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Bond mutual funds vs. bond exchange traded funds : evaluation of risk adjusted performance

Stankevičiene, Jelena; Petroniene, Ieva - In: Administrative Sciences : open access journal 9 (2019) 2/31, pp. 1-14

Growing acceptance of passive bond exchange traded funds (ETFs) and actively managed bond mutual funds has exposed the … analysis of actively managed bond funds and passive bond ETFs in the context of multiple criteria. The research of risk …-adjusted performance of a sampled group of bond funds and ETFs using the TOPSIS multi-criteria decision-making method revealed that …

Persistent link: https://www.econbiz.de/10012140325

Managing the Risk of a Fixed Income Bond Fund

Chincarini, Ludwig B. - 2022

Increasingly, consultants for fund management firms care about the riskiness of fund managers’ investment strategies. Fund managers themselves must care about the riskiness of their investment strategies vis-a-vis the client’s specified benchmark

Persistent link: https://www.econbiz.de/10013288793

Managing Longevity Risk : The Case for Longevity-Indexed Variable Expiration Bonds

Muralidhar, Arun - 2020

There is an annuity puzzle in that the actual allocation by individuals to annuities is low. Longevity bonds, to hedge overall economy-wide mortality risk, have been proposed, but these bonds have challenges and the proponents have not shown how governments are hedged. This paper recommends that...

Persistent link: https://www.econbiz.de/10012843566

Commodity Exchange-Traded Funds : Observations on Risk Exposure and Performance

Plamondon, John P. - 2012

This paper compares returns of ETFs holding physical commodities and ETFs holding derivative products to their respective spot commodity returns to identify significant performance differences based on the ETF assets. We regress ETF returns on spot commodity returns to estimate beta and R2...

Persistent link: https://www.econbiz.de/10013101248

Vulnerable asset management? : the case of mutual funds

Fricke, Christoph; Fricke, Daniel - 2017

Is the asset management sector a source of financial instability? This paper contributes to the debate by performing a macroprudential stress test in order to quantify systemic risks in the mutual fund sector. For this purpose we include the welldocumented flow-performance relationship as an...

Persistent link: https://www.econbiz.de/10011740280

Downside Risk Timing by Mutual Funds

Bodnaruk, Andriy - 2015

We study whether mutual funds systematically manage downside risk of their portfolios in ways that improve their performance. We find that actively managed mutual funds on average possess positive downside risk timing ability. Funds investing in large-cap and value stocks have stronger downside...

Persistent link: https://www.econbiz.de/10013016532

A Value Investing-Based Approach to Catastrophe Bonds and Tail Risk Hedging

Sheehan, Frederick - 2015

This paper is a compilation of two articles that were written on the subject of catastrophe bond valuation (Part 1 of …

Persistent link: https://www.econbiz.de/10013026730

Managing Longevity Risk – The Case for Longevity-Indexed Variable Expiration (LIVE) Bonds

Muralidhar, Arun - 2018

-expectancy of the economy (having addressed retirement income through life expectancy with a complementary BFFS/SeLFIES bond). Each … bond will be cohort specific and based on tax collections of that cohort. In this fashion, the government is fully hedged … (because the bond will be a form of a collateralized debt obligation), and hence a natural issuer, with low credit risk. Since …

Persistent link: https://www.econbiz.de/10012913600

Floating-Rate Bonds : Switching One Risk for Others

Institute, Brandes - 2015

Unlike traditional bonds, Floating-rate bonds (FRB) do not have a fixed rate coupon. Instead, their rate fluctuates or floats based on the market plus a spread. As a result, FRBs tend to be less vulnerable to interest-rate fluctuations. Many believe FRBs can help preserve principal, while...

Persistent link: https://www.econbiz.de/10013015640

FRE-GY6711 : Quantitative Portfolio Management Module 5 - Measuring and Managing Risk (Presentation Slides)

Philips, Thomas K. - 2017

Persistent link: https://www.econbiz.de/10012951802