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Fund Flows and Asset Valuations of Bond Mutual Funds : Effect of Side-by-Side Management

Koo, Minjae; Muslu, Volkan - 2023

We compare fund flows and asset valuations of bond mutual funds whose managers concurrently manage portfolios with … performance-based fees and those whose managers do not. We find that bond mutual funds whose managers concurrently manage …

Persistent link: https://www.econbiz.de/10014362051

Return distributions of equity-linked retirement plans

Detering, Nils; Weber, Andreas; Wystup, Uwe - 2010

We have compared the performance of savings plans within the class of difference capital guarantee mechanisms: from the stop loss to classic investments in actuarial reserve funds. CPPI strategies with different leverage factors can be viewed as a compromises between these two extremes. In...

Persistent link: https://www.econbiz.de/10008798351

Aktives Rentenportfoliomanagement : eine vergleichende Analyse von Publikumsfonds und Fixed-income-arbitrage-Hedgefonds

Tetzlaff, Marc - 2009

Persistent link: https://www.econbiz.de/10013438319

The Performance of Corporate-Bond Mutual Funds : Evidence Based on Security-Level Holdings

Cici, Gjergji - 2010

This is the first study of corporate-bond mutual fund performance that examines detailed security-level holdings and … equity funds that shows evidence of stock-selection ability, we do not find evidence consistent with bond fund managers, on … weakly positive evidence of ability to time corporate bond characteristics. Overall results show that the costs of active …

Persistent link: https://www.econbiz.de/10013135920

The Performance of Corporate-Bond Mutual Funds : Evidence Based on Security-Level Holdings

Cici, Gjergji - 2020

Persistent link: https://www.econbiz.de/10012857586

New Perspectives on the Fund Flow-Performance Relationship

Paek, Miyoun - 2015

This study compares a measure of market-share changes with net flows to revisit the fund flow-performance relationship from the viewpoint of the heteroscedasticity of fund flows. We decompose market-share changes (net flows) into inflow and outflow shares and other parts (inflow and outflow) to...

Persistent link: https://www.econbiz.de/10013019297

Does the Use of Downside Risk-Adjusted Measures Impact the Performance of UK Investment Trusts?

Adcock, Christopher J. - 2015

This paper investigates the impact of using different risk-adjusted measures of performance on the evaluation of UK investment trusts. Significant negative skewness is probably the most important empirical property of the time series of returns under analysis. Performance results based on the...

Persistent link: https://www.econbiz.de/10013038629

Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity

Dubrana, Ludovic - 2011

Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...

Persistent link: https://www.econbiz.de/10013118101

The Effect of the Business Cycle on the Performance of Socially Responsible Equity Mutual Funds

Roofe, Andrea - 2011

The paper applies a two-state switching regression to examine the behavior of a hypothetical portfolio of ten socially responsible equity mutual funds during the expansion and contraction phases of US business cycles between April 1991 and June 2009, based on the Carhart four-factor model, using...

Persistent link: https://www.econbiz.de/10013130581

Closed-End Fund Discounts and Expected Investment Performance

Ferguson, Robert - 2013

This article provides empirical support for the theory that closed-end fund discounts reflect expected investment performance. Evidence is presented to explain how equity closed-end fund initial public offerings (IPOs) can sell at a premium when existing funds sell at a discount and why the...

Persistent link: https://www.econbiz.de/10013074869