This paper examines the effect of regulatory constraints on fund performance and risk by comparing conventional and UCITS hedge funds. Using a matching estimator approach, we estimate the indirect cost of UCITS regulation to be between 1.06% and 4.05% per annum in terms of risk-adjusted returns....

Mutual fund returns are significantly related to stock characteristics in the cross section after controlling for risk via factor models. We develop a new double-adjusted approach that controls for both factor-model betas and stock characteristics in one performance measure. The new measure...

This research studies mutual fund performance in three selected Asian countries — China, Singapore and Thailand — for twelve years during 2000 to 2011 to determine whether any equity mutual funds significantly outperformed, or beat the market. The study begins with direct and simple...

Our paper focuses on mutual fund characteristics associated with periods of extreme performance. We find funds with either positive (hot-hand) or negative (icy-hand) persistence tend to have portfolio similarities consistent with riskier positions: compared to no-streak funds they hold less...

Two recent augmentations of standard factor models in the literature enable investors to compute benchmark-adjusted alphas (Angelidis et al., 2013) and peer-group adjusted alphas (Hunter et al., 2015). We show that by and large the funds placed in the top performance quartile using either one of...

This paper examines the effect of regulatory constraints on fund performance and risk by comparing conventional and UCITS hedge funds. Using a matching estimator approach, we estimate the indirect cost of UCITS regulation to be between 1.06% and 4.05% per annum in terms of risk-adjusted returns....

In contrast with theoretical predictions, high-fee active equity funds generate worse net-of-expenses performance. We show that this fee-performance puzzle is driven by the preference of high-fee funds for stocks with low operating profitability and high investment rates, characteristics...

We propose a new approach for estimating mutual fund performance that simultaneously controls for both factor exposure and firm characteristics. This double-adjusted alpha is motivated by the recent findings that traditional Fama-French style factor models do not fully adjust returns for the...

This article reports a study on the performance of mutual equity funds in Brazil from January 2002 to August 2012. For the analyses, Carhart's four-factor model is used as the benchmark for performance, and bootstrap procedures are applied to separate skill from luck. The results show that...

This study examines the phenomenon of performance persistence of equity funds in Hungary in two time perspectives: 1-year and 6-month perspectives. The empirical results confirm the occurrence of performance dependence in consecutive periods. There is also a strong evidence of short-term...