this study is an attempt to apply the market timing andsecurity selection models to evaluate the performance of iranianmutual funds. the research shed light on the questions of ‘howsuccessful are mutual funds in earning excess returns over those of themarket?’ ‘do the excess returns during research period have anymeaningful trend for these financial intermediaries or is it the result ofthe abil...

We establish a link between illiquidity and positive autocorrelation in asset returns among a sample of hedge funds, mutual funds, and various equity portfolios. For hedge funds, this link can be confirmed by comparing the return autocorrelations of funds with shorter vs. longer redemption-notice periods. We also document significant positive return-autocorrelation in portfolios of securities t...

In this paper, we apply nonlinear techniques (Self-Organizing Maps, k-nearest neighbors and the k-means algorithm) to evaluate the official Spanish mutual funds classification. The methodology that we propose allows us to identify which mutual funds are misclassified in the sense that they have historical performances which does not conform with the investment objectives established in their of...

This paper studies the investment behavior and performance of contrarian mutual funds, as well as the performance of stocks widely held and traded by such funds over the 1994 to 2006 period. We define a “contrarian fund” as a fund that trades in a direction opposite to mutual fund “herds” much more frequently than the average fund. We find that contrarian funds tend to persist in trading agains...

The portfolio optimization is one of the fundamental problems in asset management that aims to reduce the risk of an investment by diversifying it into assets expected to fluctuate independently. A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their funds counterparts, including mutual, exchange- traded and closed fun...

This Article offers a broad theory of what distinguishes investment funds from ordinary companies, with ramifications for how these funds are understood and regulated. The central claim is that investment funds (i.e., mutual funds, hedge funds, private equity funds, and their cousins) are distinguished not by the assets they hold, but by their unique organizational structures, which separate in...