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The main purpose of the article was to analyze the effectiveness of the basic investment strategies used by hedge funds in the long term (years 1994-2015) and during the global financial crisis (years 2007-2009). Using information from commercial databases we attempted to verify the hypothesis...
Persistent link: https://www.econbiz.de/10012237267
This paper studies the real mutual fund performance accounting for the presences of lucky funds. We quantify the impact of luck with an innovative measure built on False Discovery Rate (FDR). These FDR measures compute the number and the proportion of fund with truly positive and negative...
Persistent link: https://www.econbiz.de/10014176700
Corporate bond mutual funds engage in liquidity transformation, raising concerns among academics and policymakers that correlated redemptions will destabilize the corporate bond market. However, estimating regressions that focus within issuer-quarter, I find little evidence that redemptions or...
Persistent link: https://www.econbiz.de/10013004088
We provide the first in-depth examination of exchange-traded funds (ETFs) within actively managed mutual fund (AMMF) portfolios to better understand why AMMFs make substantial investments in passive ETFs. We examine the association between holding ETF positions and AMMF performance, as well as...
Persistent link: https://www.econbiz.de/10012970338
Intermediation in private equity involves illiquid investments, professional investors, and high information asymmetry. We use this unique setting to empirically evaluate theoretical predictions regarding intermediation. Placement agent usage has become nearly ubiquitous, but agents are...
Persistent link: https://www.econbiz.de/10012971954
Does the Endowment Model still work? Judging by large endowments' steady outperformance of a 70% global stock/30% US bond index, THE ANSWER IS YES. Versus a 60% US stock/40% US bond index, the answer is not as clear cut.Even so, the Endowment Model still adds value for a long-term portfolio that...
Persistent link: https://www.econbiz.de/10012946345
On the tracking and replication of hedge fund optimal investment portfolio strategies in global The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to...
Persistent link: https://www.econbiz.de/10013025088
A closet indexer is more likely to meet a value-weighted investment benchmark by value-weighting the portfolio. Following this intuition, we introduce a simple measure of active management, the absolute difference between the value weights and the actual weights held by a fund, averaged across...
Persistent link: https://www.econbiz.de/10013033774
Active opportunity in the market, measured by cross-sectional dispersion in stock returns, significantly influences fund performance. Active strategies have the greatest impact on returns during periods of high dispersion, when alpha produced by the most active funds significantly exceeds that...
Persistent link: https://www.econbiz.de/10013035237
We document that defined benefit pension plans with significant holdings in private equity (PE) earn substantially greater returns than plans with small holdings in both the 1990s and the 2000s. A one standard deviation increase in PE holdings is associated with 4% greater returns per year. Up...
Persistent link: https://www.econbiz.de/10013036132