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...

This article extends the parametric portfolio policy approach to optimizing portfolios with a large numbers of assets (Brandt, et al. 2009). The proposed approach incorporates unobserved effects into the portfolio policy function. These effects measure the importance of unobserved heterogeneity...

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...

This research studies mutual fund performance in three selected Asian countries — China, Singapore and Thailand — for twelve years during 2000 to 2011 to determine whether any equity mutual funds significantly outperformed, or beat the market. The study begins with direct and simple...

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...

We investigate the determinants and performance implications of cash holdings for a large sample of actively-managed equity funds domiciled in the European Union (EU). In line with recent evidence from the US, we observe that cash holdings are strongly influenced by a fund's fee structure, past...

This paper investigates whether equity indices of 24 emerging and 28 developed markets compensate their investors equally after taking risk into account, and examines the predictive power of reward-to-risk ratios for expected market returns. We place special emphasis on downside risk by...

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...

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...

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...