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On management risk and price in the mutual fund industry: style and performance distribution analysis
(Palgrave Macmillan, 2021-06-01)
This study shows how investing in mutual funds involves an additional risk, which we call management risk as a consequence of the uncertainty in the results of active management. To address this issue, we analyze a sample ...
The demand for structured products: an experimental approach
(Wiley, 2014)
Guaranteed investment funds are showing an important growth in the mutual fund industry. We
analyze this type of fund’s demand using the experimental methodology. Different types of structured
guaranteed funds, with ...
Determinants of pension plan fees in Spain
(Taylor & Francis, 2009)
Pension plans and funds represent a substantial part of the welfare systems in both Europe and Spain. One of the most important factors in the choice of a plan or fund is the performance it obtains. In view of the influence ...
Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds
(Springer Verlag, 2017-06)
In this paper, we analyze the performance persistence and survivorship bias of Islamic funds. The remarkable growth of these types of ethical funds raises the question of how non-financial attributes, including beliefs and ...
Socially (ir)responsible investing? The performance of the VICEX Fund from a business cycle perspective
(Elsevier, 2016-02)
We assess the performance of the VICEX Fund, which lies at the opposite end of the spectrum to socially responsible mutual funds (SRMF). This fund is morally controversial due to its higher return premium on investments ...
Cost and performance of carbon risk in socially responsible mutual funds
(AIMS Press, 2023)
Investors and other financial actors are attracted by the role of socially responsible (SR)
mutual funds in the transition to a low-carbon economy. In response to the demand for more
information, Morningstar reported the ...
A note on market timing: Interim trading and the performance of holdings-based and return-based measures
(Eselvier, 2015)
Market timing is the ability of portfolio managers to anticipate stock market return by increasing (decreasing) portfolio sensitivity in upward (downward) markets. To assess market timing, the financial literature has ...
Investing in mutual funds: the determinants of implied and actual net cash flows
(Taylor & Francis, 2017)
Estimating the fund investors’ demand plays an important role in the mutual fund management. In this line, mutual fund demand can be measured as the total net cash flows experienced by the fund during a period. Due to a ...
Cash management and performance of index mutual funds
(Consejo Latinoamericano de Escuela de AdministraciónEmerald, 2020-10-15)
Purpose - This study aims to assess the relationship between cash management and fund performance in index fund portfolios.
Design/methodology/approach - Using a sample of 104 index mutual funds that track the Standard ...
Better Performance of Mutual Funds with Lower R2's Does Not Suggest that Active Management Pays
(now publishers, 2023-08-08)
We found a negative relation between mutual funds’ past R2 and their abnormal performance, as did Amihud and Goyenko (2013), who proposed measuring active management of mutual funds by 1−R2. The interpretation of this ...