...
Swiss Finance Institute
RESEARCH PAPER NO. 08-18
False Discoveries in Mutual Fund
Performance: Measuring Luck in
Estimated Alphas
Laurent Barras
Swiss Finance Institute ... managed
domestic-equity mutual funds per year.
16
Interestingly, this coincides with the time
trend in unskilled and skilled funds shown in Panel A—the huge increase in num...
... banking
model led savings banks to gain substantial market shares. In addition,
they are leading the main initiatives aimed at combating financial exclusion
mainly through their investment in ... systemic interest in sustaining a
strong STV sector and, therefore it is a legitimate public policy issue. There
are several key issues in this regard:
INVESTIGATING DIVERSITY IN THE...
... selected Mutual Funds in India .
9th Indian Institute of Capital Market Conference.
[4] Michael, C. J. (1967). The Performance of Mutual Funds in the period 1945-1964. Journal of Finance , ... manager who makes investment decisions on behalf of mutual fund unit holders. Over the
past decade, mutual funds have increasingly become the investor’s vehicle of choice for long-term...
... trading is consistent with window dressing. Meier and Schaumburg
(2004) analyze window-dressing behavior in equity mutual funds by proposing shape tests for
alternative trading patterns and find ... all the funds in descending order by their quarterly
returns, with funds in the 1
st
percentile bin being the best performing funds (and all assigned a
rank equal to 1) and funds in...
... fund.
Survivorship bias
4. Incorporate dead funds into the analysis or explain how refraining from dead funds and
stocks might in uence the results.
Benchmarking
5. Test against several benchmarks ... 5000 Equity Index
Worldscope
Table 1. Indices in SRI fund performance studie
s
Major sustainability indices
Dow Jones Sustainability Index STOXX
FTSE4Good Global
Dow Jones Sustainabili...
... network interface cards check incoming
data frames. Finally, well investigate the error
detection technique usually used in software. Most
protocols such as TCP, UDP and IP include such a value
in ... busy trying to process previously
received messages that are already in its receive buffer.
A window value, often called a window advertisement,
is included in every segment header, inc...
... concentration risk in debt-
oriented mutual fund schemes
1. Mutual Funds/AMCs shall ensure that total exposure of debt schemes of
mutual funds in a particular sector (excluding investments in Bank CDs, ... Steps to re-energise Mutual Fund Industry
In order to increase penetration of mutual fund products and to energise the
distribution network while protecting th...
... first mutual fund purchase
Source: Investment Company Institute Annual Mutual Fund Shareholder Tracking Survey
Most Mutual Fund Owning Households
Bought Their First Fund Before 2000
Most mutual fund owning ... saving and investing.
Source: Investment Company Institute Annual Mutual Fund Shareholder Tracking Survey
Most Mutual Fund Owners Are Married,
Educated, and in...
... are borne by fund shareholders. Over time, investors selecting and
remaining in floating NAV MMFs may be more willing to bear losses from their MMF investments than
investors in alternative ... investors remaining in the fund.
In September of 2008, after the Reserve Primary Fund broke the buck, investors redeemed en masse from
prime MMFs, reinvesting a majority of those procee...
... receives or maintains? Has it
instituted adequate controls to prevent and detect possible
insider trading at the personal or fund level?
Investment guidelines
and restrictions
Does the fund s adviser ...
directors are meeting the challenges they face and provide insights into the evolving
role of directors and boards in the funds industry.
Thoughts from the Boardroom
PwC Mutu...