The conditional returns series for mutual funds and the S&P 500 are analysed to test whether there is persistence in skewness. Three groups of statistical models of market volatility are estimated over the period September 1988 to April 1993 and the empirical evidence provides valuable insights...

A set of nonparametric tests which includes the convex hull method and the stochastic dominance criteria is developed here for evaluating the performance of mutual fund portfolios. The empirical results support the hypothesis that some groups of funds based on new technology tend to outperform...