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Mutual fund investors assess a fund manager’s skills when allocating their capital. To identify the rationale behind retail investors’ decisions, this study aims to examine the relation between mutual fund flows and abnormal returns (alpha), as well as the various risk factors in the Japanese mutual fund market, which has distinctive characteristics regarding investors and distributors.

Six standard asset pricing models are used to investigate how investors assess mutual fund managers’ skills: the market-adjusted return, the capital asset pricing model and the Fama–French three-factor model and its augmented versions.

Contrary to the literature, this study finds that investors in Japan mainly rely on alpha to assess mutual funds. In particular, investors respond to alpha for fund inflows and their evaluations depend on the market environment and their mutual fund search costs.

This study measures the response of investors to the skills of mutual fund managers in the Japanese market – especially for funds purchased through bank-related distributors that have aimed to capture inexperienced retail investors since deregulation in the 1990s – and reveals their high response to alpha.

The study assess the selection ability and market timing skills of mutual fund and unit trust managers in Ghana.

The study uses an improved survivorship bias-free dataset of yearly after-fee returns of all mutual funds and unit trusts operating in Ghana from January 2011 to December 2019, cumulating in nine years of quantitative fund data. The authors assess Mutual funds and Unit trusts that ever existed, “alive” or “dead,” over the sample period in the study. The authors construct factor loadings to enable the application of multifactor models in the analysis. The authors apply the unconditional versions of the Jensen alpha, Fama-French three-factor, and Carhart four-factor models to determine the selection ability and market timing skills of 32 mutual funds and 17 unit trusts. The authors deploy HAC-consistent robust standard errors to the OLS estimations to subdue the effect of heterogeneity and autocorrelation.

The results indicate that, on average, mutual funds and unit trust managers possess market timing skills but no selection ability. When the results are decomposed into fund types, fixed-income and balanced mutual fund managers possess selection ability and market timing skills.

To the authors' best knowledge, this study is the earliest to examine the selection ability and market timing skills of both mutual fund and unit trust managers in Sub-Saharan Africa (SSA). It is also the earliest to construct factor loadings for the Ghana stock market.

This paper investigates the performance of locally focused equity mutual funds (LFEFs) in Saudi Arabia as compared with the performance of benchmark funds. More specifically, the focal question pertains to whether Shariah-compliant mutual funds (SMFs) and conventional mutual funds (CMFs) outperform their respective benchmarks. Undertaken in the context of Saudi Arabia's economic planning under Vision 2030, the study offers a foundation for determining whether and the extent to which Shariah-compliant investment strategies are competitive—a matter of considerable importance across 57 Muslim countries.

The Carhart four-factor model is applied to a sample of 39 Saudi Arabian mutual funds (MFs) using the monthly net asset value (NAV) per share. The sample period, April 2007 to October 2016, is considered in its entirety and as three sub-periods, i.e. low-, medium- and high-volatility.

The results show that the locally focused equity mutual funds (LFEFs) significantly outperformed their benchmark, i.e. the Tadawul All Share Index (TASI), during the full sample period and the low-volatility period. According to the empirical comparison, the CMFs also outperformed their TASI benchmark for the full sample period and the low-volatility period. However, the SMFs neither outperformed nor underperformed their S&P Saudi Arabia Domestic Shariah Index benchmark. That is, for each of the SMFs included in the sample, the Jensen's alpha was insignificant for both the full sample and all three volatility sub-periods.

In this paper, the four-factor model is used in the context of a single country. The results, therefore, may not be generalizable to the multi-country level in the Gulf Council Cooperation (GCC) region given differences between the member countries in terms of financial structure and economic focus.

The results reported constitute a useful guide for policymakers and faith-based-sensitive investors concerned about the Shariah compliancy of their portfolios given that there is very little difference between how CMFs and SMFs performed in the focal period. This research can be extended to include other Islamic countries in the GCC region as a basis for identifying optimal investment vehicles, i.e. those most likely to produce high returns at low risk.

The work reported in this paper is original and constitutes a valuable asset for ethnoreligious-sensitive investors. The research has not been published in any capacity and is not under consideration for publication elsewhere.

Fair value pricing is a critical issue for mutual funds with international market exposure because trading in the underlying foreign securities is not synchronous with US market trading. Using a sample of Japanese open‐end mutual funds that trade in the USA, this paper explores the potential for exploitation of common mutual fund pricing practices and identifies much larger pricing errors than previously reported. A simple, objective solution to the fair value pricing quandary is proposed. The solution, based on foreign exchange‐traded funds and the S&P 500, provides a timely, objective pricing alternative that is less exploitable than current mutual fund pricing practices.

The purpose of this paper is to appraise the risk‐adjusted performance of international mutual funds using measures generated by the optimized variance (OV), and to promote ability of portfolio managers and investors in making logical decisions.

This study appraises the performance of 65 international mutual funds via the optimized risk‐adjusted measures during monthly period of 2001‐2010. Using 65 linear programming models, the OV is calculated to optimize the standard deviation of any funds. Then, another model is run to get the OV of market index. Consequently, seven optimized performance measures namely Treynor, Sharpe, Jensen's alpha, M‐squared, information ratio (IR), MSR, and FPI along with the optimized leverage factor are proposed to evaluate the performance of these mutual funds. Finally, the optimized measures are used to evaluate the funds during pre and post‐crisis periods in order to compare the funds' performance over the crisis periods.

The empirical evidence detects which OV, as measured by the Markowitz's linear programming model, is an important determinant in the performance evaluation measures. Using OV statistic and also its standard deviation, this paper shows that new optimized measures are mostly over‐performed rather than the benchmark index; in addition these optimized measures have close correlation with the conventional performance measures. The evidence shows that the average of the optimized measures during crisis has the lowest performance in comparison with other research periods. The results therefore highlight the importance of using the new optimized measures along with the conventional measures in the evaluation of mutual funds' performance.

It can be worthwhile to compare the optimized measure and also the conventional measures in identifying their superior measures.

The result of this study can be directly used as initial data to make decision by investors and portfolio managers who are seeking the possibility of participating in the global stock market through international mutual funds.

This paper is one of the first studies that optimizes the variance of return for any fund to suggest four optimized measures of Sharpe, IR, MSR, and FPI, and then proposes a new linear programming model to get OV of market index in introducing four optimized new measures of Treynor, M‐square, Jensen's alpha, and leverage factor.

The purpose of this paper is to provide an attempt to evaluate the risk-adjusted performance of international mutual funds using the risk statistic generated by the mean absolute deviation (MAD) and promote the ability of portfolio managers and investors to make the logical decisions for selecting different funds using the new optimized measures.

This study evaluates the performance of 50 international mutual funds using optimized risk-adjusted measures by the MAD over the monthly period 2001-2010. Using 50 linear programming models, the MAD is first computed by the linear programming models, and then seven performance measures of Treynor, Sharpe, Jensen’s α, M2, information ratio (IR), MSR, and FPI are optimized and proposed by the MAD to evaluate the mutual funds.

The empirical evidence detects that the MAD is an important determinant to evaluate the funds’ performance. Using the MAD statistic, this paper shows that new optimized measures are mostly over-performed by the benchmark index; in addition, these optimized measures have close correlation with each other. The results, therefore, detect the importance of using new optimized measures in evaluating the mutual funds’ performance.

The result of this study can be directly used as an initial data for decision of investors and portfolio managers who are seeking the possibility of participating in the global stock market by the international mutual funds.

This paper is the first study which optimizes the variance of returns in the MAD framework for each fund to propose new seven optimized measures of Treynor, Sharpe, Jensen’s α, M2, IR, MSR, and FPI.

The purpose of this paper is to examine the predictability of the US‐based international mutual fund returns by investigating 2,479 daily observations for all categories of international equity, bond and hybrid mutual funds. Further, trading strategies are proposed and tested under different scenario including a proposed regulation by the Security and Exchange Commission (SEC).

The sample is split and the initial sub sample is used to investigate return patterns of international funds and to develop trading rules based on the predictable return patterns. Trading rules are then tested on the holdout sample.

Empirical results demonstrate statistically significant predictabilities. Various trading strategies show that the returns of both load and no‐load funds are economically significant beating a buy‐and‐hold strategy. Empirical findings are consistent across the fund categories irrespective of sizes and styles. The tested strategies are profitable even with various limits on frequency of trading, minimum holding periods and even under a recent SEC's proposed regulation. Further, possible contracting and regulatory changes are proposed to improve the efficiency in the mutual fund industry.

The results confirm previous findings of statistically and economically significant regularities from trading strategies that involve following the US markets. A test of SEC's proposed regulation documents that short‐term investors may benefit from active trading strategy even if the SEC's rule is implemented.

Briefly reviews previous literature by the author before presenting an original 12 step system integration protocol designed to ensure the success of companies or countries in their efforts to develop and market new products. Looks at the issues from different strategic levels such as corporate, international, military and economic. Presents 31 case studies, including the success of Japan in microchips to the failure of Xerox to sell its invention of the Alto personal computer 3 years before Apple: from the success in DNA and Superconductor research to the success of Sunbeam in inventing and marketing food processors: and from the daring invention and production of atomic energy for survival to the successes of sewing machine inventor Howe in co‐operating on patents to compete in markets. Includes 306 questions and answers in order to qualify concepts introduced.

Purpose – Run a comparative analysis between investments of sovereign wealth funds (SWFs) and mutual funds, focusing on firm-level, country-level, and institutional variables.

Methodology/approach – We use a hand-collected sample of 1,845 acquisitions around the world over the last 25 years (251 for SWFs and 1,594 for mutual funds). We then run univariate parametric and nonparametric tests to assess the differences in the investments of both subsamples.

Findings – We review the literature on the determinants of SWFs' investment decisions. Our analysis adds to the scarce available literature on the investment decisions of SWFs and their comparison with other institutional investors. Our results show that, compared to mutual funds, SWFs indeed exhibit different preferences: for instance, SWFs prefer to acquire stakes in larger, less liquid companies which are financially distressed but which also have a higher level of growth opportunities. They also prefer less innovative firms with more concentrated ownership, which are located in less developed but geographically closer countries with whom they do not necessarily share cultural and religious backgrounds.

Social implications – Our results are important for practitioners and firms seeking to attract a given type of institutional investment. They also add insights to the debate on the “hidden” political objectives behind SWF investments in the Western world.

Originality/value of paper – This is the first attempt to empirically assess the differences in the investment choices of SWFs and mutual funds.

How investors can capitalise on a long‐term currency trend by leveraging their investment in a mutual fund is investigated. The sensitivity of mutual fund yields to exchange rate movements and the degree of leverage is tested for a strong dollar cycle (1981‐1984) as well as for a weak dollar cycle (1985‐1987). The empirical results provide evidence of the benefits derived from leveraging investments in mutual funds in anticipation of a long‐term trend in the home‐currency′s value. To facilitate the foreign leveraging by the small investor, the creation of foreign levered mutual funds is suggested. While this study was performed from the US perspective, the general implications apply to investors in any country.