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When active fund managers deviate from their peers : implications for fund performance

Gupta-Mukherjee, Swasti - In: Journal of banking & finance 37 (2013) 4, pp. 1286-1305

Persistent link: https://www.econbiz.de/10009719787

Mutual fund styles and clientele-specific performance evaluation

Chrétien, Stéphane; Kammoun, Manel - In: International journal of economics and finance 11 (2019) 12, pp. 89-116

Persistent link: https://www.econbiz.de/10012197505

Spanning tests for assets with option-like payoffs : the case of hedge funds

Karehnke, Paul; Roon, Frans de - In: Management science : journal of the Institute for … 66 (2020) 12, pp. 5969-5989

Persistent link: https://www.econbiz.de/10012391489

Mutual Fund Selection : From Theory to Practice

Levy, Moshe; Roll, Richard - 2024

“The title of the book by Moshe Levy and Richard Roll is very apt indeed: Mutual Fund Selection: From Theory to … previous theory and offers a new approach for those concerned with future performance. I found the book to be excellent and … finance at the Hebrew University Business School. His research interests include portfolio theory, decision-making under …

Persistent link: https://www.econbiz.de/10015072141

Look-ahead benchmark bias in portfolio performance evaluation

Daniel, Gilles; Sornette, Didier; Wöhrmann, Peter - In: The journal of portfolio management : a publication of … 36 (2009/10) 1, pp. 121-130

Persistent link: https://www.econbiz.de/10003909602

Does trading by ETF and mutual fund investors hurt performance? : evidence from time- and dollar-weighted returns

Madhavan, Ananth Narayan; Sobczyk, Aleksander - In: Journal of investment management : JOIM 17 (2019) 3, pp. 4-20

Persistent link: https://www.econbiz.de/10012111002

The outperformance probability of mutual funds

Frahm, Gabriel; Huber, Ferdinand - In: Journal of risk and financial management : JRFM 12 (2019) 3/108, pp. 1-29

We propose the outperformance probability as a new performance measure, which can be used in order to compare a strategy with a specified benchmark, and develop the basic statistical properties of its maximum-likelihood estimator in a Brownian-motion framework. The given results are used to...

Persistent link: https://www.econbiz.de/10012025291

Explaining hedge fund investment styles by loss aversion

Siegmann, Adriaan Hendrik; Lucas, André - 2002 - This version: May 7, 2002

Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...

Persistent link: https://www.econbiz.de/10011326964

Do mutual fund managers' possess style liquidity timing abilities?

Alam, Mahfooz; Ansari, Valeed Ahmad - In: International journal of emerging markets 17 (2022) 3, pp. 747-765

Persistent link: https://www.econbiz.de/10012886425

Performance chasing, fund flows and fund size in real estate mutual funds

Chou, Wen-hsiu; Hardin, William G. - In: The journal of real estate finance and economics 49 (2014) 3, pp. 379-412

Persistent link: https://www.econbiz.de/10010422289