investor groups contribute to the negative performance externality from large outflows. Investment funds, as holders of mutual …-sophisticated ones, are the main receivers. These differences are due to investment funds reacting more strongly on past performance and …

Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen’s alpha, based on … the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by …-Fisher expansion and on the extreme value theory. Moreover, we construct a performance index similar to the Sharpe ratio using these …

adds a third criterion to the wealth maximization process, namely social performance, in addition to the conventional risk … the psychic benefit of investing in companies with a high social performance rating. The benefit of the social performance … performance rating. The research suggests that the SRI investor may exhibit a risk profile unlike that of the traditional investor …

portfolio risk. We explore potential agency problems in TDFs by examining their return performance and flow-performance relation …) plans with automatic enrollment. We show that the under-performance is driven by TDFs that have a fund-of-fund structure and … constituent funds with high expense ratios or poor performance within the fund family. Additionally, we discover an absence of …

Since Markowitz (1958) and Sharpe (1966), the increasing number of criteria and performance indicators made mutual … classify mutual funds based on their statistical properties. This study focuses on 15 indicators of performance relative to 210 … periods (short-term, medium and long term) and those three dimensions on the performance analysis and mutual funds ranking …

outperformance of the mutual funds that held less liquid stocks was primarily due to superior performance in down markets, especially …

We show the number of stocks contributing to the overall performance of an actively managed mutual fund is related to … the persistency of the fund performance. Among the funds that have similar risk-adjusted returns, the funds that rely on a …

portfolio risk. We explore potential agency problems in TDFs by examining their return performance and flow-performance relation …) plans with automatic enrollment. We show that the under-performance is driven by TDFs that have a fund-of-fund structure and … constituent funds with high expense ratios or poor performance within the fund family. Additionally, we discover an absence of …