Showing 1 - 10 of 1,218
We use the financial crisis of 2007-2009 as a laboratory to examine the costs and benefits of teams versus single managers in asset management. We find that when a fund uses complex trading strategies involving the use of CDS team-managed funds outperform solo-managed funds. This may be due to...
Persistent link: https://www.econbiz.de/10010503931
The purpose of this doctoral thesis is clearly established: to understand whether fund of hedge funds based portable alpha strategies provide tools for better investment results commensurate with risk and costs.A finance literature review is presented, which also delves into the roots of hedge...
Persistent link: https://www.econbiz.de/10013131709
The aggregate portfolio of Chinese actively managed stock mutual funds exhibits a large and significantly positive alpha. Results from bootstrap simulations indicate that most Chinese active stock mutual fund managers have skill. A substantial amount of their outperformance can be attributed to...
Persistent link: https://www.econbiz.de/10013081605
I present a methodology for evaluating the performance of fixed-income investment managers, over the last ten years. A cross-section of such managers reveals that alpha does not reflect most non-market performance, unless a regime-switching model is used. The quest is for arriving at qualitative...
Persistent link: https://www.econbiz.de/10012929206
In this paper we study the performance and performance persistence of international equity mutual funds with a focus on fund investment styles. Using a best-fit index methodology, we sort funds yearly based on the style dimensions of size and value/growth, as well as on regional categories...
Persistent link: https://www.econbiz.de/10013061669
Purpose - The purpose of this paper is to examine the performance of US mutual funds that invest primarily in emerging market equities and bonds. Design/methodology/approach - The study adopts the Morningstar classification of mutual funds and uses the Lipper US Mutual Fund Database through...
Persistent link: https://www.econbiz.de/10012063525
We study the performance of a group of foreign exchange reserve managers that are responsible for investing the ECB's official reserves in US dollars, for a value of around $43 billion, using a new dataset which includes detailed portfolio holdings from 2006 to 2010. The ECB reserve managers...
Persistent link: https://www.econbiz.de/10012980829
This paper is the first systematic analysis of the impact of diversification on the performance of private equity funds. A unique data set allows the exact evaluation of diversification across the dimensions financing stages, industries, and countries. Very different levels of diversification...
Persistent link: https://www.econbiz.de/10010383033
While correlation is the common measure of the benefits of diversification, it is not a good measure. This is for two reasons. First, the benefits of diversification depend not only on the correlations between stock returns but also on the standard deviations of stock returns. Second,...
Persistent link: https://www.econbiz.de/10013038479
Funds of hedge funds are diversified investment vehicles that provide investors with diversification either across managers within a specific hedge fund strategy or across a wide range of hedge fund strategies. In this paper, we contrast the performance of funds of hedge funds that diversify...
Persistent link: https://www.econbiz.de/10012905988