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Fund Performance and Subsequent Risk : A Study of Mutual Fund Tournaments Using Holdings-Based Measures

Meier, Iwan - 2019

The tournament hypothesis of Brown et al. (1996) posits that managers of poorly performing funds actively increase portfolio risk in the second half of the year. At the same time, it is a well-established stylized fact that stock returns and the subsequent return standard deviation are...

Persistent link: https://www.econbiz.de/10012906201

The Relation between Past Flows and Future Performance : Simple Investment Strategies in the Mutual Fund Sector

Rohleder, Martin - 2018

, bond, and money market funds and find significant outperformance in high inflow funds over several months, especially for … specific bond fund groups. In addition, I test whether this information can be exploited using simple investment strategies but …

Persistent link: https://www.econbiz.de/10012940419

Performance Analysis of Options-Based Equity Mutual Funds, Closed-End Funds, and Exchange-Traded Funds

Black, Keith - 2019

Mutual fund managers may implement a variety of trading strategies using exchange-traded equity and equity index options. These strategies predominately include covered calls, where call options are sold against long positions, and put writes, where put options are sold against cash collateral....

Persistent link: https://www.econbiz.de/10012870105

Portfolio Turnover Activity and Mutual Fund Performance

Champagne, Claudia - 2017

We propose a new measure of portfolio activity, the Modified Turnover, which represents the portion of the portfolio that the manager changes from one quarter to the next. Compared with the traditional turnover, our Modified Turnover measure relies on portfolio holdings and takes into account...

Persistent link: https://www.econbiz.de/10012970092

Limited Attention and Portfolio Choice : The Impact of Attention Allocation on Mutual Fund Performance

Gupta-Mukherjee, Swasti - 2016

This study proposes that the performance of mutual fund managers is linked to how efficiently they allocate attention across assets in their investment set. Motivated by existing models of optimal portfolio choice and rational inattention, we posit that the efficiency of attention allocation...

Persistent link: https://www.econbiz.de/10013008200

On Market Timing, Stock Picking, and Managerial Skills of Mutual Fund Managers with Manipulation-Proof Performance Measure

Qian, Meifen - 2014

The on-going debate over whether fund managers have skills and whether those skills are short-lived is still inconclusive. Using the performance measure that can't be manipulated with respect to the underlying distribution, time variation, nor estimation error, (the manipulation-proof...

Persistent link: https://www.econbiz.de/10013057175

Are Star Funds Really Shining? Cross-Trading and Performance Shifting in Mutual Fund Families

Eisele, Alexander - 2016

The majority of financial trades take place in open and highly regulated markets. As an alternative venue, large asset managers sometimes offset the trades of affiliated funds in an internal market, without relying on external facilities or supervision. In this paper, we employ institutional...

Persistent link: https://www.econbiz.de/10012984263

Mutual funds' cost persistence

Trzebiński, Artur A. - In: Financial internet quarterly 18 (2022) 2, pp. 13-20

The research aimed to check whether investment fund managers maintain costs similarly from period to period. The research verified the hypothesis that managers maintain costs in the subsequent periods at a similar level. The study used a method based on contingency tables which are used to...

Persistent link: https://www.econbiz.de/10013252655

Performance of Alternative Mutual Funds : The Average Investor's Hedge Fund

Kanuri, Srinidhi - 2015

Alternative Mutual Funds (AMFs) follow strategies similar to those of hedge funds and seek returns uncorrelated with the market. We analyze the performance of AMFs for the period January, 1998 through December, 2011 using the Carhart four-factor model and the Fung-Hsieh seven-factor model. Our...

Persistent link: https://www.econbiz.de/10013033455

The Impact of Risk and Return Perceptions on the Portfolio Reallocation Decisions of Mutual Fund Investors

Ederington, Louis H. - 2010

and return expectations, this paper explores portfolio reallocations among equity, bond, and money market mutual funds. As … strongly correlated with recent stock and bond market returns and stock and bond market uncertainty as measured by implied … volatilities. Stock market returns primarily stimulate exchanges between equity and money market funds with little impact on bond …

Persistent link: https://www.econbiz.de/10013146812