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Target Date Funds : Characteristics and Performance

Elton, Edwin J. - 2015

Research has shown that individual investors make poor asset allocation decisions in 401k plans. In response to this research, 72% of all 401k plans now offer Target Date Funds where asset allocation decisions are made for the investor and 43% of the assets of young 401(k) plan participants are...

Persistent link: https://www.econbiz.de/10013030693

Momentum in Global Equity Markets in Times of Troubles : Does the Economic State Matter?

Grobys, Klaus - 2015

This paper investigates the profitability of momentum-based trading strategies pursued during the most recent economic downturns in global equity markets. In contrast to previous studies, it reveals that such strategies generated statistically significant negative returns during the most recent...

Persistent link: https://www.econbiz.de/10013030705

A Practical Approach to Business Unit Hurdle Rates, Portfolio Analysis and Strategic Planning

Calandro, Jr., Joseph - 2015

During the course and scope of our work as corporate finance advisors and researchers we have encountered a number of executives who struggle with their current methods of estimating business unit hurdle rates, and their methods of evaluating business unit portfolios. A number of these...

Persistent link: https://www.econbiz.de/10013030718

M&A Portfolios and Market Returns

Evgeniou, Theodoros - 2015

M&A activity and the returns of targets and acquirers may provide information about both the companies involved and the overall market conditions. This paper shows evidence that a number of M&A related measurements, such as the number of live deals or the beta of a portfolio of cash targets, may...

Persistent link: https://www.econbiz.de/10013030878

Prices and Investment with Collateral and Default

Magill, Michael J. P. - 2015

This paper uses the framework of an OLG economy with three-period lived agents in which a durable good serves as collateral for loans, to study the effect of an unanticipated income shock when the economy is in a steady state equilibrium. We focus on the consequence of default on loans when the...

Persistent link: https://www.econbiz.de/10013030893

Maximizing Active Risk Adjusted Return

Sutedja, Ronald - 2015

Information ratio is defined as the ratio between excess return and the standard deviation from excess return. The denominator of IR, at least in the context of multi-factor risk model, is defined as the active exposure times the factor covariances times the transpose of the active exposure...

Persistent link: https://www.econbiz.de/10013031008

Duration of Poor Performance, Fund Flows and Risk-Shifting by Hedge Fund Managers

Li, Ying - 2015

study by the change in fund return volatility in the middle of the year. However, hedge funds that cannot attract new funds … confronts hedge fund managers with a complex strategic decision regarding the optimal level of their funds' return volatility …. While an increase in return volatility generally increases the expected payoff of the compensation contract, excessive …

Persistent link: https://www.econbiz.de/10013031114

Capital Market Expectations, Asset Allocation, and Safe Withdrawal Rates

Pfau, Wade D. - 2015

Most retirement withdrawal rate studies are either based on historical data or use a particular assumption about portfolio returns unique to the study in question. But planners may have their own capital market expectations for future returns from stocks, bonds, and other assets they deem...

Persistent link: https://www.econbiz.de/10013031119

In Search of a Risk-Free Asset

Yankov, Vladimir - 2015

To attract retail time deposits, over 7,000 FDIC insured U.S. commercial banks publicly post their yield offers. I document an economically sizable and highly pro-cyclical cross-sectional dispersion in these yield offers during the period 1997-2011. Banks adjusted their yields rigidly and...

Persistent link: https://www.econbiz.de/10013031126

Withdrawal Rates, Savings Rates, and Valuation-Based Asset Allocation

Pfau, Wade D. - 2015

While most everyone would agree that valuations matter, the question remains as to whether clients with a long-term outlook (such as those planning for retirement) can hope to act successfully on information about valuations. This article provides favorable evidence based on the historical...

Persistent link: https://www.econbiz.de/10013031131