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Do Hedge Funds Outperform Stocks and Bonds?

Bali, Turan G. - 2012

which hedge fund strategies outperform the U.S. equity and/or bond markets. The results from the realized and simulated …

Persistent link: https://www.econbiz.de/10013106936

The Impact of Crude Oil Investments in Bond Portfolios : Can Oil Serve as a Hedge Against Long Term Bonds?

Sury, Sharath - 2014

the value of long duration bond holdings, particularly those with low or zero coupons. As investors reposition their … potential capital losses in their bond holdings. This paper examines the relationship between long term bonds and crude oil (as … measured by the exchange traded proxies, iShares 20 Year Treasury Bond [NYSEArca: TLT], iShares 7-10 Year Treasury Note …

Persistent link: https://www.econbiz.de/10013056629

Mean Aversion in Fixed Income Returns : Evidence and Implications for Long Horizon Investors

Szakmary, Andrew C. - 2012

This study documents strong mean aversion in U.S. fixed income returns (but not stock returns) at 5-20 year horizons. These results are only slightly weaker for nominal returns than for real returns and prevail regardless of the period examined (1926-2011, 1951-2011, 1857-1925 or 1857-2011). I...

Persistent link: https://www.econbiz.de/10013100193

Does Green Bond Improve Portfolio Diversification? Evidence From China

Han, Yingwei; Li, Ping; Wu, Sanmang - 2022

environmental benefits to mitigate and adapt to climate change. China's green bond market expanded rapidly in recent years due to …

Persistent link: https://www.econbiz.de/10013298656

Bond Funds Herding and Corporate Bond Issuance

Kim, Gi H.; Li, Xu - 2022

Do corporate bond funds have a real impact on firm policies? In this paper, we examine whether fund herding alters the …-level measure of herding by U.S. bond mutual funds from 1998 to 2018, we find that fund herding in a firm’s existing bonds increases …

Persistent link: https://www.econbiz.de/10014236557

The shift from active to passive investing : potential risks to financial stability?

Anadu, Kenechukwu; Kruttli, Mathias; McCabe, Patrick E.; … - 2018

The past couple of decades have seen a significant shift from active to passive investment strategies. We examine how this shift affects financial stability through its impacts on: (i) funds' liquidity and redemption risks, (ii) asset-market volatility, (iii) asset-management industry...

Persistent link: https://www.econbiz.de/10012016127

Selectivity and market timing ability of fund managers : comparative analysis of Islamic and conventional HSBC Saudi mutual funds

Zouaoui, Marwa - In: International Journal of Financial Studies : open … 7 (2019) 3/48, pp. 1-19

This paper empirically compares the market timing, the stock selection and the performance persistence of Islamic and conventional HSBC Saudi mutual funds by using monthly returns from April 2011 to December 2018. The data was grouped into five portfolios based on geographical investment basis...

Persistent link: https://www.econbiz.de/10012150279

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

The Empirical Law of Active Management : Perspectives on the Declining Skill of U.S. Fund Managers

Senechal, Edouard - 2023

Sénéchal proposes a new analytical framework—the empirical law of active management—to assess the breadth, or diversification, and the skill of a portfolio manager. The framework requires no assumptions regarding a manager’s asset return expectations or investment process. The framework...

Persistent link: https://www.econbiz.de/10014349349

Portfolio Management in Private Equity

Brown, Gregory W.; Fei, Celine Yue; Robinson, David T. - National Bureau of Economic Research - 2023

General Partners (GPs) in private equity face a trade-off between focusing their skills and effort on fewer investments to earn higher returns, or investing more broadly to reduce risk through diversification. Using a novel, deal-level dataset of 5,925 global investments from 1999 to 2016, we...

Persistent link: https://www.econbiz.de/10014372421