Our evidence suggest that estimation error in the required statistics is an important factor inhibiting investors' ability to rely on mean/variance analysis. We compare the returns reported by mutual funds to the returns obtained from a mean/variance optimized portfolio of fund holdings. The...

This paper documents the trading behaviour of actively managed equity mutual funds from the perspective of their trading cost management. Consistent with the predictions in the literature of portfolio choice with trading costs, I present three main findings. Firstly, mutual funds trade more...

The addition of the Fama and French (2015) profitability (RMW) and investment (CMA) factors to the standard four-factor model reveals persistent positive alpha after fees for mutual funds. Over the period 2000-2014, about 65 percent of fund managers have at least some skill, and about 15 percent...

In this study we re-visit the performance of 887 active UK equity mutual funds using a new approach proposed by Angelidis, Giamouridis and Tessaromatis (2013). The authors argue that mutual funds stock selection is driven by the benchmark index, so if the benchmark generates alpha, there will be...

I use exchange traded funds to construct low cost benchmarks for actively managed mutual funds. The benchmarks can be identified in advance, require no leverage or shorting, and require only annual rebalancing. The average fund underperforms its benchmark by 1% per year after expenses, a...

This paper aims to analyze and develop systematic methods to construct funds of funds (FOF) products investing in Chinese hedge funds, with low risk, high return and high Sharpe Ratio, or other ideal characteristics required by investors. Using performance data of more than 600 hedge funds, we...

Is alpha a property of the hedge fund or the individual hedge fund manager? By means of panel regressions on a novel data set, identifying the work histories of individual hedge fund managers, I show that there exist significant managerial fixed effects in abnormal returns. A change in a hedge...

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

This study shows that the representative investor's sophistication in the market for mutual funds is time-varying, and increases with the constraints on household disposable income at the aggregate level. Based on the fact that energy commodities are largely inelastic household expenditures that...

In this paper we examine the impact of UCITS IV Directive on the performance of European mutual funds. In a sample of 1435 Equity funds from December 2001 to December 2013, we empirically investigate the effects of economies of scale on the relation between size and performance. Using Chen et...