There is now extensive empirical evidence showing that fund managers have relative performance objectives and adapt their investment strategy in the last part of the calendar year to their performance in the early part of the year. However, emphasis was put on returns in excess of some exogenous...

We use proprietary data to examine factors that lead hedge fund managers to offer hurdle rates and investigate relative hedge fund performance based on risk adjusted returns. Using data from 3,571 hedge funds over a 15 year period, we find that funds that do not offer a hurdle rate outperform...

Using a comprehensive dataset of Finnish males, we study IQ's influence on mutual fund choice. High-IQ investors are less likely to own categories of funds that tend to charge higher fees — including balanced funds, actively managed funds, and funds marketed through a retail network. Moreover,...

Whereas risk tolerance is an important parameter of financial intermediation in markets for mutual funds, formal theoretical predictions show funds managers' choices of portfolio risk tolerances can be induced in entirety by wealth considerations. An important implication of this finding is the...

This study provides formal theoretical evidence that constructions of fund alpha that are implemented using robust specifications of asset pricing models generate alpha estimates that are well defined. Regardless, the formal theoretical model shows fund alphas that are constructed with the...

We survey more than 200 private equity (PE) managers from firms with $1.9 trillion of assets under management (AUM) about their portfolio performance, decision-making and activities during the COVID-19 pandemic. Given that PE managers have significant incentives to maximize value, their actions...

Suppose funds managers are differentiated by intrinsic or innate ability at some origin point in time. Using formal theoretical propositions, and with risk continuously increasing, the continuum of assets available to funds managers is endogenously segmented into continuums of `safe', and...

Current practice and research in portfolio asset allocation employs necessary assumptions about which securities and asset classes are held in particular proportions in order to arrive at an “optimal” mix of investments. These studies typically employ the average performance in the input...

This research investigates the relationship between mutual funds investment style consistency, the future funds performance, and funds net flow. Using a large sample of actively-managed U.S. equity mutual funds from Morningstar database, for the period from January 2002 to December 2011, 5555...

We show that mutual fund ratings generate correlated demand that creates systematic price fluctuations. Mutual fund investors chase fund performance via Morningstar ratings. Until June 2002, funds pursuing the same investment style had highly correlated ratings. Therefore, rating-chasing...