We introduce a simple yet powerful method for enhancing mutual fund performance prediction by combining individual predictors into a composite predictor. This composite approach integrates information from 19 well-established return-based and portfolio holdings-based predictors from the...

The Recovery and Resilience Facility (RRF), which was adopted to support economic recovery from the COVID-19 crisis, represents the first large-scale EU-wide investment initiative, including decarbonisation goals. Yet temporary RRF spending will not be sufficient to meet the climate targets in...

This study examines the performance dynamics of U.S. options exchange-traded funds (ETFs), whose investment strategy involves options contracts. Analyzing monthly returns data from February 2014 to April 2023, we evaluate the risk-adjusted performance, volatility, and market sensitivity of U.S....

This paper assesses the environmental performance of sustainability-related investment funds compared to conventional ones across three dimensions: financed activities, portfolio carbon footprint, and investment in firms with ambitious science-based targets. We identify ESG funds using...

We explore whether investment funds transmit spillovers from local shocks to financial markets in other economies. As a laboratory we consider shocks to financialmarket beliefs about the probability of a rare, euro-related disaster and their spillovers to Asian sovereign debt markets. Given...

This paper examines the determinants of investor flows into U.S. corporate bond mutual funds, with a focus on monetary policy and fund-specific characteristics during the COVID-19 crisis. These funds, as non-bank financial intermediaries, are vulnerable to sudden investor redemptions due to...

Recently, funds and corporations have adopted environmental/social/governance (ESG)-related criteria as increasingly important criteria when evaluating investments. The ESG scores of mutual funds, which pool money from many individuals, are, therefore, significant as a sign of social commitment...

This study identifies a nonlinear relationship among liquidity, tracking error, and risk-adjusted performance in JETFs. Collecting daily data for 1077 JETFs from January 2008 to April 2022, we find a concave association, whereby both highly liquid and highly illiquid JETFs exhibit lower...

This article evaluates the impact of artificial intelligence (AI) and its recent advancements in the EU investment management industry. First, it studies the operational use of AI by fund managers, i.e. the extent to which the adoption of AI tools by asset managers plays a role in the investment...

Despite the importance of Corporate Social Responsibility (CSR) firm controversies, little is known about their effect on institutional investors. We study the most important institutional investors worldwide: pension funds and mutual funds. The separation between fund management and ownership...

Firm-level geoeconomic risk can affect even broadly diversified mutual fund portfolios. We study U.S. export controls that restrict sales of cutting-edge technology to selected Chinese firms for national security reasons. The stock prices of affected domestic suppliers drop immediately after the...

The growing emphasis on sustainability within the business community has led to a progressive integration of Environmental, Social, and Governance values (ESG) into the investment process. This study aims to identify those key fund characteristics that best predict financial performance, with a...

The relative performance of an equity fund having a benchmark consisting of one or more indices can be simply calculated by comparing the fund's return with its benchmark's return in given periods. The purpose of this study is to analyze the specific characteristics of funds and investment...

This policy brief presents simulation results regarding the macroeconomic effects of a green EU public investment fund using the macroeconometric simulation model NiGEM. After briefly outlining the investment needs in the EU, we first present results using the standard version of NiGEM. We then...