This study aims to explore the potential impact of the anticipated Georgian Real Estate Investment Trusts (REITs) on the performance of investment portfolios. Due to the absence of Georgian REITs, a simulated financial asset representing a Georgian Residential REIT was engineered. The study...

Credit facilities in private equity, often referred to as “subscription lines” (SL), have become a topic of interest, sparking debates not only among researchers but also among practitioners. In this paper, we are the first to analyze their potential thoroughly by quantifying the impact on...

Performance of mutual fund selection methods is typically assessed using long samples (long time series). It is, however, very often of interest how well the methods perform in shorter samples. We carry out an extensive simulation study based on an empirically motivated skill distribution. For...

This paper investigates hedge funds' exposures to various risk factors across different investment strategies through models with both linear and second-order factors. We extend the analysis from an augmented linear model based on Fama and French (1993) and Fung and Hsieh (2001) to second-order...

The purpose of this research is to explore the viability of utilizing the Morningstar upside/downside capture ratio (UDCR) as viable measure of mutual fund risk and its relation to return. This research examines and compares result of the Sharpe ratio to the Morningstar upside/downside capture...

This study evaluates the performance of a selection of Alternative Investment Funds (AIFs), and Undertakings for Collective Investment in Transferable Securities Funds (UCITS) which followed a global geographic focus strategy during the period 2010-2016. These two fund structures are governed by...

Student managed portfolios offer a practical learning environment but often miss opportunities for outperformance. We provide several recommendations for structuring fund trades to enhance the pedagogical experience for the students in addition to generating alpha. A strategy that targets mid...

This paper examines the appropriate measure of performance for real estate mutual funds. Several popular performance measures including Sharpe, Treynor and Sortino measures are evaluated. The results demonstrate that the Sharpe index outperforms the other two alternatives. In order to consider...

Many corporations and financial institutions have recently faced lawsuits in which plaintiffs have alleged harm to 401(k) plan participants by the inclusion of high-fee actively managed mutual funds in plan offerings, instead of low-cost index funds. The goal of our study is to compare the...

We propose a novel approach for analysis of the composition of an equity mutual fund based on the time series decomposition of the price movements of the individual stocks of the fund. The proposed scheme can be applied to check whether the style proclaimed for a mutual fund actually matches...