Turn of the month (TOM) is a widely recognized anomaly and studied majorly in context with equity markets. However, global mutual fund market has not been much exposed to empirical testing TOM implication thereof. This study dual objectives only investigating if effect persists world funds but also proposing an investment strategy exploit investors. The examines 40 across 6 different geographie...

This research studies the performance appraisal system of mutual fund managers in Taiwan. 147 mutual fund managers were investigated in examining the performance appraisal system of mutual fund managers. This article describes using a Genetic Algorithm to evaluate the optimal performance in appraising mutual fund managers in the asymmetric information market in Taiwan. The optimum performance u...

financial literacy of investors reduces uncertainty on future decisions and increases predictability of investment policies in financial markets. thus, the lack of clear information on financial markets is a determining factor in the arrival of domestic and foreign capitals and their quick exit in case of crisis. the lack of transparency and basic knowledge on decisions and failure to provide r...

normal today. The 1960 volume of the Financial Analysts Journal contains a pair of remarkable articles. In the first, “The Case for an Unmanaged Investment Company,” Edward Renshaw and Paul Feldstein compared the returns of mutual funds to those of the DJIA and found that only 11 of 89 diversified common stock and balanced funds had returns higher than those of the DJIA. This and similar eviden...

This article presents some new results on an unexplored dataset on hedge fund performance. The results indicate that hedge funds follow strategies that are dramatically different from mutual funds, and support the claim that these strategies are highly dynamic. The article finds five dominant investment styles in hedge funds, which when added to Sharpe’s (1992) asset class factor model can prov...

This paper studies the investment behavior and performance of contrarian mutual funds, as well as the performance of stocks widely held and traded by such funds over the 1994 to 2006 period. We define a “contrarian fund” as a fund that trades in a direction opposite to mutual fund “herds” much more frequently than the average fund. We find that contrarian funds tend to persist in trading agains...

In this paper, we apply a nonlinear methodology (Self-Organizing Maps and k-means algorithm) to classify mutual funds. This methodology allows us to identify which mutual funds did not follow the investment objectives established from its official category. We also propose an alternative classification, which has a lower rate of misclassified mutual fund. It achieves better performances in term...

Accurate estimation of mutual fund statistics, such as mean return and standard deviation , can help shedding some light onto whether some mutual funds can consistently outperform the general market. In addition, it can help investors make more sound investment decisions. Because the available sample of returns is often not enough to give suucient conndence in the estimates, we propose a novel ...