The aggregate portfolio of Chinese actively managed stock mutual funds exhibits a large and significantly positive alpha. Results from bootstrap simulations indicate that most Chinese active stock mutual fund managers have skill. A substantial amount of their outperformance can be attributed to...

This is the first paper analyzing the impact of index momentum factors on the performance of international and global equity funds. Extending an international, index-based version of the Fama and French (1993) three-factor model by adding the factors of country momentum and sector momentum, we...

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....