This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis...

Barras, Scaillet, Wermers (2010) propose the False Discovery Rate to separate skill (alpha) from luck in fund performance. Using simulations with parameters informed by the data, we find that this methodology is overly conservative and underestimates the proportion of nonzero-alpha funds. E.g.,...

We propose a novel methodology that jointly estimates the proportions of skilled/unskilled funds and the cross-sectional distribution of skill in the mutual fund industry. We model this distribution as a three-component mixture of a point mass at zero and two components — one negative, one...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

The phrase long-term investing in triple leveraged ETFs is somewhat of an anathema for investment academicians. As a result of daily rebalancing and so-called beta slippage or “the constant leverage trap” it is highly likely over the long term to significantly deviate from the targeted...

This report is a brief of the actual research and discusses two ways of asset allocation in Hedge Funds to generate alpha over the fund of hedge funds. The fund of hedge funds have fallen out of favour for investors seeking alternative investments as they have lagged the general market returns....

We describe how networks based on information theory can help measure and visualize systemic risk, enhance diversification, and help price assets. To do this, we first define a distance measure based on the mutual information between asset pairs and use this measure in the construction of...

Professional asset allocators frequently report positive alphas, and the generation of alpha is widely discussed in the context of asset allocation. This paper demonstrates that two-fund asset allocation strategies contain a positive-alpha bias and derives an expression for the alpha of an asset...

Changes in reported private equity (PE) valuations often lag those in public asset valuations, especially during periods of market turmoil. These periods often cause portfolio asset allocations to deviate from target allocations – something known as the “denominator effect.”Rebalancing...

We use a choice experiment on equity fund investments to estimate the preferences of young adults for sustainable investments relative to conventional investment funds. Our results suggest that the traditional trade-off between investment fund risk and return is still valid in the selection of...