A “fund of funds (FoF)” is an investment fund that invests in other investment funds rather than investing directly in shares, bonds, or other securities. Sometimes referred to as multi-manager funds, these investment funds pose - apart from the challenges that arise for every portfolio to...

We propose a new method of testing asset pricing models that relies on using quantities rather than simply prices or returns. We use the capital flows into and out of mutual funds to infer which risk model investors use. We derive a simple test statistic that allows us to infer, from a set of...