Target-Date Funds (TDFs) are popular retirement investment vehicles that follow a predetermined schedule for rebalancing their mix of equity and fixed-income securities over time. We explore potential agency problems in TDFs by examining their return performance and their flow-performance...

We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index disproportionately more than the prices of small stocks. Conversely, flows predict a high future return of the small-minus-large index portfolio. This finding runs counter to the CAPM,...

Risk-neutral valuation is used to value a portfolio and decompose it into the components accruing to its stakeholders. The analysis incorporates managers' expected performance and contract renewal issues. A managed portfolio's economic value is shown to differ from its net asset value. A better...

We use risk-neutral valuation to value a portfolio and decompose the value into the components accruing to its stakeholders - service providers, portfolio managers, and the owners. The analysis incorporates managers' expected performance and contract-renewal issues. It provides a paradigm for...

Our evidence suggest that estimation error in the required statistics is an important factor inhibiting investors' ability to rely on mean/variance analysis. We compare the returns reported by mutual funds to the returns obtained from a mean/variance optimized portfolio of fund holdings. The...

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

This study compares a measure of market-share changes with net flows to revisit the fund flow-performance relationship from the viewpoint of the heteroscedasticity of fund flows. We decompose market-share changes (net flows) into inflow and outflow shares and other parts (inflow and outflow) to...

In this article, we provide the busy reader with a survey of articles that were written over the past four years on hedge funds. Specifically, we review the economic basis for hedge fund returns and then discuss some of the logical consequences of these observations. Next, we summarize the...

Unlike mutual funds, unit investment trusts invest in a fixed portfolio of stocks for a predetermined period of time and hold limited cash positions. Thus, UITs provide an ideal sample to measure stock selection skill. We examine a sample of 1487 UITs over the period 2004 to 2013. We find that...

Hedge funds do not easily fit into the current way institutions go about investing. Based on a survey of recent academic and practitioner research, this article reviews six competing frameworks for how to incorporate hedge funds in institutional portfolios. Each framework has very different...