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...

The method previously devised to harvest most of the potential gain in bull markets while avoiding most of the pain in bear markets is improved to provide greater accuracy and minimize whipsaw trading that can occur in some cases. The basic method focuses on a buy-the-market and hold strategy...

We use portfolio holdings to show that mutual funds preferentially trade stocks according to the stocks' sentiment betas. Stocks with high sentiment betas are more responsive to investor sentiment and increase (decrease) in value as sentiment increases (decreases). Sentiment-based trades may be...

This paper illustrates how qualitative analysis can be incorporated into quantitative risk measurement in order to construct an expected distribution of hedge fund returns that explicitly allows for market, residual and tail risk. We show how the combination of statistical criteria with...

The paper investigates the degree to which the domestic equity mutual fund is diversified, and attempts to determine the extent to which any undiversified idiosyncratic risk, i.e. unsystematic or company specific risk is associated with the average fund returns. The sample consists of mutual...

Even though correlations between different economies' stock markets have empirically increased over time, it would have been advantageously to invest in developing countries' stock markets such as the Indian stock market, instead of investing in the US-stock market when considering the overall...

This paper analyses the financial and economic conditions of the companies in the portfolios of Italian private equity funds. Information from an ad hoc survey of Italian asset management companies, combined with accounting data for 2008 drawn from the Central Credit Register, is used to develop...