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,...

This paper investigates the relationships between management turnovers and fund performance, by using data for the German equity mutual funds in the period from 1994 to 2009. Evidence shows that the future performance of prior over-average performing funds (winner funds) declines in the first...

Purpose: The purpose of this paper is to examine the changing risk structure of German open-end funds using semi variance based performance measures. Design/methodology: The analysis focuses on an appropriate benchmark and compares classical performance measures with LPM based measures....

In this paper, we are examining hedge funds risk and return profile over the period 1990 to 2003 using Jensen's measure, implied volatility, correlations, covariances, Sharpe and Sortino ratios. The large range in returns and dispersion suggest that the mean variance approach may not indicate a...

We apply the Quantile Regression Model to observe the rankcorrelation between bond fund performance and asset,volatility, management fee, Sharpe index and show that fundperformance between volatility as a negative significantrelationship, implied extreme values have been generated...

To many people, the terror of falling share prices is often significant, often more so than the pleasure of gains. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have several tools to measure downside volatility,...