Is the asset management sector a source of financial instability? This paper contributes to the debate by performing a macroprudential stress test in order to quantify systemic risks in the mutual fund sector. For this purpose we include the welldocumented flow-performance relationship as an...

The Asset Management Industry in India consists of a vibrant and rapidly growing mutual funds sector, an insurance sector that is dominated by unit-linked insurance plans, and Venture Capital Funds, both domestic and foreign. Also Foreign Institutional Investors form a category that pool foreign...

This paper unveils the processes for building a country's trading strategy that can outperform the MSCI Indexes and on the factor basis. By exploring the belief and experimenting with the structure in place, there seems to be enough room to build a quantitative investment strategy that generates...

We analyze the implications of linking the compensation of fund managers to the return of their portfolio relative to that of a benchmark - a common solution to the agency problem in delegated portfolio management. In the presence of such relative-performance-based objectives, investors have...

This text explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.