This research adds to the current literature of measuring fund persistence by introducing two novel quantitative methods. Firstly, an existing method based on the Markov modelling of a fund's Morningstar rating over time is examined. An improvement to this model is then suggested based on the...

Since Target Date Funds (TDFs) became one of the default investment strategies for the 401(k) defined contribution (DC) beneficiaries, they have developed rapidly. Usually they are structured according to the principle “young people should invest more in equities”. Is this really a good...

The constant proportion portfolio insurance is a dynamic strategy of investment protecting a fund against a fall of its market value below a predetermined floor. In this work, we revisit the CPPI under the assumption that the risky asset is a stochastic process whose the average return and...

Options on a number of currency pairs involving the Rand are readily available to investors in the South African market. The most widely implemented strategies are those involving call options giving geared upside exposure to the underlying. However, overlay strategies such as collars and fences...

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...

Prior studies have shown that investment banking affiliations place pressure on analysts to produce optimistic recommendations on the investment bank's stock-clients. Our analysis of a large sample of recommendations issued from 1995 through 2003 indicates that a mutual fund affiliation also...

Fundraising is one of the biggest challenges for venture capitalists in the wake of the financial crisis, causing some to argue that the venture capital model is broken? Maybe it looks that way, but actually the answer is that fundraising works differently. Indeed, this Paper shows that a...

One of the significant developments in the investing community is the rise of socially responsible or ethical investments during last two decades. Because of the increasing size and importance of ethical mutual funds, this paper seeks to evaluate and compare the performance of ethical mutual...

We study the effects of unexpected changes in the stance of monetary policy on mutual fund performance and allocation decisions over the recent period of unconventional U.S. monetary policy. Taking an agnostic approach on the transmission mechanism of monetary policy on mutual fund investing, we...

We study the links between unexpected changes in the stance of monetary policy and mutual fund performance and flows using data over the 2000–17 period. We find that monetary policy shocks, through their direct effect on asset prices, can have an impact on mutual fund returns and flow...