This paper studies the real mutual fund performance accounting for the presences of lucky funds. We quantify the impact of luck with an innovative measure built on False Discovery Rate (FDR). These FDR measures compute the number and the proportion of fund with truly positive and negative...

This study examines the phenomenon of performance persistence of equity funds in Hungary in two time perspectives: 1-year and 6-month perspectives. The empirical results confirm the occurrence of performance dependence in consecutive periods. There is also a strong evidence of short-term...

This paper presents a new measure of active fund performance that evaluates funds in a manner which is aligned with what investors seek to optimize: utility. Unlike the information ratio, which is currently one of the most popular metrics of performance used by practitioners, my measure assumes...

We propose a new approach for measuring mutual fund style and constructing characteristic-matched performance benchmarks that requires only portfolio holdings and two reference portfolios in each style dimension. The characteristic-matched performance benchmark literature typically follows a...

Extending previous work on mutual fund pricing, this paper introduces the idea of modeling the conditional distribution of mutual fund returns using a fat tailed density and a time-varying conditional variance. This approach takes into account the stylized facts of mutual fund return series,...

Vastgoedfondsen maken geen deel uit van de CBS-koersindex algemeen. Als reden hiervoor geldt dat zij een "afwijkende koersontwikkeling" te zien geven. Bezien wordt waarin deze afwijking(en) moge bestaan. NB Op 23 september 1990, kort na publicatie van het artikel, stopten de open-endfondsen met...

The Mutual Fund industry today, with about 44 players and more than two thousand and five hundred schemes, is one of the most preferred investment avenues in India. However, with a plethora of schemes to choose from, the retail investor faces problems in selecting funds. Factors such as...

Using data for the period 1994-2013, we examine the return and risk-taking behavior of hedge funds having at least one female portfolio manager and funds that have all female portfolio managers. Funds with all female managers perform no differently than all male-managed funds and have similar...

Traditional measures of performance evaluation are in vogue since long, however, Value at Risk (VaR) approaches are making their place in portfolio management industry from the last ten years. Value at Risk (VaR) approach focuses on the downside volatility of portfolio, thus making the investor...

The main purpose of this study is to identify the association among mutual fund risk measures and Return Parameters and to evaluate the mutual fund performance. Moreover to identify the best performance tools for investment in Pakistani mutual fund industry. Thirty five mutual funds have been...