Index tracking is a popular form of passive fund management. The index tracking problem is
the problem of reproducing the performance of a stock market index, but without purchasing …

In this paper, an artificial neural network method is applied to forecast the end-of-year net
asset value (NAV) of mutual funds. The back-propagation neural network is identified and …

I examine the stock market timing ability of two samples of hybrid mutual funds. I find that the
inclusion of bond indices and a bond timing variable in a multifactor Treynor‐Mazuy model …

This paper documents two new facts. First over the past 30 years variance has been
negatively correlated with expected return for NYSE & AMEX stocks and this relationship is …

Equity mutual fund data from 1976–1993 is used to test hypotheses that distinguish window
dressing from performance hedging. No significant difference is found pre/post 1983 in the …

This paper is an attempt to unravel the relationship between the economic variables and the
returns of the mutual funds in Indian context. The paper considers the monthly data of …

The investment selection ability of property company managers is investigated. The
specialized nature of commercial property portfolio holdings presents the opportunity for …

The evaluation of investment fund performance has been one of the main developments of
modern portfolio theory. Most studies employ the technique developed by Jensen (1968) …

This study evaluates the performance of Australian Listed Property Trusts (LPTs) in the
context of selectivity and timing over June 1998 to May 2003, and provides significant …

Abstract The Derivatives Sourcebook is a citation study and classification system that
organizes the many strands of the derivatives literature and assigns each citation to a …