one of the main functionalities of capital market is to enhance liquidity in the market. mutual funds are modern financial institutions which are designed with the aim of absorbing funds from investors and devote them to buy a variety of securities in order to reduce investment risks, exploit the economies of scale and finally make a reasonable return for investors. regarding effective role of ...

This paper investigates if the equity stake, along with hedge funds, generates value for target companies in highly concentrated markets, such as Brazilian one. In a sample 324 listed São Paulo Stock Market (B3) that are actively participating Anbima Hedge Fund Index (IHFA), between 2007 and 2016, we found stake of funds invested companies, despite market being more concentrated. We capture fun...

In this paper, we propose two geneticprogramming-based models that improve the trading strategy for mutual funds. These two models can get better returns and reduce risks. The first model increases the return by selecting funds with high Sortino ratios and allocates the capital equally, achieving the best annualized return. The second model also selects funds with high Sortino ratios, but reduc...

We examine pure no-load funds over a 5-year period. For equity funds, trading activity is negatively related to returns. Expense ratios are not significantly related to returns. Potential capital gains exposure and tax cost ratio are positively related to return. For fixed income funds, trading activity is positively related to return. Expense ratios and tax cost ratios are negatively related t...

We focus on the equity mutual funds offered by three Malaysian banks, namely Public Bank Berhad, CIMB, and Malayan Banking Berhad. The equity mutual funds or equity trust is grouped into four clusters based on their characteristics and categorized as inferior, stable, good performing, and aggressive funds based on their return rates, variance and treynor index. Based on the cluster analysis, th...

With the development of funds market, the research of funds performance evaluation are becoming an important topic in the field of financial engineering. In the previous research, performance evaluation of investment funds was based on some typical hypothesis, and higher moment of the assets return was mostly neglected. However, a great amount of research, both theoretical and empirical, has su...