Zobrazeno 1 - 10
of 13
pro vyhledávání: '"Nick Motson"'
Publikováno v:
International Journal of Finance & Economics. 21:224-240
There is now a substantial literature on the effects of rebalancing on portfolio performance. However, this literature contains frequent misattribution between ‘rebalancing returns’ which are specific to the act of rebalancing, and ‘diversifica
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3f6d62140a95d47802c118db6bf04c7f
https://doi.org/10.1002/ijfe.1545
https://doi.org/10.1002/ijfe.1545
Publikováno v:
SSRN Electronic Journal.
According to the Chinese calendar 2016 was the year of the Monkey. In this paper, using a common set of 500 US stocks, we analyse the performance of 1 billion randomly generated stock indices (as if chosen by a monkey) to both a market capitalization
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d2540865ad8b7e5a2eced65384cc365c
https://doi.org/10.2139/ssrn.2920509
https://doi.org/10.2139/ssrn.2920509
Publikováno v:
International Review of Financial Analysis
Using a unique database of UK fund manager changes over the period from 1997 to 2011, we examine the impact of such changes on fund performance. We find clear evidence to suggest that a manager change does affect the benchmark-adjusted performance of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::29784bd60adcbf297a2b89f0b6d82422
https://doi.org/10.1016/j.irfa.2014.08.005
https://doi.org/10.1016/j.irfa.2014.08.005
Autor:
Andrew Clare, Nick Motson
Publikováno v:
The Journal of Alternative Investments. 12:7-25
The ideal fee structure aligns the incentives of the investor with those of the fund manager. Mutual funds typically only charge a management fee that is a proportion of the funds under management. Hedge funds, on the other hand, generally change an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c0298b5b9a5d324f5fad1d6757aaf989
https://doi.org/10.3905/jai.2009.12.2.007
https://doi.org/10.3905/jai.2009.12.2.007
Publikováno v:
SSRN Electronic Journal.
With the benefit of a more comprehensive dataset than previous authors in this area, in this paper we revisit the relationship between hedge fund performance and size. Our results indicate that there is a strong, negative relationship between hedge f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c2dbdaa921b317994567c8e50dbf8c82
https://doi.org/10.2139/ssrn.2630749
https://doi.org/10.2139/ssrn.2630749
Publikováno v:
SSRN Electronic Journal.
In this paper we use Monte Carlo simulation techniques to gauge the impact of three mutual fund fee structures on the utility of investors and fund managers: a fee fixed as a proportion of AUM; an asymmetric performance-based fee; and a symmetric per
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f853e5a9be4c9d65365d0ed0ba8a70e0
https://doi.org/10.2139/ssrn.2525545
https://doi.org/10.2139/ssrn.2525545
Publikováno v:
SSRN Electronic Journal.
There is now a substantial literature on the effects of rebalancing on portfolio performance. It is widely argued in the theoretical literature that rebalanced strategies are inherently likely to generate greater terminal wealth than unrebalanced str
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8def9424c58ee4c5318798daeb9575d1
https://doi.org/10.2139/ssrn.2311240
https://doi.org/10.2139/ssrn.2311240
Publikováno v:
SSRN Electronic Journal.
In this paper we explore an alternative approach for determining constituent weights for equity indices. This approach makes use of alternative definitions of company size, and is referred to as Fundamental Indexation (Arnott et al (2005)). Based upo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d0217cfda7060013f479f3328c453610
https://doi.org/10.2139/ssrn.2242034
https://doi.org/10.2139/ssrn.2242034
Publikováno v:
SSRN Electronic Journal.
There is now a dazzling array of alternatives to the market-cap approach to choosing constituent weights for equity indices. Using data on the 1,000 largest US stocks every year from 1968 to the end of 2011 we compare and contrast the performance of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c197eadfcb41b2a6ea5abe2e076948e4
https://doi.org/10.2139/ssrn.2242028
https://doi.org/10.2139/ssrn.2242028
Autor:
Andrew Clare, Nick Motson
Publikováno v:
SSRN Electronic Journal.
In this paper we examine market level data on the net investment into broad categories of UK mutual funds (known as unit trusts) collated by the Investment Management Association (IMA). We use these data to calculate a measure known as the 'performan
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::94d91d7aec73a1170fdbfe8a3591ee7e
https://doi.org/10.2139/ssrn.2728214
https://doi.org/10.2139/ssrn.2728214