Background: We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as glamour portfolios. Methods: Following Lakonishok et al. (J Financ...

A number of well-known practitioners such as Warren Buffett and Jeremy Siegel have long advocated a strategic asset allocation in which investors hold a majority of their assets in equities. However, in this simple straightforward study we find that in order to maximize the well-known Sharpe...

Closet indexing is the practice of staying close to the benchmark index while still claiming to be an active mutual fund manager and charging active-management fees. Recent work shows that active mutual fund managers are more likely to closet index during down markets. Around the time of the...

Closet indexing is the practice of staying close to the benchmark index while still maintaining to be an active mutual fund manager and probably also charging fees similar to those of truly active managers. Recent work shows active mutual fund managers were much more likely to closet index...

This paper explores a tactic in which managers of multiple funds diversify their positions so that the tracking error across their funds is mitigated and lower than the average tracking error of their individual funds. This paper introduces chained tracking error, which is the tracking error of...

This paper shows that tracking error volatility (TEV) is characterized by reversion toward the mean. Mutual funds with relatively high (low) TEV in a given period tend to reduce (increase) their TEV in subsequent periods, and the degree to which a given fund’s TEV is relatively high or low...