We analyze hedge fund performance using the stochastic discount factor (SDF) approach and imposing the arbitrage-free requirement to correctly value the derivatives and dynamic trading strategies used by hedge funds. Using SDFs of many asset-pricing models, we evaluate hedge fund portfolios based on style and characteristics. Without the arbitrage-free requirement, pricing errors are relatively...

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...

/RÉSUMÉ Pension Fund Performance This report provides an analysis of aggregate investment performance by country on a risk adjusted basis using relatively standard investment performance measures. The report also describes privately managed pension funds around the world and the regulatory environment they face. It compares pension funds across countries according to total assets under manageme...

Since insuring agricultural products is one of the effective instruments for risk management in agricultural sector, it can reduce risk avoidance among farmers and increase their competence in using production factors and, consequently, increases their inclination towards investment in agricultural sectors. The purpose of the current study was to investigate the factors influencing policyholder...

We study managers who manage multiple mutual funds. Consistent with the idea that investors infer ability from past returns, flows into a fund are predicted by the past performance in another fund the multi-fund manager manages. The explanatory power of the other fund is stronger when it performed particularly well, when the two funds have similar styles, and when the manager has started managi...

This research studies the performance appraisal system of mutual fund managers in Taiwan. 147 mutual fund managers were investigated in examining the performance appraisal system of mutual fund managers. This article describes using a Genetic Algorithm to evaluate the optimal performance in appraising mutual fund managers in the asymmetric information market in Taiwan. The optimum performance u...

This paper examines the impact of hedge fund redemption restrictions such as lockup period, notice period, and redemption period on fund flow, risk, and performance. We first examine the effects of redemption restrictions conditional on past poor performance. We then examine the differential impact of redemption restrictions under different market conditions. We find that during normal periods,...

This study uses hand-collected information on shareholders’ backgrounds of mutual funds and their fund management companies (FMCs), administrative criminal penalties for insider trading as the proxy government regulation intensity. We fill a gap in literature by identifying positive relationship between funds’ performance proportion state-owned FMC ownership that becomes negative when Chinese i...