We firmly believe that style-appropriate, investible benchmarks not only provide a more parsimonious way of describing manager performance, but also that their use better aligns performance evaluation with the real world performance targets of fund managers'. It is against such benchmarks that...

The importance of asset allocation decisions in wealth management is well established. However, given its importance it is perhaps surprising that so little attention has been paid to the question of whether professional fund managers are skillful at timing market movement across asset classes...

In this paper we use Monte Carlo simulation techniques to gauge the impact of three mutual fund fee structures on the utility of investors and fund managers: a fee fixed as a proportion of AUM; an asymmetric performance-based fee; and a symmetric performance-based fee. Our study identifies a clear...

This study investigates the impact of securitization on the credit-risk taking behavior of banks. Using US bank holding company data from 2001 to 2007 we find that banks with a greater balance of outstanding securitized assets choose asset portfolios of lower credit risk. Examining...

By using securitization, a bank is able to lower its cost of funding, improve risk management and increase profitability.The key to the realization of the potential benefits of securitization lies in the quality of the underlying receivables, which, in turn, is directly related to the...

In this paper we investigate the impact of UK macroeconomic news announcements on selected futures contracts and exchange rates. We include a wide set of scheduled public news announcements in our study, including official interest rate decisions. We investigate whether the reaction to these...