In this paper, a model of bounded rational investors investing their portfolio in a passive investment vehicle (e.g., an Exchange Traded Fund replicating a broad index) or an actively managed fund is presented. The model proposes that the quick reswitching of these short-term oriented investors...

We investigate the performance of the German equity mutual fund industry over 20 years (monthly data 1990-2009) using the false discovery rate (FDR) to examine both model selection and performance measurement. When using the Fama-French three factor (3F) model (with no market timing) we find at...

On the surface, hedge funds seem to have much higher fees than actively managed mutual funds. However, the true cost of active management should be measured relative to the size of the active positions taken by a fund manager. A mutual fund combines active positions with a passive position in...

From the perspective of a primarily long-term buy-and-hold investor, this study examines whether occasionally exiting the market when it appears overvalued can be justified. Accounting for continuous price movement, when the S&P 500 earnings yield minus 10-year t-bond yield is relatively low...

We examine the role of liquidity risk, both as a stock characteristic as well as systematic liquidity risk, in UK mutual fund performance for the first time. We find that on average UK mutual funds are tilted towards liquid stocks (except for small stock funds as might be expected) but that,...

An endowment fund serves as a permanent source of capital to support a specific mission. It has, in the case of a university, dual goals of providing current financial support to the university and preserving long-term purchasing power to ensure that support continues in perpetuity. This article...

Although the environmental, social, and governance (ESG) has gained increasing attention among investors, the extent to which ESG is compensated systematically in the market remains to be investigated. On the outperformance of responsible investing (RI) which incorporates ESG into investment...

We re-examine US mutual fund performance persistence. We investigate persistence (i) using both “academic” factor models and “practitioner” index models, (ii) using decile-size recursive portfolios and also portfolios formed from smaller numbers of funds, (iii) using nonparametric...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

We look at the trend of alpha generation among 18 large-cap equity mutual funds in India betweenSeptember 2010 and August 2021. Between September 2013 and December 2017, these schemes, on average, outperformed a NIFTY 50 index tracker fund (average annualised 3-year alpha of 3.22%), but since...