practical model for this purpose. The research period is between 2016 and 1400 and MATLAB software has been used to obtain the optimal portfolio. The results show that using different evaluation criteria, the optimal portfolio of Black Literman model performs better than other optimization models and mutual funds; Also, the returns generated by all optimization models at the market risk level were significantly higher than the average returns of equity mutual funds and top mutual funds.

Present research was accomplished to survey the relationship between Severity of personality phases of mutual fund managers and the risk measure of mutual funds. The research hypothesizes are that the intensity of individual phases of managers and their portfolio risk are related. And also the personality types (A & B) can have a moderating effect on the relationship. The sample size in this study consisted of 98 Person of investment fund managers. The methodology of this study was to evaluate the correlation between structural modeling with using the smart PLS software.
The results indicated that there are significant relations between 5 personality Phases (Depression, Hypomania, Psychopathic Deviate, Psychasthenia, Paranoia) and fund risk measures including Value at Risk & Semi Variance. Also it was shown that personality type of investment fund managers is moderating effect on these relations.

Due to the fact that the rating of mutual funds creates an unbearable impact on the public interest in order to request the issuance or revocation of investment units, the proper assessment of the relevant ratings is very important. One of the factors that should be considered in ranking is attention to different risk assessment criteria. In this study, we used information from 112 investment funds in the period from April 2012 to March 2013 based on ten criteria including Sharp criterion criteria, Trainer criteria, Jensen alpha standard, M2 benchmark, AR criterion, Moderator trainer standard, Jsen Alfa standard adjustment The Omega benchmark, the Sortino benchmark and the UPR, the investment fund rankings have been made. Over the period, the Iranian capital market has experienced a sharp increase in both growth and decline and, as a result, The basis for the desired and undesirable risk criteria is the ability of a fund to flourish It also showed up during the recession. Attention to the favorable and undesirable risk over this period greatly increases the ability to rely on the results of the research and can add to the research's sustainability.

Mutual funds were first established in Iran in 2007 under Securities Market Act 2005 and have since grown significantly to one of the most important capital market intermediaries. Hence understanding and evaluating the performance of these funds are critical to both investors and fund managers. This research aims to examine the effects of various mutual fund attributes and characteristics, namely past performance, size, expenses ratio, turnover ratio, number of funds under fund manager’s management, and type of institution of fund founder, on their current performance. For this purpose, a sample of 43 equity mutual fund was chosen and relevant weekly data for the period of 22th June to 22th September 2013 was collected. The results show that only past performance and the type of institution of founder have an impact on the mutual fund's performance.

One of the most considerable concerns of investors in capital market is the phenomena of fund selection for investment. Hence, it is required to know that whether investors could predict future performance base on past performance properly; in other words wheatear investors’ trusting on past performance is reasonable or not. Answering these kinds of questions leads us to a complete investigation on the performance persistence in sequential periods. Thus, in this paper a sample of 31 active mutual funds during 21th of June of 2011 to 21th of June of 2013 has been chosen in order to evaluate the performance persistence of equity funds. Through an alpha approach & assuming that each fund’s abnormal return consists of two factors; stock selection & market timing, the result of a panel data regression shows that there exists short term performance persistence. Also, in comparison to the losers, it is confirmed that winner funds have much more persistence.