In this paper we investigate the possible benefits of integrating ESG considerations into fixed income portfolio construction. When we create portfolios ranked by a composite ESG value or by an environmental ranking we find evidence to suggest that higher ESG rankings produce an improvement in...

In this paper we investigate the influence of two factors on the risk taking behaviour of hedge fund managers. The first factor is the past performance of the fund relative to the performance of each fund's peer. The second is the option-like features of the typical hedge fund manager's...

According to the Chinese calendar 2016 was the year of the Monkey. In this paper, using a common set of 500 US stocks, we analyse the performance of 1 billion randomly generated stock indices (as if chosen by a monkey) to both a market capitalization-weighted index and several popular smart beta...

There is now a substantial literature on the effects of rebalancing on portfolio performance. It is widely argued in the theoretical literature that rebalanced strategies are inherently likely to generate greater terminal wealth than unrebalanced strategies, although empirical studies do not...

In this paper we examine market level data on the net investment into broad categories of UK mutual funds (known as unit trusts) collated by the Investment Management Association (IMA). We use these data to calculate a measure known as the 'performance gap' that is used by both Friesen and Sapp...

With the benefit of a more comprehensive dataset than previous authors in this area, in this paper we revisit the relationship between hedge fund performance and size. Our results indicate that there is a strong, negative relationship between hedge fund performance and size. But, in addition, we...

In this paper we use Monte Carlo simulation techniques to gauge the impact of three mutual fund fee structures on the utility of investors and fund managers: a fee fixed as a proportion of AUM; an asymmetric performance-based fee; and a symmetric performance-based fee. Our study identifies a clear...

In this paper we explore an alternative approach for determining constituent weights for equity indices. This approach makes use of alternative definitions of company size, and is referred to as Fundamental Indexation (Arnott et al (2005)). Based upon a data set that comprises the largest 1,000...

There is now a dazzling array of alternatives to the market-cap approach to choosing constituent weights for equity indices. Using data on the 1,000 largest US stocks every year from 1968 to the end of 2011 we compare and contrast the performance of a set of alternative indexing approaches. The...