The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central …-CPF funds by examining the volatility-timing performance associated with these funds. The volatility-timing ability of CPF funds … to capture the response of funds to market abnormal conditional volatility including the weekday effect. The SMB and HML …

We conduct a volatility decomposition to identify the source of performance differences between low volatility and high … volatility mutual funds. A higher level of return covariance of fund holdings is associated with more fund-level exposure to the … idiosyncratic volatility effect. Average security-level variance of fund holdings is only weakly associated with idiosyncratic …

between equity fund flow and investment volatility in Taiwan. Our empirical results show that the equity fund managers will be … different business strategy under the volatility threshold value and the control variables of asset of funds, management fee and … Turnover indicator. After the financial crisis, the threshold of volatility will be an important index to different business …