Mutual Fund Alpha Momentum [PREMIUM]
Does momentum investing work when implemented via mutual fund alpha? In his February 2012 paper entitled “Short Term Alpha as a Predictor of Future Mutual Fund Performance” (the National Association of Active Investment Managers’ 201...
Active Mutual Funds Beat Fair Benchmarks? [PREMIUM]
Have researchers unfairly treated actively managed mutual funds by using non-investable benchmarks? In their February 2012 paper entitled “Another Look at the Performance of Actively Managed Equity Mutual Funds”, David Blitz and Joop Huij
Hedge Fund Risk and Return [PREMIUM]
Do hedge funds trade on market risk, idiosyncratic risk or tail risk? In their November 2011 paper entitled “Systematic Risk and the Cross-Section of Hedge Fund Returns”, Turan Bali, Stephen Brown and Mustafa Caglayan explore the predictab...
Active Beats Buy-and-Hold? [PREMIUM]
Do individuals who actively reallocate funds within their pension accounts outperform passive counterparts? In their October 2011 paper entitled “Individual Investor Activity and Performance”, Magnus Dahlquist, Jose Vicente Martinez and Pa...
SweetSpot: Market-beating Reversion of Unloved Niches?
A reader suggested reviewing the detailed track record of SweetSpot Investments LLC, consisting of 29 closed trades over the past 12 years. The basic SweetSpot strategy posits market-beating three-year reversion of the three least popular “sect...
Liquidity Risk Premium Dominant in Hedge Fund Returns?
Do hedge funds rely on off-the-beaten-track (illiquid) positions to fuel performance? In his April 2011 paper entitled “Hedge-Fund Performance and Liquidity Risk”, Ronnie Sadka investigates aggregate market liquidity as a predictor of hedg...
Active ETF Performance [PREMIUM]
Do active exchange-traded funds (ETF), which realistically incorporate management costs and trading frictions, offer value to investors? In his June 2011 paper entitled “Active ETFs and Their Performance vis-à-vis Passive ETFs, Mutual Funds and ...
Focus on the Most Intensely Active Mutual Funds? [PREMIUM]
Are many mutual fund managers worldwide so fixated on benchmarks that they substantially emulate index funds, while charging shareholders “active” fees? In the April 2011 version of their paper entitled “The Mutual Fund Industry World...
Hedge Fund Benchmark Bias? [PREMIUM]
Hedge fund databases are prone to: (1) self-selection bias (only good performers report); (2) backfill bias (only funds with good recent past performance retroactively report it); (3) survivorship bias (exclusion of dead fund performance); and; (4) liq...
Taxonomy of Mutual Fund Fees, Expenses and Costs
...investors may want to consider all these fees, expenses and costs debited from fund assets as evidence of fund manager emphasis on outcomes other than maximizing net return.
Holdings Return Skewness as a Luck-Skill Discriminator
Can investors discriminate between lucky and skillful equity fund managers by examining the distribution of returns across fund holdings? In the September 2010 preliminary draft of their paper entitled “Home-Run Sluggers vs. Contact Hitters: Stoc...
Institutional Ownership, Idiosyncratic Volatility and Stock Returns [PREMIUM]
Is the number of institutional owners of a stock, arguably a proxy for general investor awareness and demand, an important factor in current and future pricing of the stock? In their February 2011 paper entitled “What Makes Stock Prices Move? Fun...
