8 research outputs found
Mutual fund performance: Using bespoke benchmarks to disentangle mandates, constraints and skill
This is the author accepted manuscript. the final version is available from Elsevier via the DOI in this recordWhile no two mutual funds are alike in terms of their mandates and constraints, metrics used to evaluate fund performance relative to peers typically fail to account for these differences by relying on generic benchmark indices and rankings. We develop a methodology to construct a conditional multi-factor benchmark that explicitly incorporates the details of a given fund’s mandates and constraints. The results suggest that (i) mandates and constraints are economically important and affect funds differently, (ii) in general, the average mutual fund has a much improved track record when comparing themselves to a bespoke benchmark, and (iii) the rank ordering of fund bespoke performance relative peers is significantly different than the original rank ordering suggesting advisors and board of directors would make better decisions regarding compensation and performance assessment respectively, if they incorporate the impact of mandates and constraints.Inquire Europ
Explicit Solution for Constrained Optimal Execution Problem with General Correlated Market Depth
Are candlestick technical trading strategies profitable in the Japanese equity market?
Candlestick, Technical analysis, Japan, Market timing, G12, G14,
Asymmetries in bid and ask responses to innovations in the trading process
Market microstructure, Bid and ask time series, VEC models, Adverse-selection costs, Asymmetric dynamics, G1,