This study proposes methodological adjustments to the widely adopted performance benchmarking methodology of Daniel et al. (1997) as a means of improving the precision of alpha measurement for active equity fund managers. We achieve this by considering the monthly updating of characteristic...

An emulation fund is designed to reduce trading activity, thereby lowering costs, for a multi-manager fund. It does this by delaying, and potentially combining, trading decisions from each employed fund manager to eliminate offsetting trades (e.g. one manager may buy a stock for her fund while...

An emulation fund is designed to reduce trading activity, thereby lowering costs, for a multi-manager fund. It does this by delaying, and potentially combining, trading decisions from each employed fund manager to eliminate offsetting trades (e.g. one manager may buy a stock for her fund while...

We examine the effects of algorithmic trading (AT) on the US mutual fund industry and find that funds holding stocks with higher AT intensity have lower holdings returns and higher interim trading profits (return gap). This effect survives controls of effective spread and execution shortfall....

We examine the effect of algorithmic trading (AT) on the US mutual fund performance and find that funds holding stocks with higher AT intensity have lower holdings return and higher interim trading profits as measured by return gap. This positive effect of AT on return gap survives controls of...

Superannuation fees have come under public scrutiny in recent years with the belief that many are set too high. Using a comprehensive dataset of Australian superannuation funds, we examine the relationship between investment fees and fund performance. We find that the most expensive funds...