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Investing in mutual funds, among other financial instruments, ensures that investors are exposed to the least amount of risk and receive the highest possible return. As a result, it became critical to research the mutual fund performance. This study attempts to assess the performance of selected Indian mutual fund schemes using a risk-return analysis, Treynor's ratio, Sharp's ratio, and Jensen's measure based on their daily net asset value during 2011-2021. The data comes from the Association of Mutual Funds in India's website. For analysis, 27 equities funds were chosen. The results show the majority of mutual fund schemes in the sample were able to meet investor expectations by providing excess returns over projected returns based on both premium for systematic risk and total risk. The data suggest that in selected funds, Nippon India Large Cap Fund, Canara Robeco Bluechip Equity Fund, and Invesco India Large-cap Fund had the highest returns. Many portfolio managers recommend consumers invest in large-cap mutual fund schemes during times of crisis for these reasons. The analysis yields a positive result from all the schemes. The Treynor ratio, Sharpe ratio, and Jensen's ratio were used to evaluate the past performance of the selected mutual fund schemes, and the results will be useful to current and future potential investors in making informed investment/financial decisions. [ABSTRACT FROM AUTHOR]

The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central Provident Fund (CPF) Investment Scheme and non-CPF linked funds by taking into account the currency risk effect on internationally managed funds. In particular, we empirically assess whether the funds under the CPF Investment Scheme outperform non-CPF funds by examining the volatility-timing performance associated with these funds. The volatility-timing ability of CPF funds will provide the CPF board with a new method for risk classification. We employ the GARCH models and modified factor models to capture the response of funds to market abnormal conditional volatility including the weekday effect. The SMB and HML factors for non-US based funds are constructed from stock market data to exclude the contribution of the size effect and the BE/ME effect. The results show that volatility timing is one of the factors contributing to the excess return of funds. However, funds' volatility-timing seems to be country-specific. Most of the Japanese equity funds and global equity funds under the CPF Investment Scheme are found to have the ability of volatility timing. This finding contrasts with the existing studies on Asian, ex-Japan funds and Greater China funds. Moreover, there is no evidence that funds under the CPF Investment Scheme show a better group performance of volatility timing. [ABSTRACT FROM AUTHOR]

This paper assesses the performance of 355 actively managed Japanese Equity Mutual Funds between April 2011 and April 2016. The equal weight portfolio and Jensen's alpha measures of active management provide strong evidence that Japanese Mutual Funds fail to outperform the benchmark four-factor capital asset pricing model. When it comes to market timing, the Treynor and Mazuy measure shows that 33 funds have significant positive market timing ability which is largely offset by 31 funds with significant negative timing ability. To ensure the statistical inference is robust to the non-normality found in 33 funds we employ Fama and French's cross-sectional bootstrap. The results show that a large proportion of funds fail to outperform a hypothetical world with no skill. On the persistence of skill we find that there is stronger persistence for poor performing funds than for strong performing funds. [ABSTRACT FROM AUTHOR]