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DEA Performance Assessment of Mutual Funds
2016The objectives of this paper are manyfold. First we present a comprehensive review of the literature of DEA models for the performance assessment of mutual funds. Then we discuss the problem of the presence of negative returns in DEA modeling for mutual funds and we identify a DEA model that is financially justified and tackles the issue of negative ...
BASSO, Antonella, FUNARI, Stefania
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Mutual Fund Performance and Fund Age
SSRN Electronic Journal, 2002This paper explores the relationship between mutual fund performance and age of fund. We analyze a sample of long-established mutual funds; comparing raw returns, objective adjusted, and market adjusted returns at different age progressions. Through statistical analysis, we find there is no significant relationship between fund age and raw returns as ...
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Performance and characteristics of mutual fund starts
The European Journal of Finance, 2008We study the performance and portfolio characteristics of 828 newly launched U.S. equity mutual funds over the time period 1991-2005. These fund starts initially earn, on average, higher excess returns and higher abnormal returns. Their risk-adjusted performance is also superior to existing funds.
Aymen Karoui, Iwan Meier
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The Beta Anomaly and Mutual Fund Performance
Management Science, 2018We find evidence for the beta anomaly in mutual fund performance. This anomaly is not accounted for in the standard four-factor framework, nor by the addition of a betting-against-beta factor to the benchmark model. We identify the active component of alpha (active alpha) not attributable to the passive effects related to beta.
Paul Irvine +2 more
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Portfolio Overlap and Mutual Fund Performance.
SSRN Electronic JournalThis paper investigates the cross-sectional distribution of performance among actively managed equity mutual funds and highlights a novel investment characteristic of successful funds based on the degree to which their holdings do not overlap with those of other funds.
Ciciretti, Rocco +2 more
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Timid performance fees in mutual funds
Journal of Asset Management, 2017el articulo estudia las repercusiones en captación de fondos y en medidas de rentabilidad de la estructura de comisiones de exito vigente en España desde el año ...
Corzo Santamaría, María Teresa +2 more
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2016
Net return of the average mutual fund in most countries and periods is below benchmark. Any fund manager skill is offset by fund expenses and fees. At best, outperformance by mutual funds occurs at the margins and in specialist applications Incentives for fund managers and other investment analysts are weakly directed towards maximising fund ...
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Net return of the average mutual fund in most countries and periods is below benchmark. Any fund manager skill is offset by fund expenses and fees. At best, outperformance by mutual funds occurs at the margins and in specialist applications Incentives for fund managers and other investment analysts are weakly directed towards maximising fund ...
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Herd Behavior and Mutual Fund Performance
Management Science, 2017I develop fund-level measures of the similarity in trading of mutual fund managers, resulting in the identification of leaders, contemporaneously herding managers, and followers. I find evidence of a persistent group of funds whose trades lead the aggregate trades of the mutual fund industry; these leader funds exhibit strong subsequent performance ...
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The persistence of European mutual fund performance
Research in International Business and Finance, 2012This 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 time periods as well as over longer periods.
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