We investigate the effectiveness of target date mutual funds (TDMF) performance relative to naive self-directed target date portfolios and identify which variables are related to positive performance. Overall, we find target date mutual funds do not outperform naive strategies but find several characteristics which are associated with positive Sharpe and Treynor ratio performance. When comparing TDMF to naive strategies, we find alpha, volatility, assets, dividend yield and turnover are positive and significant coefficients, while beta is negative and significant. Variables such as Morningstar rating and expense ratio are not significant, and puzzling given fees on TDMFs are typically higher than other funds. Investors are choice architects...
The importance of mutual funds in financial markets has literally sky-rocketed over the past fifteen...
Using daily return data from 448 actively managed mutual funds over a recent 9-year period, we look ...
Master's thesis in FinanceThe purpose of this thesis is to analyze and understand whether fund manag...
This article investigates the performance of target date mutual funds (TDMFs) relative to several pa...
As a result of poor asset allocation decisions by 401(k) participants, 72 % of all plans now offer t...
Target date funds (TDFs) appear important in recent years because of its inclusion in the Qualified ...
Target date funds are an emerging class of investment products, designed for retirement savings. The...
We propose a novel performance attribution model for equity fund portfolios. The model analyses inve...
Despite the lack of convincing evidence that active investment fund managers add value, the number o...
Ph.D. University of Hawaii at Manoa 2012.Includes bibliographical references.This two part dissertat...
In the present paper a comprehensive assessment of existing mutual fund performance models is presen...
In the present paper a comprehensive assessment of existing mutual fund performance models is presen...
Existing studies of mutual fund market timing analyze monthly returns and find little evidence of ti...
In this paper an attempt is made to evaluate the performance of 32 growth oriented mutual funds on t...
Employing a novel data set of portfolio weights from 1997 to 2006, the per-formance of taxable bond ...
The importance of mutual funds in financial markets has literally sky-rocketed over the past fifteen...
Using daily return data from 448 actively managed mutual funds over a recent 9-year period, we look ...
Master's thesis in FinanceThe purpose of this thesis is to analyze and understand whether fund manag...
This article investigates the performance of target date mutual funds (TDMFs) relative to several pa...
As a result of poor asset allocation decisions by 401(k) participants, 72 % of all plans now offer t...
Target date funds (TDFs) appear important in recent years because of its inclusion in the Qualified ...
Target date funds are an emerging class of investment products, designed for retirement savings. The...
We propose a novel performance attribution model for equity fund portfolios. The model analyses inve...
Despite the lack of convincing evidence that active investment fund managers add value, the number o...
Ph.D. University of Hawaii at Manoa 2012.Includes bibliographical references.This two part dissertat...
In the present paper a comprehensive assessment of existing mutual fund performance models is presen...
In the present paper a comprehensive assessment of existing mutual fund performance models is presen...
Existing studies of mutual fund market timing analyze monthly returns and find little evidence of ti...
In this paper an attempt is made to evaluate the performance of 32 growth oriented mutual funds on t...
Employing a novel data set of portfolio weights from 1997 to 2006, the per-formance of taxable bond ...
The importance of mutual funds in financial markets has literally sky-rocketed over the past fifteen...
Using daily return data from 448 actively managed mutual funds over a recent 9-year period, we look ...
Master's thesis in FinanceThe purpose of this thesis is to analyze and understand whether fund manag...