Using the most comprehensive database on Australian hedge funds, we test the performance persistence for the period July 2000 to June 2005. We employ both parametric and nonparametric approaches to identify persistence. We report evidence of short-term persistence and no evidence of long-term...

This paper investigates the birth of commodity trading advisers (CTAs) and their flow–performance relation. Specifically, we address three questions. First, we investigate the impact of existing CTAs' performance on the number of new CTAs entering the market. Second, we investigate the...

In this paper, we study mutual fund performance in terms of timing ability with daily data from 1998 to 2009. A novel timing model is proposed by incorporating the regime-switching framework into the Treynor and Mazuy (1966) model. The volatility follows a generalized autoregressive conditional...

This study applies return-based style analysis to a sample of Australian managed and superannuation funds, seeking to compare their asset allocation strategies across different style groups. Style analysis is performed using a rolling window estimation technique. As expected, riskier fund...

Standard measures of economies of scale and scope show that size does matter for German investment management companies. The average investment management company faces an increase in costs of 0.71% for a 1% increase in assets under management. Small to mid-sized companies in our example exhibit...

This study applies return-based style analysis to a sample of Australian managed and superannuation funds, seeking to compare their asset allocation strategies across different style groups. Style analysis is performed using a rolling window estimation technique. As expected, riskier fund...

In this study, we analyze the monthly fund migrations in a return-based classification scheme for European mutual funds. Accounting for the time-varying commonalities in returns, we derive a classification scheme consisting of four layers with two, six, 15, and 20 groups respectively. In the...

Results from frontier analysis show that German investment management companies are far from being cost e fficient. The average investment management company may be able to reduce its costs by 48% to 75% when compared with the best-practice company in the sample. The level of e fficiency even...