This paper addresses a problem of finding portfolios that perform better than investment funds while showing similar behaviour. The quality of investment portfolio can be measured using various criteria such as the return and some kind of risk measurement. Investors seek to maximize return while minimizing risk. In order to achieve this goal various instruments are considered. One of the possib...

While a mutual fund’s investment style influences the returns it generates, little is known about how a manager’s execution of the style decision affects portfolio performance. Using both holdingsand returns-based techniques to measure the consistency with which managers approach their investment mandates, we demonstrate that, on average, more style-consistent funds significantly outperform les...

This paper proposes and tests a flow-based explanation for three important empirical findings on return predictability – the persistence of mutual fund performance, the “smart money” effect, and stock price momentum. Since mutual fund managers generally scale up or down their existing positions in response to investment flows, and since the portfolios of funds receiving capital generally differ...

Abstract The concept of mutual fund emerged in Netherlands in 18th century and introduced in India by Unit Trust of India in1960s. As the mutual fund industry provides an option of diversified investment structure with varying degree of risk, it was supposed to be the most lucrative market for Indian investors. It was believed that it will surely tap the savings of common man. But in practice i...

We empirically investigate the impact of fund flows and managerial turnover on the investment performance of active equity mutual funds. Fund flows have been suggested by Berk and Green (2004) as mechanism that prevents performance persistence. We propose managerial turnover as an alternative explanation. One the one hand, withdrawing money from loser funds and sacking bad fund managers are mea...

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 ...