This study examines the performance of an extensive sample of French mutual funds investing nationally over the period 1990-2020, in our analysis we consider market synchronization abilities and stock selection capabilities of French managers. We use traditional performance measures and other...

The literature provides broad evidence for the seasonality of stock market returns, but is very scarce regarding the potential seasonality of investment funds performance. Using a sample of 5349 Equity Europe or Equity Eurozone investment funds, this article contributes to fill this gap by...

Multifactor funds, which offer factor diversification neatly packaged in one product, have a rather short but poor track record; these funds have largely underperformed widely-available broad market funds. This article evaluates the performance of multifactor funds relative to two homemade factor...

We find that active global mutual funds in the U.S. can use foreign information to select U.S. multinationals’ stocks. To invest internationally, these funds collect information from the foreign countries where they invest. Such foreign information helps funds invest in U.S. multinationals...

Using data from Morningstar, we analyze holdings turnover and its relationship to gross returns within the main equity categories of actively-managed US-domiciled mutual funds from 1991 to 2020.We find turnover to be highly positive skewed and also highly persistent across years. However, we...

We look at the trend of alpha generation among 18 large-cap equity mutual funds in India betweenSeptember 2010 and August 2021. Between September 2013 and December 2017, these schemes, on average, outperformed a NIFTY 50 index tracker fund (average annualised 3-year alpha of 3.22%), but since...

Hedge funds go beyond their statements on the transaction purpose in the beneficial ownership report Schedule 13 D by stating their activism objectives additionally in a letter to the CEO or board in more than one of ten activism events. Reactance theory indicates that the separate communication...

Robo-advisers enable investors to establish an automated rebalancing strategy for a portfolio usually consisting of stocks and bonds. Since households’ portfolios additionally include further frequently tradable assets like real estate funds, articles of great value and cash(-equivalents), we...

Strategies that overweight low beta stocks and underweight high beta stocks earn positive alphas. Price noise is known to affect high beta stocks, hence, noise trading can be expected to significantly affect the performance of these strategies. I study the impact of flows between bond and equity...

We propose a new approach for measuring mutual fund style and constructing characteristic-matched performance benchmarks that requires only portfolio holdings and two reference portfolios in each style dimension. The characteristic-matched performance benchmark literature typically follows a...