[PDF] Top 20 An arbitrage rationale for tests of mutual fund performance

... This reworking of Jensen's study in order to assess the funds' performances from an arbitrage standpoint, has produced substantially the same results: fund returns net of management expe[r] ... See full document

... To this end, our next tests examine the extent of window dressing among active funds and its impact on subsequent performance more directly. Specifically, each quarter we rank all funds by the extent of ... See full document

... To look at the story from a different angle and, as far as we know, in a way that has not been considered before in the literature, the final two columns in Table 2 present results that allow us to make our ‘market ... See full document

... funds. Tests of the performance of active mutual funds are important for investors choosing between active and index funds and for the broader question of the validity of the EMH, given that the ... See full document

... For this study purpose, the data that is used is completely secondary data taken from the software ACEMF. The study considers 27 diversified open ended equity mutual fund schemes with growth option. The ... See full document

... explain fund performance, risk and fees. He runs simultaneous tests to avoid bias exhibited by other studies that do not take into account the ...the fund, years of education, whether or not ... See full document

... ex-post performance of funds in the extreme ...individual fund alphas when incorporating extraneous data on returns on seemingly unrelated passive assets 71 ...with fund holdings, so incorporating a ... See full document

... The study is about plethora of schemes provides variety of options to suit the individual objectives whatever their age, financial position, risk tolerance and return expectations. The study initially tests ... See full document

... that fund managers are motivated by relative performance incentives raises e¢ ciency ...a rationale for relative perfor- mance evaluation (Holmström [9] and Mookherjee ...the mutual ... See full document

... the performance of the open ended, growth oriented , equity diversified schemes on the basis of return and risk ...financial tests lik e Average Return, Standard Deviation, Beta, Coefficient of ... See full document

... ABSTRACT: Mutual Fund refers to trust which pools the savings of a large number of investors who share a common financial ...the performance of selective open ended equity diversified Mutual ... See full document

... growth mutual funds schemes of both public sector and private sector schemes during the period 1st April 2000 to 31st March 2010 to evaluate their ...the performance of the four equity funds during the ... See full document

... good performance than those not in families, given the strategy of the family to promote only a few of their ...the performance of their funds, since ‘in order to act along these lines, the family needs to ... See full document

... equity mutual funds have been considered for the purpose of the ...equity mutual funds allocate their assets in different proportions among equity and equity related mutual instruments, debt and debt ... See full document

... Reference [6] studied how mutual fund performance related to their past performance. They tested by analyzing a multiple portfolio benchmark, and formed on the basis of securities ... See full document

... future fund performance is voluminous, yet attempting to give a brief yet balanced summary of ex-ante predictability across US and UK studies is ...alternative fund portfolios - even before taking ... See full document

... Mutual fund is an instrument for pooling the assets by issuing units to the financial specialists and putting reserves in securities as per targets as unveiled in offer ... See full document

... that fund size is insignificantly related to performance in the sample of interna- tional ...funds, fund size is also insignificantly related to ...domestic fund are too big is not supported ... See full document

... Permanent repository link: http://openaccess.city.ac.uk/13774/ Link to published version: http://dx.doi.org/10.1016/j.irfa.2016.01.016 Copyright and reuse: City Research Online aims to m[r] ... See full document

... UK fund manager changes over the period from 1997 to 2011, we examine the impact of such changes on fund ...benchmark-adjusted performance of UK mutual ...exit performance is ... See full document