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Smart Rebalancing Financial Analysts Journal (IF 2.345) Pub Date : 2024-03-14 Rob Arnott, Feifei Li, Juhani Linnainmaa
The sometimes vast gap between live results and paper portfolio performance is caused in part by trading costs, discontinuous trading, and missed trades or other frictions, along with asset managem...
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Private Equity Performance around the World Financial Analysts Journal (IF 2.345) Pub Date : 2024-01-31 Sara Ain Tommar, Serge Darolles, Emmanuel Jurczenko
We construct a novel dataset to explore the returns of private equity in international markets (i.e., other than North America). We investigate fund performance and persistence and compare the find...
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Reversals and the Returns to Liquidity Provision Financial Analysts Journal (IF 2.345) Pub Date : 2024-01-18 Wei Dai, Mamdouh Medhat, Robert Novy-Marx, Savina Rizova
Different aspects of liquidity impact the performance of short-run reversals in different ways, consistent with the predictions of microstructure models. Higher volatility is associated with faster...
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Stocks for the Long Run? Sometimes Yes, Sometimes No Financial Analysts Journal (IF 2.345) Pub Date : 2024-01-14 Edward F. McQuarrie
When Jeremy Siegel published his “Stocks for the Long Run” thesis, little was known about 19th-century stock and bond returns. Digital archives have made it possible to compute real total return on...
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Harry Markowitz and the Philosopher’s Stone Financial Analysts Journal (IF 2.345) Pub Date : 2024-01-14 Stephen C. Sexauer, Laurence B. Siegel
We celebrate the life, work, and intellectual legacy of Harry Markowitz (1927–2023). Professor Markowitz’s philosophy and math have guided portfolio construction and asset allocation for 71 years. ...
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Bonds with Benefits: Impact Investing in Corporate Debt Financial Analysts Journal (IF 2.345) Pub Date : 2024-01-14 Desislava Vladimirova, Jieyan Fang-Klingler
The regulatory focus on quantifiable sustainable investing shifts investors’ demand toward impact products, which creates challenges in achieving their primary target of outperformance. This study ...
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Breaking Bad Trends Financial Analysts Journal (IF 2.345) Pub Date : 2024-01-14 Christian L. Goulding, Campbell R. Harvey, Michele G. Mazzoleni
We document and quantify the negative impact of trend breaks (i.e., turning points in the trajectory of asset prices) on the performance of standard monthly trend-following strategies across severa...
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Are All Short-Term Institutional Investors Informed? Financial Analysts Journal (IF 2.345) Pub Date : 2024-01-14 Mustafa O. Caglayan, Umut Celiker, Mete Tepe CFA
We examine whether being a hedge fund has any differential effect on the previously documented empirical relation between investment horizon and informativeness of institutional investors’ trades. ...
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Direct Lending Returns Financial Analysts Journal (IF 2.345) Pub Date : 2024-01-14 Antti Suhonen
I examine the performance of US business development companies (“BDC”). BDCs have produced returns in line with those of private funds engaged in direct lending. Leveraged loan and small-cap value ...
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Short Squeezes Financial Analysts Journal (IF 2.345) Pub Date : 2023-12-13 Zhiqian Jiang, Baixiao Liu, Andrew Schrowang, Wei Xu
We investigate the prevalence and persistence of short squeezes and the corresponding economic consequences on the stocks being squeezed. Using daily short sale data, we provide evidence that a sho...
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Shareholder Activism in Small-Cap Newly Public Firms Financial Analysts Journal (IF 2.345) Pub Date : 2023-12-11 Emmanuel R. Pezier, Paolo F. Volpin
We examine a private dataset of engagements by a UK fund in small-cap newly public firms. The fund inherits unwanted holdings from disparate investors and earns fees liquidating its portfolio. It c...
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Our Thanks to Reviewers Financial Analysts Journal (IF 2.345) Pub Date : 2023-11-15
Published in Financial Analysts Journal (Vol. 79, No. 4, 2023)
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Exclude with Impunity: Personalized Indexing and Stock Restrictions Financial Analysts Journal (IF 2.345) Pub Date : 2023-10-19 Yin Chen, Roni Israelov
Using simulated historical backtests, we study the impact of stock exclusions on the performance of passive and active portfolios. We find that at low to moderate numbers, stock exclusions have ver...
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Thematic Investing with Big Data: The Case of Private Equity Financial Analysts Journal (IF 2.345) Pub Date : 2023-10-16 Ludovic Phalippou
Using natural language processing, we score companies based on the frequency with which news articles contain both their names and terms private equity and leveraged buy-out. An index is then creat...
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Applying Economics—Not Gut Feel—to ESG Financial Analysts Journal (IF 2.345) Pub Date : 2023-09-12 Alex Edmans
Interest in environmental, social, and governance (ESG) issues is at an all-time high. However, academic research is still relatively nascent, often leading us to apply gut feel on the grounds that...
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Harry Markowitz in Memoriam Financial Analysts Journal (IF 2.345) Pub Date : 2023-09-12 William N. Goetzmann
Published in Financial Analysts Journal (Vol. 79, No. 4, 2023)
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Green Parity and the Decarbonization of Corporate Bond Portfolios Financial Analysts Journal (IF 2.345) Pub Date : 2023-09-12 Mario Bajo, Emilio Rodríguez
This study explores the incorporation of climate change into fixed income investment. We investigate the cost of decarbonization and the selection of Sustainable Investment strategies in portfolio ...
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Intermediaries’ Incentives across Share Classes in the Same Fund Financial Analysts Journal (IF 2.345) Pub Date : 2023-09-05 Ivalina Kalcheva, Ping McLemore
We provide supporting evidence that intermediaries’ incentives vary across retail share classes in the same fund. We find that when a fund has multiple share classes with different distribution fee...
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Swing Pricing Calibration: Using ETFs to Infer Swing Factors for Mutual Funds Financial Analysts Journal (IF 2.345) Pub Date : 2023-08-31 Kenechukwu Anadu, John Levin, Victoria Liu, Noam Tanner, Antoine Malfroy-Camine, Sean Baker
Policymakers are assessing potential options to reduce the financial stability risks posed by open-ended mutual funds. One such option is swing pricing, or the process of adjusting a fund’s net ass...
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The Controversy over Proxy Voting: The Role of Fund Managers and Proxy Advisors Financial Analysts Journal (IF 2.345) Pub Date : 2023-08-30 Arnoud Boot, Jan Krahnen, Lemma Senbet, Chester Spatt
In this statement, we assess the role and power of proxy advisors and asset managers in corporate governance in a market that is characterized by a limited number of voting advisory firms (Institut...
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Private Shareholder Engagements on Material ESG Issues Financial Analysts Journal (IF 2.345) Pub Date : 2023-07-10 Rob Bauer, Jeroen Derwall, Colin Tissen
We study private shareholder engagements with 2,465 listed firms about environmental, social, and governance (ESG) issues from 2007 to 2020. We examine the extent to which private engagements addre...
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Personalized Multiple Account Portfolio Optimization Financial Analysts Journal (IF 2.345) Pub Date : 2023-06-28 Thomas M. Idzorek
Abstract I develop a multi-account alpha-tracking error framework that simultaneously optimizes across an investor’s multiple accounts with different tax treatments, existing holdings, tax lots, and opportunity sets while considering taxes and trade costs in a single optimization. The objective function includes an optional term for an investor’s nonpecuniary preferences, such as various environmental
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Factor-Targeted Asset Allocation: A Reverse Optimization Approach Financial Analysts Journal (IF 2.345) Pub Date : 2023-06-16 Jacky S. H. Lee, Marco Salerno
Abstract We demonstrate that using a mean-variance portfolio to obtain implied factor risk premia can result in stable weights for a factor portfolio when assets’ expected returns follow a factor structure that is subject to pricing errors. We propose a methodology to construct asset portfolios based on these factor portfolio weights, taking into account the possibility of pricing errors. Our simulation
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Factor Replication with Industry Stratification Financial Analysts Journal (IF 2.345) Pub Date : 2023-06-16 Surpreet Bharjana, Rohan Fletcher, Paul Lajbcygier
Factor investing exploits asset pricing anomalies to enhance fund returns. Unlike traditional market capitalization indexes, factors have onerous replication costs. We consider the impact of omitti...
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Time-Series Predictability for Sector Investing Financial Analysts Journal (IF 2.345) Pub Date : 2023-05-18 Jin Suk Park, Mohammad Khaleq Newaz
Abstract This study identifies the indicators of sector-level time-series predictability. The results show that investors can expect higher predictability in the more volatile sectors. In the developed markets, price downtrends, lower trading volume, and higher dividend yields indicate stronger predictability. The cyclical and sensitive super-sectors become more predictable as liquidity goes down.
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Is Sector Neutrality in Factor Investing a Mistake? Financial Analysts Journal (IF 2.345) Pub Date : 2023-05-11 Sina Ehsani, Campbell R. Harvey, Feifei Li
Abstract Stock characteristics have two sources of predictive power. First, a characteristic might be valuable in identifying high or low expected returns across industries. Second, a characteristic might be useful in identifying individual stock expected returns within an industry. Past studies generally find that the firm-specific component is the strongest predictor, leading many to sector neutralize
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Geographic Investing: Stock Return Indexes Based on Company Operations Financial Analysts Journal (IF 2.345) Pub Date : 2023-04-25 Bernard Dumas, Tymur Gabuniya, Richard C. Marston
Abstract Portfolio allocations to firms of various geographic areas should be guided by underlying risks of operations. In most statistical studies of international stock returns, a firm is included in a country’s index if its headquarters is located in that country, a classification scheme that ignores the operations of the firm taking place in multiple geographic areas. In prior work, we have proposed
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Long-Term Shareholder Returns: Evidence from 64,000 Global Stocks Financial Analysts Journal (IF 2.345) Pub Date : 2023-04-21 Hendrik Bessembinder, Te-Feng Chen, Goeun Choi, K. C. John Wei
Abstract We study long-run shareholder outcomes for more than 64,000 global common stocks during the January 1990 to December 2020 period. The majority, 55.2% of U.S. stocks and 57.4% of non-U.S. stocks, underperform one-month U.S. Treasury bills in terms of compound returns over the full sample. Focusing on aggregate shareholder outcomes, we find that the top-performing 2.4% of firms account for all
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2022 Report to Readers Financial Analysts Journal (IF 2.345) Pub Date : 2023-04-17 Luis García-Feijóo
Published in Financial Analysts Journal (Vol. 79, No. 2, 2023)
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Managerial Multitasking in the Mutual Fund Industry Financial Analysts Journal (IF 2.345) Pub Date : 2023-04-17 Vikas Agarwal, Linlin Ma, Kevin Mullally
Abstract Managerial multitasking has become a common practice in the mutual fund industry. Although multitasking may have certain benefits for fund companies and portfolio managers, these arrangements have significant drawbacks for fund investors. We find that multitasking is associated with worse fund performance. Moreover, we find significant performance deterioration when a single-tasking manager
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Beyond Fama-French Factors: Alpha from Short-Term Signals Financial Analysts Journal (IF 2.345) Pub Date : 2023-04-13 David Blitz, Matthias X. Hanauer, Iman Honarvar, Rob Huisman, Pim van Vliet
Short-term alpha signals are generally dismissed in traditional asset pricing models, primarily due to market friction concerns. However, this paper demonstrates that investors can obtain a signifi...
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Investing in Deflation, Inflation, and Stagflation Regimes Financial Analysts Journal (IF 2.345) Pub Date : 2023-04-11 Guido Baltussen, Laurens Swinkels, Bart van Vliet, Pim van Vliet
Abstract We examine asset class and factor premiums across inflationary regimes. As periods of deflation, high inflation, and especially stagflation are relatively uncommon in recent history, we use a deep sample starting in 1875. Moderate inflation scenarios provide the highest returns across asset class and factor premiums. During deflationary periods, nominal returns are low, but real returns are
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What Do TIPS Say about Real Interest Rates and Required Returns? Financial Analysts Journal (IF 2.345) Pub Date : 2023-04-05 J. Benson Durham
Abstract An arbitrage-free model decomposes yields on Treasury Inflation-Protected Securities (TIPS) into expected real rates, real frictionless term premiums, and liquidity premiums. Estimation eschews non-market information, incorporates a novel observable liquidity factor, and addresses factor persistence and sample biases, including real-time estimation. Results include a modest secular decline
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Earning Alpha by Avoiding the Index Rebalancing Crowd Financial Analysts Journal (IF 2.345) Pub Date : 2023-04-05 Robert D. Arnott, Christopher Brightman, Vitali Kalesnik, Lillian Wu
Abstract Traditional capitalization-weighted indices generally add stocks with high valuation multiples after persistent outperformance and sell stocks at low valuation multiples after persistent underperformance. It is well known that the price impact of these changes can be large once a change is announced. The subsequent reversal is less well known. For example, in the year after a change in the
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Momentum Crashes and the 52-Week High Financial Analysts Journal (IF 2.345) Pub Date : 2023-04-03 Suk-Joon Byun, Byounghyun Jeon
Abstract Momentum strategies suffer from occasional large drawdowns referred to as momentum crashes when the market rebounds. We find that a surge of investor speculation toward stocks far from their 52-week highs can partially explain the momentum crashes. If a momentum strategy is revised to be neutral on a 52-week high effect, momentum crashes are significantly attenuated and the revised strategy
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Forbearance in Institutional Investment Management: Evidence from Survey Data Financial Analysts Journal (IF 2.345) Pub Date : 2023-03-27 Amit Goyal, Ramon Tol, Sunil Wahal
Abstract We survey 218 institutional investors from 22 countries representing over $4.1 trillion in AUM to understand the drivers of forbearance in the termination of external asset managers. Although asset managers are fired for a variety of reasons, including taking on too much or too little risk as well as organizational changes at the investment manager or institutional investor level, poor performance
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Diversification during Hard Times Financial Analysts Journal (IF 2.345) Pub Date : 2023-01-31 Najah Attig, Oumar Sy
Abstract Using a large sample of stocks from 48 developed and emerging markets over 1995 to 2021, we find evidence that suggests that international diversification is the best risk-reduction tool when all markets are considered. However, after the turn of the millennium, industrial diversification is the best alternative for funds limited to developed markets, especially when they are restricted to
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The Low-Risk Effect in Equities: Evidence from Industry Data in an Earlier Time Financial Analysts Journal (IF 2.345) Pub Date : 2023-01-31 C. Mitchell Conover, Joseph D. Farizo, Andrew C. Szakmary
Abstract Recently, there has been discussion of a “replication crisis” in Finance, where many empirical results in financial research are said not to be replicable. Previous research finds that low-risk stocks have higher returns than higher-risk stocks on a risk-adjusted basis. We reexamine the low-risk effect using a unique dataset for U.S. industries from 1871 to 1925. We confirm the presence of
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Redefining the Optimal Retirement Income Strategy Financial Analysts Journal (IF 2.345) Pub Date : 2022-12-15 David Blanchett
This paper introduces a cohesive series of models designed to improve retirement income projections. First, the retirement income goal (i.e., liability) is decomposed based on assumed spending elasticity (e.g., “needs” and “wants”). Second, spending is assumed to evolve throughout retirement using a dynamic withdrawal strategy leveraging the funded ratio concept. Third, optimal strategies are determined
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Targeting Macroeconomic Exposures in Equity Portfolios: A Firm-Level Measurement Approach for Out-of-Sample Robustness Financial Analysts Journal (IF 2.345) Pub Date : 2022-12-13 Mikheil Esakia, Felix Goltz
Abstract We propose firm-level measures of exposures to macroeconomic risks that substantially improve out-of-sample robustness compared to standard estimation approaches. Systematic equity strategies constructed from such measures offer more consistent macro exposures out of sample than strategies that allocate across sectors or equity-style factors. We do not find significant cost to the performance
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Supply Chain Climate Exposure Financial Analysts Journal (IF 2.345) Pub Date : 2022-11-08 Greg Hall, Kate Liu, Lukasz Pomorski, Laura Serban
We propose an intuitive measure of supply chain climate risks, reflecting the fact that even a green company may have material climate exposure if its customers or suppliers face climate risks. Our measure captures price movements around climate news better than traditional climate data and shows performance patterns consistent with re-pricing of climate risks. The metric is more suitable for risk
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Trade Informativeness in Modern Markets Financial Analysts Journal (IF 2.345) Pub Date : 2022-11-04 Samarpan Nawn, Gaurav Raizada
Abstract Using transactions-based calendar time (TBCT) portfolio analysis, we investigate informativeness of trades of investor categories, namely institutions, proprietary traders, and retail clients. We find that trade informativeness is positive for institutional and negative for retail-client investors. The informativeness of liquidity-demanding trades are less than the informativeness of liquidity-supplying
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Our Thanks to Reviewers Financial Analysts Journal (IF 2.345) Pub Date : 2022-09-27
Published in Financial Analysts Journal (Vol. 78, No. 4, 2022)
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Allocating to Thematic Investments Financial Analysts Journal (IF 2.345) Pub Date : 2022-09-07 Koye Somefun, Romain Perchet, Chenyang Yin, Raul Leote de Carvalho
Abstract We introduce the notion of themes as an additional investment dimension beyond asset classes, regions, sectors and styles, and propose a framework to allocate to thematic investments at a strategic asset allocation level. Allocating to themes requires discipline because thematic investments are not only exposed to the theme but also to the traditional risk factors. Our approach uses a framework
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Option Pricing via Breakeven Volatility Financial Analysts Journal (IF 2.345) Pub Date : 2022-08-23 Blair Hull, Anlong Li, Xiao Qiao
Abstract The fair value of an option is given by breakeven volatility, the value of implied volatility that sets the profit and loss of a delta-hedged option to zero. We calculate breakeven volatility for 400,000 options on the S&P 500 and build a predictive model for these volatilities. A two-stage regression approach captures the majority of the observed variation. By providing a link between option
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Climate Change Vulnerability and Currency Returns Financial Analysts Journal (IF 2.345) Pub Date : 2022-08-23 Alexander Cheema-Fox, George Serafeim, Hui (Stacie) Wang
Abstract Using measures of physical risk from climate change, we develop a methodology to allocate currency pairs according to a country’s vulnerability and construct portfolios with decreasing vulnerability to physical risk. We show that non-G10 currencies are more vulnerable to physical risk, have become less vulnerable over time, and that the vulnerability measure is correlated with higher losses
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Maximum Drawdown as Predictor of Mutual Fund Performance and Flows Financial Analysts Journal (IF 2.345) Pub Date : 2022-08-23 Timothy Riley, Qing Yan
Abstract Mutual funds’ maximum drawdowns (MDDs) are persistent, indicative of manager skill, and predictive of subsequent performance. Among funds with relatively strong past performance, those with relatively low past MDDs, on average, have an out-of-sample alpha of 2.40% per year. That alpha is magnified when markets are turbulent—a time during which manager skill should be most valuable. Investors
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Private Debt Fund Returns, Persistence, and Market Conditions Financial Analysts Journal (IF 2.345) Pub Date : 2022-08-18 Pascal Böni, Sophie Manigart
Abstract This paper examines net-of-fees private debt fund performance, performance persistence across funds managed by the same general partner and a general partner’s ability to time the market. We document that private debt funds outperform bond and equity market benchmarks in the cross-section, with high performance dispersion across strategies and performance quartiles. Lagged performance significantly
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Improving Interest Rate Risk Hedging Strategies through Regularization Financial Analysts Journal (IF 2.345) Pub Date : 2022-08-18 Daniel Mantilla-Garcia, Lionel Martellini, Vincent Milhau, Hector Enrique Ramirez-Garrido
Abstract The effectiveness of duration and convexity hedging strategies deteriorates in the presence of non-parallel shifts of the yield curve. In the absence of appropriate constraints, the extension of these strategies accounting for changes in the shape of the yield curve generates unstable weights and extreme leverage, leading to poor out-of-sample hedging performance. To address this conundrum
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Analyst Incentives and Stock Return Synchronicity: Evidence from MiFID II Financial Analysts Journal (IF 2.345) Pub Date : 2022-08-17 Yihan Li, Xin Liu, Vesa Pursiainen
Abstract MiFID II affects sell-side analyst incentives in Europe, forcing analysts to justify the value they add. While the number of analysts decreases, the average stock return synchronicity with the market also decreases, implying an improvement in price informativeness. The decrease in synchronicity is larger for firms that are more important for the analysts and brokers covering them. It is also
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Should Defined Contribution Plans Include Private Equity Investments? Financial Analysts Journal (IF 2.345) Pub Date : 2022-07-18 Gregory W. Brown, Keith J. Crouch,, Andra Ghent, Robert S. Harris, Yael V. Hochberg, Tim Jenkinson, Steven N. Kaplan, Richard Maxwell, David T. Robinson
Abstract This paper evaluates the pros and cons of including private equity fund investments in defined contribution plans. Potential benefits include higher returns and improved diversification as well as a relatively safe method for accessing investments previously only available to institutions and the very wealthy. Despite these enticing benefits, they need to be weighed against potential challenges
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Litigation Risk and Stock Return Anomaly Financial Analysts Journal (IF 2.345) Pub Date : 2022-07-12 Jun Duanmu, Qiping Huang, Yongjia Li, Lingna Sun
Abstract We create a proxy for security litigation risk using a dynamic logistic model and find that low-litigation-risk firms outperform high-litigation-risk firms. The out-of-sample long-short portfolio delivers an annual alpha of over 8%. This anomalous return is mainly driven by long positions in low-litigation-risk firms. The results are not affected by the realization of the lawsuits and are
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Investing with Style in Liquid Private Debt Financial Analysts Journal (IF 2.345) Pub Date : 2022-06-23 Thomas Mählmann, Galina Sukonnik
Abstract This paper extends the analysis of systematic investment approaches to broadly syndicated leveraged loans. We find that exposures linked to (short-term) momentum and valuation styles (and a combination thereof) are well-compensated: monthly rebalanced long-only portfolios of high value and momentum loans generate Sharpe and information ratios well above one and economically and statistically
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Effects of Venture Capital Mega-Deals on IPO Success and Post-IPO Performance Financial Analysts Journal (IF 2.345) Pub Date : 2022-06-23 Nico Lehnertz, Carolin Plagmann, Eva Lutz
Abstract Venture capital financing rounds with transaction volumes of 100 million US dollars or more have become an integral part of the US venture capital market within the last decade. We aim to determine whether such mega-deals are a quality signal for equity investors in the event of an IPO. Based on a sample of 364 US IPOs, we find that companies that have received a venture capital mega-deal
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Portable Beta and Total Portfolio Management Financial Analysts Journal (IF 2.345) Pub Date : 2022-06-22 Stefano Cavaglia, John Hua Fan, Zhenping Wang
Abstract Alternative Risk Premia (ARP) strategies have traditionally been sold as stand-alone products to complement a reference portfolio. We illustrate how ARP can be integrated with a reference portfolio to achieve optimal total portfolio outcomes. From 1931 to 2020, a factor diversifying overlay reduces the risk of the reference portfolio and captures a welfare enhancing diversification premium
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Evolutionary Finance for Multi-Asset Investors Financial Analysts Journal (IF 2.345) Pub Date : 2022-06-17 Michael Schnetzer, Thorsten Hens
Abstract Standard strategic asset allocation procedures usually neglect market interaction. However, returns are not generated in a vacuum but the result of the market’s price discovery mechanism. Evolutionary finance accounts for this and endogenizes asset prices. This paper develops a multi-asset evolutionary finance model. Requiring little more than dividend and interest rate data, it provides a
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Forecasting the Long-Term Equity Premium for Asset Allocation Financial Analysts Journal (IF 2.345) Pub Date : 2022-06-17 Athanasios Sakkas, Nikolaos Tessaromatis
Abstract Long-term country equity premium forecasts based on a cross-sectional global factor model (CS-GFM), where factors represent compensation for risks proxied by valuation and financial variables are superior, statistically and economically, to forecasts based on time-series prediction models commonly used in academia and practice. CS-GFM equity premium forecasts produce significant utility gains
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Employee Satisfaction and Long-Run Stock Returns, 1984–2020 Financial Analysts Journal (IF 2.345) Pub Date : 2022-06-16 Hamid Boustanifar, Young Dae Kang
Abstract Economic theory predicts that (in the absence of mispricing) the excess return to socially responsible businesses is negative in equilibrium. In contrast, using the state-of-art empirical models and a sample spanning four decades (1984–2020), an equal-weighted portfolio of companies that treat their employees the best earns an excess return of 2% to 2.7% per year. The estimated alphas are
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Fund Selection: Sense and Sensibility Financial Analysts Journal (IF 2.345) Pub Date : 2022-06-16 Guido Baltussen, Stan Beckers, Jan Jaap Hazenberg, Willem Van Der Scheer
Abstract Studying a comprehensive universe of European-domiciled cross-border UCITS equity and fixed income funds we find that (i) active equity funds on average outperform passive alternatives before fees by about the level of the fees, (ii) active fixed income funds underperform on a net basis, (iii) fees consume a significant part of the value added of active management, (iv) simple fund selection
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Hedged Mutual Funds and Competition for Sources of Alpha Financial Analysts Journal (IF 2.345) Pub Date : 2022-06-16 Asli Eksi, Hossein Kazemi
Abstract Hedged mutual funds flourished following the 2007–2009 financial crisis. They became particularly popular with financial advisors because of their alleged downside protection. Did these funds deliver what they promised? We examine the performance of these funds with a focus on the post-2009 period. While they generated positive alphas before the crisis, we find that this abnormal performance