Recent literature indicates that a liquidity investment style – the process of investing in relatively less liquid stocks within the liquid universe of publicly traded stocks – has led to excess returns relative to size and value. While previously documented at the security level, we examine...

We show the number of stocks contributing to the overall performance of an actively managed mutual fund is related to the persistency of the fund performance. Among the funds that have similar risk-adjusted returns, the funds that rely on a few high return stocks underperform the funds that hold...

Target-Date Funds (TDFs) facilitate retirement planning by varying asset allocation over time with the goal of reducing portfolio risk. We explore potential agency problems in TDFs by examining their return performance and flow-performance relation. We find that TDFs under-perform balanced funds...

Bond funds report both a distribution yield and a SEC yield, which are roughly analogous to the current yield and yield to maturity on an individual bond. We analyze the quarterly yields reported by municipal bond funds from September 1993 to September 2009. Despite substantial variation in the...

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...

The objective of this paper is to show similarities or differences of funds' performance according to their domiciliation. Based on performance-risk approach, it seems to be a little evidence of differences between groups of domicile using a classical descriptive analysis. In order to improve...

Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...

There is growing consensus that Target Date Funds (TDFs) represent a "better" solution for retirement investing than traditional strategic portfolios like a 60/40 equities/bonds. While much marketing material hints at the fact that TDFs may provide a "safer" or "less risky" solution for...

This paper compares returns of ETFs holding physical commodities and ETFs holding derivative products to their respective spot commodity returns to identify significant performance differences based on the ETF assets. We regress ETF returns on spot commodity returns to estimate beta and R2...

This study investigates the contribution of star funds to fund families in the Korean fund market. We find that star fund families that feature either star funds or higher relative holdings of star funds attract more new investment than non-star fund families. Our test shows the existence of a...