Merrill Lynch Launches Sci/Tech Mutual Fund

Pricing Analysis for Merrill Lynch Integrated Choice

Stuart Altschuler Merrill Lynch Management Science Group, P.O. Box 9065, Princeton, New Jersey 08543–9065 Donna Batavia • Jeff Bennett Merrill Lynch Strategic Marketing Services, 800 Scudders Mill Road—3F, Plainsboro, New Jersey 08536 Russ Labe • Bonnie Liao • Raj Nigam • Je Oh Merrill Lynch Management Science Group, P.O. Box 9065, Princeton, New Jersey 08543–9065 [email protected] • don...

The MUTUAL FUND INDUSTRY

Mutual Fund Objective Misclassification∗

Mutual funds are usually classified based on their stated objectives. If the stated objectives are not the actual objectives the funds pursue, conclusions drawn by investors and researchers based on the stated objectives will be misleading. This study classifies funds based on their attributes (characteristics, investment style, and risk/return measures). We find that the stated objectives of m...

Evaluating Mutual Fund Performance

We study standard mutual fund performance measures, using simulated funds whose characteristics mimic actual funds. We find that performance measures used in previous mutual fund research have little ability to detect economically large magnitudes ~e.g., three percent per year! of abnormal fund performance, particularly if a fund’s style characteristics differ from those of the value-weighted m...

Merrill Lynch Improves Liquidity Risk Management for Revolving Credit Lines

Merrill Lynch Bank USA has a multibillion dollar portfolio of revolving credit-line commitments with over 100 institutions. These credit lines give corporations access to a specified amount of cash for short-term funding needs. A key risk associated with credit lines is liquidity risk, or the risk that the bank will need to provide significant assets to the borrowers on short notice. We develop...