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The present article aims to evaluate the performance of sixteen equity mutual funds operating in the Greek financial market over the period 1/1/1995‐31/12/1999. In doing so, the sample mutual funds were ranked on the basis of their return, total risk, coefficient of variation, systematic risk, and the techniques of Treynor, and Sharpe. Four mutual funds achieved lower return than the General Index of the Athens Stock Exchange (ASE). All sixteen mutual funds showed lower total risk, and risk‐return coefficient than the General Index of the ASE. In all mutual funds the beta coefficient was statistically significant at 5 per cent level of significance. The alpha coefficient was also statistically significant at 5 per cent level of significance in eight mutual funds. The movements of the General Index of the ASE explain more than 80 per cent of the variation in return in all sixteen mutual funds. Eight mutual funds were ranked in the same order on either Treynor’s or Sharpe’s technique.

The present article aims to evaluate the performance of ten domestic balanced mutual funds operating in the Greek financial market over the period 1/1/1995‐31/12/1998. In doing so, the sample mutual funds were ranked on the basis of their return, total risk, coefficient of variation, systematic risk, and the techniques of Treynor, Sharpe and Jensen. The ten mutual funds achieved lower return than the General Index of the Athens Stock Exchange (ASE). However, the mutual funds achieved satisfactory return in relation to the total and systematic risk undertaken. The sample mutual funds followed defensive investment policy that was in line with their objectives. The General Index of the ASE appeared to be a close approximation of the market portfolio. To some extent the ranking of the mutual funds varied among the techniques of Treynor, Sharpe and Jensen, although certain mutual funds were ranked in the same order regardless of the technique used. According to Jensen, seven mutual funds had superior performance, while the remaining three demonstrated poor performance.

The present article aims to evaluate the performance of thirty‐nine domestic bond mutual funds operating in the Greek financial market over the period 15/3/1999‐31/12/1999. The ranking of the sample mutual funds is different between the average daily return, and the total risk. On the basis of the coefficient of variation the sample mutual funds are classified in nine categories. The performance of thirty‐three mutual funds is affected, and can be explained to a satisfactory level by the movements in the Bond Index. On the other hand, the performance of twenty‐five mutual funds is affected, and can be explained to a satisfactory level by the movements in the General Index of the ASE. The Bond Index appears to approximate the market portfolio closer than the General Index of the ASE. Twenty‐seven from the sample mutual funds show values for alpha coefficient different than zero value that is assumed by the capital asset pricing model.

The purpose of this paper is to estimate the performance of 188 mutual funds relative to the risk/return frontier accounting for the transaction costs of producing a portfolio of investments.

The directional output distance function is used to estimate mutual fund performance. The method allows the data to define a frontier of return and risk accounting for the transaction costs associated with securities management and production of risky returns. Proxies for the transaction costs of producing a portfolio of securities include the turnover ratio, load, expense ratio, and net asset value. The estimates of mutual fund performance are bootstrapped to account for the unknown data generating process. By comparing each mutual fund’s performance relative to the capital market line the authors determine how the fund should adjust their portfolio in regard to risk and return in order to maximize the inefficiency adjusted Sharpe ratio.

The bootstrapped estimates indicate that the average mutual fund could simultaneously expand return and contract risk by 3.2 percent if it were to operate on the efficient frontier. After projecting each mutual fund’s return and risk to the efficient frontier the authors find that a majority of the mutual funds should reduce risk to be consistent with the capital market line.

Many researchers have used data envelopment analysis to estimate a piecewise linear frontier of risk and return to measure mutual fund performance. To the authors’ knowledge the research is the first to use a twice-differentiable quadratic directional distance function to measure the managerial performance and risk/return tradeoff of mutual funds.

This paper seeks to evaluate the risk‐adjusted performance of the largest US‐based equity mutual funds using rigorous analysis grounded in modern portfolio theory and present the results in a manner which is comprehensible to a lay investor.

This study evaluates the performance of the 20 largest US‐based mutual funds using risk‐adjusted returns during 1995‐2004. In particular, a relatively new risk‐adjusted performance measure by Modigliani and Modigliani is used to evaluate these equity funds. This study also utilizes a variation of the Sortino Ratio to account for downside risk.

The results show that the funds with the highest returns may lose their attractiveness once the degree of risk had been factored into the analysis. Conversely, some funds may look very attractive once their low risk is factored into their performance.

Future researchers may want to investigate the effects of factors, such as fund manager, compensation, service fees, corporate governance metrics, and overweighting in risky industries on the performance of mutual funds.

The empirical evidence presented in this study can be used as input in decision making by investors who are exploring the possibility of participating in the stock market via large mutual funds, but are not sure of what selection criteria to employ.

The paper is one of the first studies that apply the new M² measure to evaluate the performance of mutual funds. Various other performance metrics are also utilized including the Sharpe, Sortino, Treynor measures and Jensen's α.

This study evaluates risk‐adjusted performance of socially responsible mutual funds during the period 1991‐2000, using objective statistical measures grounded in modern portfolio theory. A socially responsible mutual fund is defined as one which employs “social screens” in stock selection, such as whether a fi rm manufactures tobacco products, whether it is in the gambling business, whether it heeds environmental safety, its human rights records, etc. The main objective of this study is to provide empirical documentation on the risk‐adjusted returns of these mutual funds, for the benefit of investors. To our knowledge, this is one of the first, if not the first, academic study to utilize a relatively new risk‐adjusted performance measure, posited by Nobel Laureate Franco Modigliani and Leah Modigliani in 1997 (hereafter referred to as M Squared), to evaluate socially responsible mutual funds. The idea that underlies their methodology is to adjust the investment risk of a mutual fund to the level of risk in an unmanaged benchmark stock‐market index and then measure the returns on the risk‐matched fund. The M Squared measure not only relates the level of risk to the level of reward, but also enables risk‐adjusted returns to be reported on a percentage basis, rather than on an absolute basis, which makes them more easily understood by the average investor. The results of this study can be used in decision making by investors who seek objective criteria to select a socially responsible mutual fund from among a menu of several funds.

This study aims to analyze the impact of corporate governance characteristics on the risk exposure of Islamic mutual funds prevailing in different Islamic countries (Pakistan and Malaysia).

This study used dynamic panel regression model for analysis and estimated the results using system generalized method of moment technique. A sample of 185 Islamic funds is used in the current research, which is selected using judgmental sampling. The data span of this study consists nine years from 2009 to 2017.

The results showed that the corporate governance characteristics such as board independence, directors and institutional ownership and overall governance quality are helpful in reducing the total and downside risk exposure of Islamic mutual funds. The findings also suggest that board size and Chief Extractive officer duality play no role in mitigating the risk of Islamic funds prevailing in both countries.

This study has implication for industry practitioners and fund managers. This study showed that the corporate governance characteristics are helpful in reducing the risk exposure of Islamic mutual funds. Therefore, this study provides input to the investment firms to improve the quality of corporate governance for lowering the risk exposure of mutual funds.

To the best of the authors’ knowledge, this study is the first attempt to analyze the impact of corporate governance characteristics on the risk exposure of Islamic mutual funds and hence provides significant contribution in the literature of mutual funds.

This study aims to comparatively analyze the systematic, idiosyncratic and downside risk exposure of both Islamic and conventional funds in Pakistan to see which of the funds has higher risk exposure.

The study analyzes different types of risks involved in both Islamic and conventional funds for the period from 2009 to 2016 by using different risk measures. For systematic and idiosyncratic risk single factor CAPM and multifactor models such as Fama French three factors model and Carhart four factors model are used. For downside risk analysis different measures such as downside beta, relative beta, value at risk and expected short fall are used.

The study finds that Islamic funds have lower risk exposure (including total, systematic, idiosyncratic and downside risk) compared with their conventional counterparts in most of the sample years, and hence, making them appear more attractive for investment especially for Sharīʿah-compliant investors preferring low risk preferences.

As this study shows, Islamic mutual funds exhibit lower risk exposure than their conventional counterparts so investors with lower risk preferences can invest in these kinds of funds. In this way, this research provides the input to the individual investors (especially Sharīʿah-compliant investors who want to avoid interest based investment) to help them with their investment decisions as they can make a more diversified portfolio by considering Islamic funds as a mean for reducing the risk exposure.

To the best of the author’s knowledge, this study is the first attempt at world level in looking at the comparative risk analysis of various types of the risks as follows: systematic, idiosyncratic and downside risk, for both Islamic and conventional funds, and thus, provides significant contribution in the literature of mutual funds.

Finance theory proposes that consumers require information about the risk‐return trade‐off credibility information to relieve principal‐agent conflict concerns, and transaction cost information – for investment decisions. This paper aims to investigate whether or not such information is present in advertisements for one investment vehicle – mutual funds.

All advertisements in Barron's and Money over two years were content‐analysed to determine the degree to which mutual fund advertising practice adheres to theories regarding information necessary for optimal investment decisions. Use of techniques known to influence advertisement noting (i.e. advertisement size and colour) and copy readership (i.e. visual size, text length, unique selling proposition/brand‐differentiating message, celebrity endorsements, direct or indirect comparisons with competitors, and emotional appeals) was also investigated. Finally, because mutual funds are a financial service, the presence of convenience information (e.g. investment minima, access to agents or account information, and liquidity) was studied.

Mutual fund advertisements are not providing the information necessary for optimal investment decisions. Mutual funds use techniques known to increase the likelihood that their advertisements are noticed, but they also use techniques known to decrease the readership of their advertisements. Also, they rarely included convenience information.

Mutual fund advertisements attempt the activation of the advertised brand‐quality and the long copy‐quality heuristic. However, future research must determine whether or not consumers are applying these two heuristics on seeing mutual fund advertisements.

Mutual fund advertising is not serving consumers. Regulators should require all mutual fund advertisements to include an easy‐to‐read table summarizing necessary investment information to assist consumer decision making.