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How to evaluate mutual fund performance correctly and determine the investment targets of mutual funds are the important issues to investors. In this study, we apply an innovative bootstrap statistical technique, to solve the small sample size problem and the distribution assumption disturbance in previous research. We examine the performance of domestic open-end mutual funds over the period from 1998 to 2003 using five performance measurement models. We further test the persistence of mutual fund performance. This study shows that¡G 1. On average, mutual fund managers do not own superior ability in stock selection. Most funds experiencing abnormal performance may simply result from good luck, since random selection also creates abnormal performance. 2. Mutual fund managers do not own market-timing ability. Classified further by investment objectives, the sample indicates that only the group of small-scale stocks shows significant market-timing ability. 3. Performance persistence does not exist no matter in long-term or short-term period.

<p>Actively managed mutual funds underperform the index and investors are recommended to invest in index funds since they give higher returns (Dagens Industri Debatt, 2010). In this thesis it is investigated if partly indexated portfolios with randomly selected stocks beat the benchmark index and thus are a valid option of portfolio construction for the individual investor. For this purpose sixteen portfolios are constructed partly by an index and partly by randomly selected stocks from the Swedish stock market in the time period of 2007.01.01 to 2010.01.01. Risk and return measures are used in order to analyse if the portfolios beat the benchmark index. The results are also compared to an index mutual fund in order to validate the results further.</p><p>The results suggest that partly indexated portfolios with randomly selected stocks are able to outperform both the benchmark index and the comparing index mutual fund. When dividends were included in the portfolios all of the sixteen portfolios had beaten the benchmark index. The two stock portfolio is a valid alternative when investing in mutual funds since it has superior returns with only marginally higher risk than the benchmark index.</p>

Thesis (Ph. D.)--West Virginia University, 2004. / Title from document title page. Document formatted into pages; contains viii, 113 p. : ill. (some col.). Includes abstract. Includes bibliographical references (p. 109-113).

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I investigate mutual fund flows at the individual fund and at the fund family level. At the individual, I use SEC filings to decompose fund flows into inflows and outflows. This decomposition of net flows into its component parts provides a way to examine differences in how search costs and investor learning affect investors who are entering a fund (or adding to their investments) versus those investors who are leaving a fund (or decreasing their investments). I then examine the effect of the existence of an advertisement for the fund on these investors. At the mutual fund family level, I examine how the characteristics and performance of mutual fund families affect the flows to the family as a whole. I then examine the effects of advertising expenditures on flows to the fund family. / text

The fund industry has grown tremendously over the last decades and the function for mutual funds and their managers have gained importance. Sweden is today the greatest fund saving country in the world however the function of the mutual funds and their managers is still rather unexplored. Mutual fund managers were blamed for the recent financial crisis and their irrational behavior was highlighted. This indicated how weak the classic financial theories are when trying to explain the function of human behavior and the irrationality in the market.  Behavioral aspects for fund managers are greater than previously thought and there is a need to incorporate this better in the financial theories. The financial crisis together with the possibility of earning excess return over a long time period has indicated that the markets are not efficient. The confidence for mutual fund managers from the public is low because of the last financial crisis. There is a need for more regulation, better-suited payment schemes, greater transparency and products that everyone can understand in order to raise the confidence back to the previous level.

Actively managed mutual funds underperform the index and investors are recommended to invest in index funds since they give higher returns (Dagens Industri Debatt, 2010). In this thesis it is investigated if partly indexated portfolios with randomly selected stocks beat the benchmark index and thus are a valid option of portfolio construction for the individual investor. For this purpose sixteen portfolios are constructed partly by an index and partly by randomly selected stocks from the Swedish stock market in the time period of 2007.01.01 to 2010.01.01. Risk and return measures are used in order to analyse if the portfolios beat the benchmark index. The results are also compared to an index mutual fund in order to validate the results further. The results suggest that partly indexated portfolios with randomly selected stocks are able to outperform both the benchmark index and the comparing index mutual fund. When dividends were included in the portfolios all of the sixteen portfolios had beaten the benchmark index. The two stock portfolio is a valid alternative when investing in mutual funds since it has superior returns with only marginally higher risk than the benchmark index.

I find the low volatility anomaly is present in all but the smallest of stocks. Portfolios can be formed on either total or idiosyncratic volatility to take advantage of this anomaly, but I show measures of idiosyncratic volatility are key. Standard risk-adjusted returns suggest that there is no low volatility anomaly from 1996 through 2011, but I find this result arises from model misspecification. Caution must be taken when analyzing high volatility stocks because their returns have a nonlinear relationship with momentum during market bubbles. I then find that mutual funds with low return volatility in the prior year outperform those with high return volatility by about 5.4% during the next year. After controlling for heterogeneity in fund characteristics, I show that a one standard deviation decrease in fund volatility in the prior year predicts an increase in alpha of about 2.5% in the following year. My evidence suggests that this difference in performance is not due to manager skill but is instead caused by the low volatility anomaly. I find no difference in performance or skill between low and high volatility mutual funds after accounting for the returns on low and high volatility stocks.

Thesis (M.P.A.)--University of Hong Kong, 2000. / Includes bibliographical references (leaves 141-150).