We reveal pitfalls in the hedging of insurance contracts with a minimum return guarantee on the underlying investment, e.g. an external mutual fund. We analyze basis risk entailed by hedging the guarantee with a dynamic portfolio of proxy assets for the funds. We also take account of liquidity risk which arises since the insurer may need to advance funds for performing the hedge. Based on a lea...

By using a unique dataset of Finnish mutual funds and fund managers, we investigate whether manager ownership is related to fund performance. When we examine manager ownership measured as a percentage of the fund’s total assets, we find no relation between ownership and performance. This finding contradicts with US evidence. Further, when we employ ownership measured as a percentage of the mana...

Objective: This research is designed to propose empirical evidence on factors affecting stock selection ability and market timing ability. Theoretical framework: Recent found that most equity mutual funds underperform the return due a lack of abilities. However, rarely do they existence these abilities Method: There are two-panel regression models developed in this show The Dumitrescu–Hurlin (D...

This study contributes to the academic literature on faith-based mutual funds, by offering a comparative investigation of Islamic vs. conventional funds’ performance sensitivity changes in list seventeen relevant attributes, all context Saudi market. The measures investigated are excess return, selectivity and timing. took place from 2011 2015, with sample 200 Active 137 63 conventional. Findin...

Mutual fund investors are concerned with the selection of the best fund in terms of performance among the set of alternative funds. This paper proposes an innovative mutual funds performance evaluation measure in the context of multicriteria decision making. We implement a multicriteria methodology using stochastic multicriteria acceptability analysis, on Greek domestic equity funds for the per...

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...

The aim of this paper is to evaluate critically the hyperglobalist thesis that with the emergence of fund-manager capitalism, hypermobile and homeless capital increasingly roams a borderless world in search of investment opportunities. Drawing upon Standard and Poor’s Micropal data base to analyze financial flows in the mutual fund industries of nine developed market economies, evidence is foun...

We use a new database to perform a comprehensive analysis of the mutual fund industry. We find that funds hold stocks that outperform the market by 1.3 percent per year, but their net returns underperform by one percent. Of the 2.3 percent difference between these results, 0.7 percent is due to the underperformance of nonstock holdings, whereas 1.6 percent is due to expenses and transactions co...

Although established money managers operate in an environment which seems competitive, they also seem to be very profitable. The present value of the expected future profits from managing a collection of funds is equal to the value of the assets under management multiplied by the profit margin, assuming that the managed funds will remain in business forever, and that there will be zero asset fl...