This paper analyses the relationship between active management and performance in US equity mutual funds over the period 2001-2011 for both gross and net returns. Mutual funds achieve nonzero abnormal performance through strategies that produce differentiated results which are not captured by...

Islamic funds are an upcoming alternative to conventional funds, aided by the increasing prominence of Islamic finance. This paper contributes to the extant literature by comparing the performance of Islamic and conventional funds during crisis and recovery periods. In contrast to most previous...

The Foreign and Colonial Investment Trust is the oldest surviving closed end fund, having been established in 1868. Its early success and emulation were related to its identification of a missing market – the provision of a wholesale diversified vehicle for the investing public. This paper is...

In this paper, the stochastic dynamic programming approach is used to investigate the optimal asset allocation for a defined-contribution pension plan with downside protection under stochastic inflation. The plan participant invests the fund wealth and the stochastic interim contribution flows...

This paper analyses the relationship between the level of a return guarantee in an equity-linked pension scheme and the proportion of an investor’s contribution needed to finance this guarantee. Three types of schemes are considered: investment guarantee, contribution guarantee and surplus...

Calculation of risk contributions of sub-portfolios to total portfolio risk is essential for risk management in insurance companies. Thanks to risk capital allocation methods and linearity of the loss model, sub-portfolio (or position) contributions can be calculated efficiently. However, factor...

In this paper, we study the optimal investment strategy in the DC pension plan during the accumulation phase. During the accumulation phase, a pension member contributes a predetermined amount of money as premiums and the management of the pension plan invests the premiums in equities and bonds...

In this paper, we investigate the problem of immunization of insurers’ surplus when liabilities are financed by a stream of assets. The term structure of interest rates is assumed to be random, as are the streams of assets and liabilities. A new inequality for changes in the portfolio surplus...

We define low-latency activity as strategies that respond to market events in the millisecond environment, the hallmark of proprietary trading by high-frequency traders though it could include other algorithmic activity as well. We propose a new measure of low-latency activity to investigate the...

This study uses a multifactor REIT-specific model to estimate and compare REIT idiosyncratic volatility vis-à-vis the same from the Fama–French three-factor model. Estimates of conditional idiosyncratic volatility and conditional betas obtained from a multifactor REIT-returns model and a...