We investigate the relationship between a mutual fund's variation in factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)'s four factor model to capture factor variation, we find that funds with volatile factor exposures underperform funds with...

We exploit variation in the ancestries of U.S. equity mutual fund managers to show that ancestry affects portfolio decisions. Controlling for fund firm location, we find that funds overweight stocks from their managers' ancestral home countries in their non-U.S. portfolio by 132 bps or 20.34%...

Die Arbeit untersucht den Ankündigungseffekt und die Outperformance von Schweizer Unternehmen, die zwischen 1992 und 2003 eine Nennwertrückzahlung ausgeschüttet haben und stellt die erste empirische Untersuchung von Nennwertrückzahlungen dar. Es konnte gezeigt werden, dass die...

In this study of tactical asset allocation, we use a genetic algorithm to implement a market timing strategy. The algorithm makes a daily decision whether to invest in the market index or in a riskless asset. The market index is represented by the S&P500 Composite Index, the riskless asset by a...

Using a Switzerland-specific Carhart (1997) model, we study the risk-adjusted performance of actively and passively managed mutual funds investing in Swiss stocks from 1989 to 2007. We also compare the performance of actively managed funds to passively managed funds instead of comparing them to...

The four risk factors controlling for the market, size, value and momentum effect have become a state-of-the-art framework for various applications in financial markets research. However, previous work shows that these broadly recognized factors are country-specific. This paper develops and...

We investigate the performance of domestic and international bond and equity portfolios of Swiss pension funds and investment foundations over the period of 1996 to 2006. We find some indications for superior skills of pension funds in international bond management even net of costs for asset...

Using a Switzerland-specific Carhart (1997) model, we study the risk-adjusted performance of actively and passively managed mutual funds investing in Swiss stocks from 1989 to 2007. We also compare the performance of actively managed funds to passively managed funds instead of comparing them to...

This study investigates the relationship between governance, investment performance and asset allocation of pension funds in Switzerland. Our sample includes survey data from 139 Swiss occupational pension plans for which we develop a governance metric comprising attributes of organisational...

Asymmetric portfolio insurance strategies have become increasingly popular in practice. We show that a combination of investments in bonds and call options allows for more flexible strategies than the traditional portfolio insurance based on investments in put options and their underlying...