Mutual Fund Investment: is it a panacea or a peril? The fascination about mutual fund investment has attracted many investors since its inception due to its perfect arbitration between risk and return. Till December 2013, the total investment in mutual fund industry stood at Rs. 87, 65,220...

This paper studies hedge fund performance and confirms reports of an aggregate decline over the past decade. We test whether a comprehensive set of prediction models can select subsets of individual funds that buck the trend and subsequently outperform. Seven of the predictors reliably pick...

Commodity trading advisers, (CTA), or managed futures managers' trade in the commodity market. The hedge funds invest in commodity futures, currencies, bonds and shares. Hedge funds use managed futures in terms of indices, treasuries, fixed–income securities and commodities such as gold,...

In this paper, we are using Jensen's alpha, Sharpe ratio and multi-factor models to test the performance of hedge funds for the period 1998 to 2003. Hedge fund returns exhibit a high degree of non-linearity and kurtosis. Our results suggest that for the examined period hedge funds provide...

Mutual fund managers may implement a variety of trading strategies using exchange-traded equity and equity index options. These strategies predominately include covered calls, where call options are sold against long positions, and put writes, where put options are sold against cash collateral....

We propose a new approach for estimating mutual fund performance that simultaneously controls for both factor exposure and firm characteristics. This double-adjusted alpha is motivated by the recent findings that traditional Fama-French style factor models do not fully adjust returns for the...

The purpose of this paper is to investigate to what extent mutual fund managers, as an important and representative group of professional investors, are prone to overconfidence and associated behavioural biases such as self-serving attribution. More importantly, we explore how these...

We develop a continuous-time Bayesian learning model to evaluate the composite skill of a mutual fund manager and a fund family. Our model estimates the composite skill of each fund as a function of its own performance and family performance. We show two competing effects of the family...

Which factor model do investors in corporate bonds use? We examine this question by tracking investors' decisions to invest in actively managed corporate bond mutual funds with a revealed preference approach. Our main result is that all bond factor models are dominated by the simple Sharpe...