All about fun(ds) in emerging markets? The case of equity mutual funds

Moritz Wagner () and Dimitris Margaritis

Emerging Markets Review, 2017, vol. 33, issue C, 62-78

Abstract: Using an expanded sample of emerging market (EM) mutual fund returns, we find that funds predominantly investing in EM equities have, on average, higher reward-to-risk ratios compared to benchmark indices. However, adjusted for risk factors EM funds outperform before costs but not after costs. Only growth and Chinese funds generate returns that more than recoup their costs. Local funds have an edge over their foreign counterparts, outperforming them by approximately 1.8% annually. Foreign funds tend to invest more cautiously in small-cap and growth-stocks. We also show that most funds in EMs pursuing a market-timing strategy have rather poor market-timing skills negatively affecting risk-adjusted performance measures.

Keywords: Mutual funds; Emerging markets; Fund performance; Market efficiency (search for similar items in EconPapers)
JEL-codes: G12 G14 G23 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:33:y:2017:i:c:p:62-78

DOI: 10.1016/j.ememar.2017.08.004

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