This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance, and that countryspecific mutual funds provide...

Recent academic research predicts that (i) equity mutual funds have a systematically better performance during periods of economic downturn and (ii) investors are willing to pay high fees for funds that provide recession insurance. In this paper, we test these hypotheses using international fund...

In this paper, we estimate several augmented [Treynor and Mazuy1966] models to examine the performance of hedge fund index returns in four different emerging market regions. In our estimations we match the fund returns with the regional emerging market equity and bond index data, which is a...

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro variables are useful in locating funds with future outperformance, and that country-specific mutual funds...

We provide evidence that speculative capital of hedge funds is a key determinant for the profitability of optimal carry and momentum strategies in futures markets across asset classes. We construct optimal carry and momentum portfolios from the perspective of a utility maximizing risk averse...

During the last two decades of the twentieth century, the investing world saw declining dividend and bond yields, with prices generally moving higher for both equities and bonds over the period. In the early years of this century, investors seemed to belittle the importance of income as a...

Using a sample of U.S. international equity mutual funds, we show that funds that hire sub-advisors abroad do not outperform. For example, funds that hire outsourced international sub-advisors underperform on a risk-adjusted basis by up to 126 bps annually, relative to funds that do not...

This research studies mutual fund performance in three selected Asian countries — China, Singapore and Thailand — for twelve years during 2000 to 2011 to determine whether any equity mutual funds significantly outperformed, or beat the market. The study begins with direct and simple...

This research adds cokurtosis risk factor as a new factor into Moreno and Rodriguez (2009) five-factor model to be six-factor model to evaluate the equity mutual fund performance both unconditionally and conditionally, and between up and down market of three selected countries in Asia - China,...

This research adds cokurtosis risk factor as a new factor into Moreno and Rodriguez (2009) five-factor model to be six-factor model to evaluate the equity mutual fund performance of three selected countries in Asia — China, Singapore, and Thailand as representatives of fast growing Asian...