The paper provides a critical review of empirical findings on the performance of mutual
funds, mainly for the US and UK. Ex‐post, there are around 0‐5% of top performing UK and …

Although portfolio management didn't change much during the 40 years after the seminal
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …

One of the most important recent developments in financial markets is the institutionalization
of saving associated with the growth of pension funds, life insurance companies, and mutual …

Previous research finds insignificant market-timing ability for mutual funds using tests based
on fund returns. The return-based tests, however, are subject to the “artificial timing” bias. In …

This study examines the pattern of asset allocation and the performance of unit trust in
Malaysia over the post crisis period by using risk-adjusted performance measures and multi …

This article develops a Kalman filter model to track dynamic mutual fund factor loadings. It
then uses the estimates to analyze whether managers with market-timing ability can be …

We study whether investors are actively decarbonizing their portfolios. With the adoption of
the Paris Agreement in December 2015, a better understanding of portfolio related carbon …

This paper evaluates numerous diversification strategies as a possible remedy against
widespread costly investment mistakes of individual investors. Our results reveal that a very …

The global value of trading in index futures is about $20 trillion per year and rising and for
many countries the value traded is similar to that traded on their stock markets. This book …

Dedicated to the memory of my two most admired purists whose work stood the test of time
against the critics: Theodore Samuel Williams, baseball player and fisherman and Merton H …