A firm's book equity is a measure of the value held by a firm's ordinary shareholders. Increasingly, it is being reported as a negative number. Since the firm's limited liability structure means that shareholders' value cannot be negative value, negative book equity has no obvious...

We show that most hedge fund managers are passive, not active. Active management should be manifest through nonlinear exposure to the systematic risk factors that drive hedge fund returns. In order to demonstrate managerial skill enhanced performance should accrue as a consequence of active...

Our paper investigates the timing of the inception of commodity trading advisors and the relationship between their fund flows and performance. Our results show that commodity trading advisor industry performance has, over the long-run (short-run), a positive (negative) effect on new commodity...

Hedge fund performance fees vary from 10% to 50%, with managers typically keeping 20% of the profits for themselves. Such large performance fees are unusual and provide a unique test of the efficacy of performance-based contracting. In theory, by linking a substantial amount of a fund manager's...

We ascertain the performance and viability of alternative indexation after including all relevant costs. Onerous costs, associated with forgoing the automatic rebalancing of traditional price-weighted indexes, may occur as a consequence of the frequent trading required to replicate alternatives...

Fundamental Indexation weights stock according to a firm's economic size, not stock price or market capitalization. This means that, at least in theory, unlike traditional market capitalization weighted indexes, it prevents overinvestment in overpriced stock and vice-versa. It should effectively...

Mutual funds are generally grouped on the basis of their investment objectives. Investors use these groupings, or 'styles', to make investment decisions and compare the performance of fund managers against appropriate indexes. Various authors have criticized the traditional classification...