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...

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...

We consider the role of special orders in informed traders' order submission strategies and their effect on the market price discovery process. Special orders, such as Fill-or-Kill and All-or-Nothing orders, are not entered in the order book; instead, they are executed immediately. This means...

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...

We show that broker identities are important for price formation. We use the removal of broker identities by the ASX on November 28th 2005 as a natural experiment and compare the information signal of broker identities before and after its removal. We find that broker identities have significant...

As a consequence of recent technological advances and the proliferation of algorithmic and high frequency trading, the cost of trading in financial markets has irrevocably changed. One important change relates to how trading affects prices; known as price impact. Price impact represents the...

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 investigate the impact of market transparency on the interaction between fast traders and uninformed (retail) order flow. Using the switch to an anonymous trading platform on the Australian Securities Exchange as an exogenous shock to market transparency, we find that the informational...