Time-Series Momentum and Mutual Fund Performance
Momentum Mutual Fund ICC Limited
... from time to time to give such instructions, (Trade Instructions shall include purchase, redemption and switch instructions) provided subsequent to this Application by the ...of Momentum ...
6
Time-series momentum: Is it there?
... the performance of the TSM strategy in four ...the performance of an alternative trading strategy that does not require ...times series history (TSH) strategy that buys assets if their historical ...
51
Do mutual funds time market liquidity? A study on US mutual fund performance
... in mutual fund’s performance ...post performance of a managed portfolio to the market ...managers’ performance by identifying and separating gains from market timing skills and security ...
91
European Mutual Fund Performance
... European mutual fund markets together account for less than half of the US mutual fund market, the European number of funds exceeds the US number of ...European mutual fund is ...
27
Essays on Mutual Fund Performance
... as time goes ...outperforming fund today will outperform ...loser fund is likely to repeat its behavior in the next ...loser fund is not likely to be a winner or loser ...previous ...
167
Time series momentum: theory and practice
... Subsequent performance has been below long term ...the time series behaviour of the markets traded by CTAs during these crisis ...strong time series predictability prevalent in ...
196
Performance of Mutual Funds and Mutual Fund Manager in Pakistan
... sponsored mutual funds for detail ...can time their speculations in the market conditions, and has critical planning ...that mutual fund managers have huge market timing capacity and ...
9
REIT Momentum and the Performance of Real Estate Mutual Funds
... examined momentum in REIT portfolio returns by studying all ...Data Series over the period January 1980–September ...four-factor performance attribution models, and we performed a GRS (Gibbons, Ross, ...
12
MUTUAL FUND PERFORMANCE: A STUDY ON THE EFFECT OF PORTFOLIO TURNOVER ON MUTUAL FUND PERFORMANCE IN THE INDIAN FINANCIAL MARKET
... Fixed effect and Random effect are regression models used to analyze the impact of variables that vary over time. Fixed effect model, primarily, deals with establishing a relationship between two variables within ...
11
Mutual fund performance: Measurement and evidence
... when time-1 fund return is low the manager is likely to switch strategies and this decreases the predictive power of past returns for future returns - hence the model predicts poor performance has ...
87
Mutual fund performance and management location
... for performance persistence We also examine whether location has an impact on the performance persistence of any two sets of ...sorted fund returns over the previous time ...adjusted ...
29
Family status and mutual fund performance
... examining performance persistence using the recursive portfolio formation technique (Hendricks, Patel, and Zeckhauser (1993), Carhart ...funds’ performance over some past ranking period and evaluating how ...
23
Mutual fund performance: Measurement and evidence
... when time-1 fund return is low the manager is likely to switch strategies and this decreases the predictive power of past returns for future returns - hence the model predicts poor performance has ...
87
Family status and mutual fund performance
... A mutual fund family is a group of funds that are managed by the same fund management ...US mutual funds belong to a family. They argue that being part of a fund family conveys certain ...
34
Active Management and Mutual Fund Performance
... the performance: the worst funds exhibit negative skewness; in D5 and D6 with abnormal performance close to zero the skewness is practically zero and for the best funds, the skewness is ...each ...
38
Revisiting Mutual Fund Performance Evaluation
... that mutual funds and their self- designated benchmarks often exhibit significantly different risk exposures on ...of mutual funds for which we know that by construction factor exposures are very close to ...
49
Mutual fund ratings and future performance
... a fund that would outperform regardless of its rating at the time of the ...5-star fund instead of a 1-star fund, since 1-star funds posted the highest probability of outperformance relative ...
12
Revisiting Mutual Fund Performance Evaluation
... that mutual funds and their self- designated benchmarks often exhibit significantly different risk exposures on ...of mutual funds for which we know that by construction factor exposures are very close to ...
49
Performance and incentives In mutual fund industry
... the mutual funds on one hand and portfolio choice made by fund managers on the ...Additionally, mutual fund flows reflect investor’s decisions given their information ...Because mutual ...
145
Evaluating Danish Mutual Fund Performance
... A fascinating aspect of the earlier mutual fund research was the simultaneous de- velopment of performance evaluation methods. Today, however, there is general agreement that the Jensen measure ...
27