In this study we re-visit the performance of 887 active UK equity mutual funds using a new approach proposed by Angelidis, Giamouridis and Tessaromatis (2013). The authors argue that mutual funds stock selection is driven by the benchmark index, so if the benchmark generates alpha, there will be...

Utilizing monthly aggregate flow data for U.S. equity mutual funds over 1986-2008, we document several new findings on investor behavior. First, we find a strong negative relationship between changes in expected market volatility as measured by the VIX index and net equity fund flows. Second, we...

Purpose: The purpose of this paper is to examine the performance of Greek equity mutual funds for the period 2012-2016, analyzing further selectivity and market timing ability, and short-term performance persistence for the period 2015-2016. Design/methodology/approach: Utilizing a survivorship...

This paper represents the first specific attempt in the literature to examine the relationship between active share and emerging market equity fund performance. Using a sample of U.S. based diversified emerging market equity funds whose prospectus benchmark is the MSCI emerging market equity...

We propose a portfolio holdings-based method for evaluating global equity funds that decomposes excess returns versus benchmark indices into contributions from six equity and three currency ‘style factors', and alpha. The method is used to characterize sources of performance for institutional...

This study introduces an innovative approach to measuring the “style-shifting activity” (SSA) of mutual funds using daily returns. Applying our new measure to a comprehensive sample of 2631 active US equity mutual funds, we show (i) that SSA predicts future performance, especially for...

Actively managed Swedish equity mutual funds outperform the market in 1993‐2001 but have negative gross and net excess returns of ‐0.18 and ‐1.47 per cent per year in 2002‐2013. Across funds, there is no correlation between activism and return in the later period. Returns show little or...

The potential relationship between fund flows and performance is a remarkable topic in the mutual fund industry that has been explored by many empirical academic papers. In this work, it is shown that investors in Spanish equity funds respond to past good performance by increasing their (net)...

We use portfolio holdings data to examine the performance of 143 global equity funds over the period 2002 to 2012. We find that the average global equity manager outperforms their benchmark by 1.2% to 1.4% per annum before fees. Attribution analysis reveals that the prime source of excess return...

Industry performance is a key component of the top-down approach to investment management. The recent boom in the stock prices of mining companies in Australia affords an opportunity to examine whether equity funds are able to capture industry outperformance. Funds with a higher exposure to the...