Berk and Green (2004) have made a strong theoretical argument for why past performance should not predict future performance. There are two possible economic explanations that are consistent with their model: increasing expenses or increase in size following good performance along with...

Despite the size and importance of separately managed accounts and collective investment trusts, their characteristics and performance have not been previously studied in the financial economics literature. In this paper, we show that, using the Fama-French-Carhart 4-factor model, on average...

This is a survey article. In it we review the modern literature on the characteristics and performance of mutual funds. Key articles on open end stock and bond funds, closed end funds and exchange traded funds are reviewed. Topics range from measuring and predicting performance to explaining...

In this paper we use data on the monthly holdings for a set of mutual funds to study the timing ability of these funds. These data differ from holdings data used in previous studies in that our holdings data have a higher frequency and include a full range of securities (e.g., options, bonds and...

To implement mean variance analysis one needs a technique for forecasting correlation coefficients. In this article we investigate the ability of several techniques to forecast correlation coefficients between securities. We find that separately forecasting the average level of pair-wise...

Many investors confine their mutual fund holdings to a single fund family, either for simplicity or through restrictions placed by their retirement savings plan. We find evidence that mutual fund returns are more closely correlated within than between fund families. As a result, restricting...

Financial theory is often based on the belief that the actions of rational investors determine prices, which leads to the elimination of dominated financial instruments. Recently a series of articles have been published which question the rationality of investor behavior. Standard and Poor's 500...

The valuation of corporate debt is an important issue in asset pricing. While there has been an enormous amount of theoretical modeling of corporate bond prices, there has been relatively little empirical testing of these models. Recently there has been extensive development of rating based...

Many financial institutions employ outside portfolio managers to manage part or all of their inevitable assets. The purpose of this article is to set up a structure that leads to the optimum portfolio from the viewpoint of the centralized decision maker when there are multiple managers and their...