This paper combines the use of portfolio holdings data and Principal Component Analysis to create synthetic fund indexes. Synthetic funds are funds portfolios which aim to duplicate a fund market in order to represent alternative benchmarks to compare the performance of investment funds. Our...

Since Markowitz (1958) and Sharpe (1966), the increasing number of criteria and performance indicators made mutual funds analysis more complex and sometimes risky. In this study we propose to identify the most relevant indicators to classify mutual funds based on their statistical properties....

In this paper we examine the impact of UCITS IV Directive on the performance of European mutual funds. In a sample of 1435 Equity funds from December 2001 to December 2013, we empirically investigate the effects of economies of scale on the relation between size and performance. Using Chen et...