A characteristic of hedge funds is not only an active portfolio management, but also the allocation of portfolio performance between different accounts, which are the accounts for the external investors, an account for the management firm and a provision account. Despite a lack of transparency...

We use a unique dataset reporting the trading of an institutional asset manager implementing trend following strategies to estimate the associated transaction costs. With information both at the trade and the fund levels, we disentangle the impact of the execution quality from the management...

This paper provides a new method to disentangle the systematic component from the idiosyncratic part of the risk associated with trend following strategies. A simple statistical approach, combined with standard dimension reduction techniques, enables us to extract the common trending part in any...

This paper investigates empirically whether time-series momentum returns can explain the performance of hedge funds in the cross-section. Following the trend following literature, a volatility-adjusted time-series momentum signal is applied on a daily basis across a large set of futures,...

This paper analyses the purchase and redemption behaviour of mutual fund investors and its implications on fund liquidity risk. We collect a novel set of proprietary data which contains a large number of French investors holding funds with various degrees of asset liquidity. We build a...

This paper proposes a new dynamic approach to modelling intra-day trading volume based on factor models. It assumes that intra-day volume can be decomposed into two parts each predicted using separate time-series models. By enabling more accurate prediction of intra-day volume, this methodology...

High frequency transaction prices exhibit two major cha racteristics: they are discrete in level and only exist at random transaction dates. In this paper, we seek to model transaction price dynamics, taking into account these two features. We specify the transaction price process as a Markov...

Until recently the liquidity of financial assets has typically been viewed as a second-order consideration. Liquidity was frequently associated with simple transaction costs that impose - temporary if any- effect on asset prices, and whose shocks could be easily diversified away. Yet the...

ETFs and index funds have grown at very rapid rates in recent years. Originally launched to track some large liquid indices in developed markets, they now also concern less liquid asset classes such as emerging market bonds. Illiquidity certainly affects the quality of the replication, and in...

Financial markets are today so interconnected that they are fragile to contagion. Massive investment funds with very short horizons in -and out- flows can generate contagion effects between markets. Since 2010, investors are willing to get a liquid exposure to the EM sovereign debt. As a...