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 …

We document a rapid increase in retail trading in options in the United States. Facilitated by
payment for order flow (PFOF) from wholesalers executing retail orders, retail trading …

Despite their strong positive average returns across numerous asset classes, momentum
strategies can experience infrequent and persistent strings of negative returns. These …

The use of predetermined variables to represent public information and time‐variation has
produced new insights about asset pricing models, but the literature on mutual fund …

The relative performance of no‐load, growth‐oriented mutual funds persists in the near term,
with the strongest evidence for a one‐year evaluation horizon. Portfolios of recent poor …

This article characterizes the systematic risk exposures of hedge funds using buy-and-hold
and option-based strategies. Our results show that a large number of equity-oriented hedge …

We investigate the informational efficiency of mutual fund performance for the period 1965–
84. Results are shown to be sensitive to the measurement of performance chosen. Wefind …

This article presents some new results on an unexplored dataset on hedge fund
performance. The results indicate that hedge funds follow strategies that are dramatically …

We use an asymptotic principal components technique to estimate the pervasive factors
influencing asset returns and to test the restrictions imposed by static and intertemporal …

This paper estimates hedge fund and mutual fund exposure to newly proposed measures of
macroeconomic risk that are interpreted as measures of economic uncertainty. We find that …