As conventional asset pricing models have been proven inappropriate to adequately explain hedge fund performance, this study proposes an innovative, flexible and efficient hedge fund multifactor model to explain dynamic risk and return properties of core hedge fund strategies. The proposed model...

This empirical study investigates the ability of exchange-traded funds (ETFs) to replicate the risk-return characteristics of their respective benchmarks accurately. By decomposing ex-post tracking performance, this study finds that the commonly used measure, tracking error, rarely sufficiently...

The mutual funds is one of the important classes of financial intermediaries which enables millions of small and large savers spread across the country as well as internationally to participate in and derive the benefits of the capital market growth. Thus the involvement of mutual funds in the...