This paper applies specific quantitative methods to demonstrate a general theoretical model for measuring strategic performance. The theoretical concepts are universal and measurable for all types of strategic activity by applying the methodology through alternative quantitative analytical...

In this work, we study the strategies driving cross-border sovereign wealth fund (SWF) investments worldwide. In particular, we investigate how SWFs internationalize their activities, studying whether the use of investment vehicles as signal of passive investment approach to access foreign...

In this study we utilise artificial neural networks to classify equity investment funds according to two fundamental risk measures - standard deviation and beta ratio - and to investigate the fund characteristics essential to this classification. Based on a sample of 4,645 monthly observations...

Results from frontier analysis show that German investment management companies are far from being cost e fficient. The average investment management company may be able to reduce its costs by 48% to 75% when compared with the best-practice company in the sample. The level of e fficiency even...

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...

In order to take advantage of the “one true free lunch” in investing, namely the increase in compound return due to the reduction of volatility by regular re-balancing among uncorrelated assets, it is necessary to first establish what those uncorrelated asset classes are. In practice, many...

We assemble a proprietary dataset of 395 private equity (PE) fund prospectuses to analyze fund performance and fundraising success. We analyze both quantitative and qualitative information contained in these documents using econometric methods and machine learning techniques. PE fund performance...

There is a growing literature that employs nonparametric frontier methods in order to evaluate the performance of investment funds. This paper proposes an integrated approach for analyzing the efficiency and performance of mutual funds. The methodology combines data envelopment analysis (DEA)...

Mutual funds are analyzed from a risk management perspective to explain their existence as financial intermediaries. Due to their organizational features, in particular the open-end capitalization and the marked-to-market valuation, mutual funds simultaneously allow for diversi cation, asset...