The mutual fund industry has experienced huge growth internationally, becoming one of the primary vehicles through which individuals and most institutions invest in capital markets. Thus, the evaluation of the performance of mutual funds has become a very interesting research topic both for...

I find that the risk correction in the Daniel et al. (1997) (DGTW) benchmarks is less than perfect. In light of the small 79bps selection skill DGTW find, a more precise risk measure is required. I use the utility based performance measure suggested by Goetzmann et al. (2007) (MPPM) and compare...

The portfolio performance evaluation involves the determination of how a managed portfolio has performed relative to some comparison benchmark. Performance evaluation methods generally fall into two categories, namely conventional and risk-adjusted methods. The most widely used conventional...

Our evidence suggest that estimation error in the required statistics is an important factor inhibiting investors' ability to rely on mean/variance analysis. We compare the returns reported by mutual funds to the returns obtained from a mean/variance optimized portfolio of fund holdings. The...

The paper builds on a simple yet novel idea that the way investors react to the recent mutual fund performance depends largely upon the long-term historical performance of that fund. In particular, I find that investors react more actively to the fund's recent performance in case of the funds...

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

This research studies mutual fund performance in three selected Asian countries — China, Singapore and Thailand — for twelve years during 2000 to 2011 to determine whether any equity mutual funds significantly outperformed, or beat the market. The study begins with direct and simple...

Most of the performance measures proposed in the financial and academic literature are subject to be gamed in an active management framework (Goetzmann et al., 2007). One of the main reasons of this drawback is due to an incomplete characterization by these measures of studied return...

We study a set of German open-end mutual funds for a time period during which this industry emerged from its infancy. In those years, the distribution channel for mutual funds was dominated by the brick-and-mortar retail networks of the large universal banks. Using monthly observations from...

This study shows that exchange-traded fund (ETF) misvaluation — based on return differentials between ETFs and their net asset values (NAV) — comove excessively across ETFs. Excess comovements are positive (negative) and significant across ETFs in similar (distant) investment styles. Further...