Description
Title: Determinants of Mutual Fund Performance in South Africa Under Changing Regimes
Abstract: This study evaluates the impact of systemic and fund-level variables on mutual fund performance in the context of shifting market conditions. From 2006 to 2019, the performance of 33 South African equity mutual funds was examined using a Markov regime-switching model. According to the findings, fund flow and fund size have a greater impact on performance prediction during a bearish market than during a bullish market. Under time-varying market conditions, the most important variables influencing the performance of active portfolios were found to be fund age, fund risk, and market risk. These factors have a greater impact on fund performance in bearish than in bullish market conditions, highlighting the phenomenon of the flight to safety of assets and the risk aversion of fund contributors. In order to encourage consistency in performance, fund managers must maintain adequate asset bases while putting into place strategies that reduce dispersion in fund returns. This study offers fresh perspectives on how the adaptive market hypothesis predicts that the factors influencing fund performance will fluctuate with market conditions (AMH).
Keywords: fund performance; efficient market hypothesis; adaptive market hypothesis; behavioral finance; market conditions; Markov switching model
Paper Quality: SCOPUS / Web of Science Level Research Paper
Subject: Economics
Writer Experience: 20+ Years
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