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...

This paper examines the performance of 358 European diversified equity mutual funds controlling for gender differences. Fund performance is evaluated against funds' designated market indices and representative style portfolios. Consistently with previous studies, no significant differences in...

Mutual fund manager excess performance should be measured relative to their self-reported benchmark rather than the return of a passive portfolio with the same risk characteristics. Ignoring the self-reported benchmark results in different measurement of stock selection and timing components of...

I find that the risk correction in the Daniel et al. (1997) (DGTW) benchmarks is less than perfect. In light of the small 79bps selection skill DGTW find, a more precise risk measure is required. I use the utility based performance measure suggested by Goetzmann et al. (2007) (MPPM) and compare...

This study attempts to test the performance persistence hypothesis for Commodity Trading Advisors (CTAs) considering the impact of incubation and backfill bias. From the empirical test using Fama-MacBeth regression and quintile analysis, we suggest a robust result that ranking CTAs using the...

Most of the performance measures proposed in the financial and academic literature are subject to be gamed in an active management framework (Goetzmann et al., 2007). One of the main reasons of this drawback is due to an incomplete characterization by these measures of studied return...

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

We examine a sample of U.S. mutual funds and find that, between 2003 and 2018, 28 funds have changed their name to a sustainability-related appellation. Following the name change, we observe three main outcomes: (i) an increase in fund flows, (ii) a significant rise in portfolio turnover, and...

Leveraged and inverse exchange-traded funds seek daily returns equal to fixed multiples of indexes' returns. Trading costs implied by frequent adjustments of funds' portfolios create a tension between tracking error, reflecting short-term correlation with the index, and excess return, the...

Recent studies link mutual fund performance to measures of active management, and this evidence often takes the form of large spreads in unconditional alphas for characteristic-sorted portfolios. Unconditional benchmarks can, however, produce misleading inferences on managerial skill for...