This research adds to the current literature of measuring fund persistence by introducing two novel quantitative methods. Firstly, an existing method based on the Markov modelling of a fund's Morningstar rating over time is examined. An improvement to this model is then suggested based on the...

GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

There is now extensive empirical evidence showing that fund managers have relative performance objectives and adapt their investment strategy in the last part of the calendar year to their performance in the early part of the year. However, emphasis was put on returns in excess of some exogenous...

This chapter encapsulates the most recent findings on sovereign wealth fund (SWF) investment activity globally. The key research proposals addressed herein relate to the position of global SWFs among conventional and alternative asset managers, SWF allocation strategies, their recent investment...

The purpose of this study is to assess whether the analysts' activity is valuable for investors, i. e., whether the managers follow the analysts' forecasts and whether those who follow are able to achieve higher returns. We analyzed the behavior of investment fund managers in the Brazilian...

We study how the target fund in mutual fund mergers performs compared to the acquiring funds had they not been merged but continued on their own as buy-and-hold portfolios. In the pre-merger period, acquiring funds outperformed target funds. In the first year after the merger, target portfolios...

In this paper, we propose a method for hedge fund replication using a factor-based model supplemented with a series of risk and return constraints that implicitly target all the moments of the hedge fund return distribution. We use the approach to replicate the monthly returns of ten broad hedge...

This research investigates the relationship between mutual funds investment style consistency, the future funds performance, and funds net flow. Using a large sample of actively-managed U.S. equity mutual funds from Morningstar database, for the period from January 2002 to December 2011, 5555...

Managerial incentives are skewed in non-listed funds under finite horizons. Compensation structures are only indirectly related to shareholder wealth maximization when share prices are unobservable. Liquidity options for investors are limited in the absence of an exchange listing. Using a...

We examine whether actively managed equity mutual funds trade on localised information events - syndicated loan covenant violations and changes in bank loan and entity ratings. Local investors achieve positive abnormal stock returns only around covenant violation periods rather than changes in...