Many sophisticated investors rely on scenario analysis to select a portfolio. These investors define prospective economic scenarios, assign probabilities to them, translate the scenarios into expected asset class returns, and select the portfolio with the highest expected return or expected...

Using UK unit trusts data, we analyse the interplay among fund performance, flow changes, portfolio characteristics and managerial replacement. We find that managers with superior performance that is due to sample variation are more likely to be dismissed than are ‘unlucky' managers indicating...