In this paper assess the relative performance of US mutual funds using a non-parametric
method such as data envelopment analysis (DEA). In particular, we assess the changes of …

This paper aims to evaluate the risk-adjusted performance of Malaysian mutual funds using
the modified performance evaluation ratios by the drawdown risk measure (DRM) based on …

Purpose We propose a risk factor for idiosyncratic entropy and explore the relationship
between this factor and expected stock returns. Design/methodology/approach We estimate a …

We investigate a global cross-sectional relation between idiosyncratic risk moments and
expected stock returns by suggesting three global idiosyncratic volatility, skewness, and …

We develop an alternative approach based on mean-drawdown risk behavior versus the
mean-variance behavior. We develop two risk measures as the maximum draw down risk and …

Purpose The purpose of this paper is to provide the modified measures of risk-adjusted
performance evaluation of Malaysian mutual funds using the downside risk concepts, and …

We evaluate the efficiency of mutual fund managers of 20 different classes of management
styles to identify the most efficient strategies and to propose an optimal pattern in selecting …

Purpose – This paper aims to evaluate the risk‐adjusted performance of Malaysian mutual
funds using optimized drawdown risk measures (ODRMs) based on modern portfolio theory, …

Purpose – This paper aims to evaluate the risk‐adjusted performance of the management
styles of Malaysian mutual funds using nine modified performance evaluation measures …

We investigate the effects of drawdown risk reduction on the US hedge funds. Despite the
existence of numerous evidences on the asymmetric distribution of portfolio returns, the …