In this paper, we study the potential relationship between mutual fund size and performance in a general framework. We sequentially test for a linear and a quadratic relationship using several traditional performance measures as well as a new measure based on multi-factor models. We find...

This paper compares returns of ETFs holding physical commodities and ETFs holding derivative products to their respective spot commodity returns to identify significant performance differences based on the ETF assets. We regress ETF returns on spot commodity returns to estimate beta and R2...

This is a survey article. In it we review the modern literature on the characteristics and performance of mutual funds. Key articles on open end stock and bond funds, closed end funds and exchange traded funds are reviewed. Topics range from measuring and predicting performance to explaining...

We study the performance of actively managed US equity mutual funds using traditional models and, as in previous studies, find that they perform negatively. At the same time, we note that the investments in mutual funds increase each year. It thus doesn't seem realistic to admit that mutual fund...

We examine performance shift and managerial effort substitution for the practice of multi-tasking in the mutual fund industry. Using the pairing of newly issued and incumbent funds under concurrent management, we show that fund managers shift performance from incumbent funds to newly issued...

We examine the performance of passively managed exchange-traded funds (ETFs) that provide exposure to global emerging markets equities. We find that the tracking errors of these funds are substantially higher than previously reported levels for developed markets ETFs. ETFs that use statistical...

The paper revisits the issue of robustness of fund performance by evaluating European large-cap equity funds. For this fund category traditional market risk factor adjusted performance measures are expected to be fairly robust. However, for the sample of 65 European large-cap mutual equity...

This paper examines the performance and persistence in performance of style-consistent European equity mutual funds between 1988 and 2010. Using a large survivorship bias-free sample for six European countries, we document strong evidence of persistence in benchmark-adjusted returns over 1-year...

We examine the sensitivity of estimates of abnormal performance to models that vary in the degree to which they explicitly control for variation in the regional and emerging market allocations of diversified international mutual funds. Models based on the most commonly used global MSCI...

This paper examines the compliance of a large sample of faith-based ethical funds – Shari'ah equity funds (SEFs). SEFs screen their investment for compliance with Islamic law, where riba (conventional interest expense), maysir (gambling), gharar (excessive uncertainty), and non-halal...