This study aims at analyzing the ability of managers of Alternative Risk Premia (ARP) portfolios to outperform benchmarks and to deliver alphas. Using a sample of more than 200 ARP indices, we first distinguish performance between allocation strategy and picking ability. Our first results show...

Robot investment assistants (RIAs), equipped at various investment platforms, are designed to help individual investors with investment decisions by providing information and advices. Using account level data between 2020 and 2021 from the largest investment platform in China, we examine the...

Gil–Bazo and Ruiz–Verdú (2009) show that fund families strategically exploit the low performance sensitivity of investors, i.e., investors’ low elasticity of demand with respect to performance, to increase fund fees. Given that environmentally, socially and governance (ESG) focused...

—“Skin in the game”—money managers’ private investments in the funds they run—helps aligning potentially conflicted interests of investors and managers. Prior research acknowledges this benefit but remains silent about how investors are supposed to learn if fund managers have skin in...

We analyze the Sharpe ratio and 14 alternative reward-to-risk ratios. Every alternative ratio leads to the same ranking of investment funds as the Sharpe ratio if the funds' return distributions satisfy the location and scale condition (see Meyer, 1987). It then makes no difference whether funds...

The least restrictive sufficient condition for expected utility to imply Sharpe ratio rankings is the location and scale (LS) condition (see Meyer, 1987). The LS condition includes the normal and many other (asymmetric and leptokurtic) distributions commonly used in finance. In this paper we...

In this article we examine the backfill bias or instant history bias for hedge funds using additional information from the Tass database. This is information about the exact date a hedge fund starts to reporting to Tass. Using this information we are able to reveal the length of the instant...

In this paper we prove that partial-moments-based performance measures (e.g., Omega, Kappa, upside-potential ratio, Sortino–Satchell ratio, Farinelli–Tibiletti ratio), value-at-risk-based performance measures (e.g., VaR ratio, CVaR ratio, Rachev ratio, generalized Rachev ratio), and other...

We present evidence of the impact of buy-side analysts on the behavior and performance of fund managers. Using data provided by a large global asset manager, we relate buy-side analysts' recommendations to fund transactions on a daily basis. Our results show that buy-side analysts have a...