The authors investigate whether sports traders who systematically invest in sports betting strategies can outperform hedge fund managers and the S&P 500 from 1st January 2010 to 7th January 2016. The authors take a simple betting strategy based on Horse races in the UK and invest consistently on...

A widespread concern in the investment industry is whether commonly used investment management fee arrangements encourage investment managers to act in their clients' interests. The value to managers of a one-period call performance fee is maximized by maximizing performance volatility. This is...

An unprecedented number of investors are giving their financial advisors a mandate for socially responsible investing (SRI). Yet, the impact of SRI mandates on consumers is unclear. In a pre-registered lab-in-the-field experiment with 345 professional advisors, we find that advisors charge a...

In the United States, exchange-traded funds can defer capital gains taxes of their investors by taking advantage of a legal loophole, sometimes referred to as Wall Street's "dirty little secret". To quantify the impact of this tax loophole on investor portfolios, we study a rank-dependent...

MiFID II forces banks and wealth managers to ask clients for their investment knowledge and experience. The implied regulatory view is that less experience should result in less risk taking. While this is neither shared in theoretical nor in empirical finance, it becomes a source of legal risk...

Investors’ return on their portfolios, as proxied by the market, is a theoretically appealing but empirically unsuccessful asset pricing factor. In practice, many institutional investors choose to deviate substantially from the market portfolio. We propose a simple model in the spirit of...

Alternative Mutual Funds (AMFs) follow strategies similar to those of hedge funds and seek returns uncorrelated with the market. We analyze the performance of AMFs for the period January, 1998 through December, 2011 using the Carhart four-factor model and the Fung-Hsieh seven-factor model. Our...

For nearly three decades, scientific studies have explored momentum investing strategies and observed stable excess returns in various financial markets. However, the trading strategies typically analyzed in such research are not accessible to individual investors due to short selling...

Individual investors typically determine their asset allocation using investor questionnaires, which can be viewed as black boxes that generate a result without highlighting the benefits and costs of the portfolios considered. This article introduces an asset allocation tool, the gain-pain index...

In this article, I investigate the statistical properties and relationships of VIX with alternative investment strategies. I find that different VIX states result in very different risk adjusted performance for all strategies and confirm that significant deviations from normality are observed in...