Ranking mutual funds using Sortino method

The trading on the mutual funds by gene expression programming with Sortino ratio

The aim of this paper is to combine several techniques together to provide one systematic method for guiding the investment in mutual funds. Many researches focus on the prediction of a single asset time series, or focus on portfolio management to diversify the investment risk, but they do not generate explicit trading rules. Only a few researches combine these two concepts together, but they a...

Categorizing Mutual Funds Using Clusters

We classify mutual funds using cluster analysis and examine whether the categories created by clusters are the same as those assigned by the invest ment objectives Since mutual funds are usually classi ed based on their investment objectives clustering funds based on their nancial characteris tics rather than their investment objectives could explain why some mutual funds do not perform accordi...

Ranking of equity mutual funds: The bias in using survivorship bias-free datasets

Using survivorship bias-free datasets to rank fund performance introduces a market climate bias that depends on the lengths of the funds’ return histories. Based on Carhart’s (1997) four-factor model, we analytically show how the market climate affects commonly used performance measures. Our empirical results confirm that this market climate bias creates different rankings depending on the meas...

Mutual Funds in Equilibrium∗

Historically, the literature on money management has not consistently applied the rational expectations equilibrium concept. We explain why and summarize recent developments in the money management literature that do apply this concept correctly. We demonstrate that in many respects the rational expectations equilibrium better approximates the observed equilibrium in the money management space ...

Mutual Funds by Edwin