Using genetic algorithm (GA), this study proposes a portfolio optimization scheme for index fund management. Index fund is one of popular strategies in portfolio management that aims at matching the performance of the benchmark index such as the S&P 500 in New York and the FTSE 100 in London as closely as possible. This strategy is taken by fund managers particularly when they are not sure abou...

I present a model that can transform discounts on closed-end mutual funds into a measure of investor sentiment about the ability of fund managers to beat the market. It is demonstrated that this measure of sentiment varies positively with capital flows into open-end mutual funds, which are actively managed, and negatively with capital flows into index funds, which are passively managed. This is...

I present a model that can transform discounts on closed-end mutual funds into a measure of investor sentiment about the ability of fund managers to beat the market. This measure of sentiment varies positively with capital flows into actively managed open-end mutual funds, but negatively with capital flows into passively managed index funds. Investors appear to re-allocate their portfolios betw...

We document the recent rise in side-by-side (SBS) management of mutual funds and actively managed ETFs (AMETFs). Although these are run a SBS manner, only 21% share an investment objective code. This relationship is started by families with more ETF experience not used to reward “star” managers. On average, AMETFs perform similarly comparable after formation; however, their flows fall when pair...

Does the “smart money” effect documented by Gruber (1996) and Zheng (1999) reflect fund selection ability of mutual fund investors? We examine the finding that investors are able to predict mutual fund performance and invest accordingly. We show that the smart money effect is explained by the stock return momentum phenomenon documented by Jegadeesh and Titman (1993). Further evidence suggests t...

This study examines whether U.S. international equity mutual funds provide out-of-sample diversification benefits in the presence of no short selling constraints. Ignoring economic state, do not benefits. However certain states. The are concentrated when lag one-month Treasury Bill return is lower than normal.

The study assessed mutual funds' cash flows on investors' returns in Tanzania. was guided by two predicting variables: economic condition (EC) and fund growth (FG). predictor variables were tested return (IR) as the dependent variable. employed a quantitative approach using secondary data generated through panel form series of 8 years from 2014 to 2021. collected facts with regard selected all ...