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Index ETFs' Tracking Error as a Predictor of Performance
Xie, Yizhen; Pu, Darcy - 2022
significantly and consistently negative predictor of performance. Tracking error is highly persistent, indicating index ETF manager …
Persistent link: https://www.econbiz.de/10013403791
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Predicting ETF Liquidity
Pham, Son Duy - 2020
A substantial amount is incurred in ETF transaction costs each year. This paper examines the performance of a vector … savings for large and retail ETF traders by timing trades. A large ETF trader can save 7.40% of ETF spread costs whereas … trading at the market closing time would be optimal for a retail ETF trader to reduce spread costs. The spread savings for …
Persistent link: https://www.econbiz.de/10012828896
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A Flow-Based Explanation for Return Predictability
Lou, Dong - 2010
This paper proposes and tests an investment-flow based explanation for three empirical findings about return predictability -- the persistence of mutual fund performance, the "smart money" effect, and stock price momentum. Motivated by prior studies, I construct a measure of demand shocks to...
Persistent link: https://www.econbiz.de/10013150989
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Out-of-Sample Performance of Mutual Fund Predictors
Jones, Christopher S. - 2019
We analyze the out-of-sample performance of variables shown to forecast future mutual fund alphas. The degree of predictability, as measured by alpha spreads from quintile sorts or by cross-sectional regression slopes, falls by at least half post-sample. These declines appear to be primarily the...
Persistent link: https://www.econbiz.de/10012901822
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Detecting Repeatable Performance
Harvey, Campbell R. - 2020
Final working paper version. "" Published version: The Review of Financial Studies, Volume 31, Issue 7, July 2018, pp. 2499–2552. Past fund performance does a poor job of predicting future outcomes. The reason is noise. Using a random effects framework, we reduce the noise by pooling...
Persistent link: https://www.econbiz.de/10012855889
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Expected Returns and the Predictability of Equity Lending Fees
Andrews, Spencer - 2022
Using a novel equity lending dataset, this paper is the first to show that expected returns strongly and negatively predict future equity lending fees. In comparing two expected return measures, I find that a rational expected return has stronger predictive power of future short selling activity...
Persistent link: https://www.econbiz.de/10013491786
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Separating Portfolio Performance into Opportunity, Foresight, and Active Management Risk
Khang, Kenneth - 2011
We introduce a decomposition showing precisely how actively-managed portfolio returns can be separated into three measurable components that we call Opportunity, Foresight, and Active Management Risk. Opportunity reflects the degree to which the investment opportunity set contains exploitable...
Persistent link: https://www.econbiz.de/10013133301
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The Impact of Hedge Funds on Asset Markets
Kruttli, Mathias S. - 2016
This paper provides evidence of the impact of hedge funds on asset markets. We construct a simple measure of the aggregate illiquidity of hedge fund portfolios, based on the cross-sectional average first order autocorrelation coefficient of hedge fund returns, and show that it has strong and...
Persistent link: https://www.econbiz.de/10013007429
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Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance
Ferson, Wayne E. - 2003
Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...
Persistent link: https://www.econbiz.de/10014023859
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Time-series momentum : a Monte-Carlo approach
Cheng, Enoch; Struck, Clemens - 2019
This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create...
Persistent link: https://www.econbiz.de/10011990919