We investigate the performance of the German equity mutual fund industry over 20 years (monthly data 1990-2009) using the false discovery rate (FDR) to examine both model selection and performance measurement. When using the Fama-French three factor (3F) model (with no market timing) we find at...

This paper surveys and critically evaluates the literature on the role of management effects and fund characteristics in mutual fund performance. First, a brief overview of performance measures is provided. Second, empirical findings on the predictive power of fund characteristics in explaining...

The UK's defined benefit pensions industry makes widespread use of pooled investment vehicles which are provided by a large number of fund management groups. In this paper we provide the first comprehensive performance analysis of these funds. Using data on 734 pooled funds, that had a combined...

We re-examine performance persistence amongst UK mutual funds. Specifically, we investigate performance persistence among small portfolios of past high-performing funds. In contrast to the more common analysis of decile portfolios of funds, we focus on persistence in the more extreme positive...

We re-examine US mutual fund performance persistence. We investigate persistence (i) using both “academic” factor models and “practitioner” index models, (ii) using decile-size recursive portfolios and also portfolios formed from smaller numbers of funds, (iii) using nonparametric...