We show that the persistent use of momentum investment strategies by mutual funds has important implications for the performance persistence and survivorship bias controversies. Using mutual fund portfolio holdings from a database free of survivorship bias, we ̄nd that the best performing funds during one year are the best performers during the following year, with the exception of 1981, 1983, ...

It is a well-known fact that actively managed mutual funds on average underperform passive benchmarks. In this paper, we use the stochastic dominance test proposed by Linton, Maasoumi, and Whang (2005) to shed new light on mutual fund performance on average and across styles. This test evaluates mutual fund performance using a non-parametric framework that 1) imposes a minimal set of conditions...

This study aimed to examine the performance evaluation and persistence of equity mutual funds when the market reverses from a bull market to a bear market. We also attempt to find the appropriate performance evaluation indicators when funds exhibit performance reversal. Such an indicator will be of great assistance to investors in making investment decisions. Therefore, this study investigates ...

Mutual Fund as an investment option gives a platform to risk averse investors who do not prefer take high on their hard earned money. In India, Industry is growing at rapid pace and has emerged vital segment of the financial markets, specifically in channelizing mobilizing savings hundreds individuals equity debt instruments. Since mutual funds influenced by perception, purpose present study ex...

Should individuals include actively managed mutual funds in their investment portfolios? They should if and only if the result of active management is superior performance due to skill. This paper employs a previously ignored statistical technique to detect whether skill drives the superior performance of some mutual funds. This technique, the generalized binomial distribution, models a sequenc...

We formulate a dynamic investment model where investors can easily change firms (funds) and firms’ actions are subject to imperfect monitoring. We show that there is an asymmetry of fast customer loss and slow recovery, without learning or asymmetry in feasible actions at different states. The key factor is endogenous relationships. It is easy to lose customers but it is not easy to get them ba...

Through an additive efficiency decomposition (AED) approach in data envelopment analysis (DEA), we evaluate the management and investment efficiencies of Investment Trust Corporations (ITCs) in Taiwan for the period 2007–2011. Furthermore, the AED-DEA and a network-based ranking approach in DEA are jointly used to rank and identify ITCs that can be treated as benchmarks. Frontier projections fo...