Mutual Fund Investors Causing Their Own Demise? [PREMIUM]
Do mutual fund investors in aggregate exhibit good, bad or indifferent market timing? In their January 2011 article entitled “Past Performance is Indicative of Future Beliefs”, Philip Maymin and Gregg Fisher investigate how the aggregated t...
Outperformance of Hedge Funds: Timing or Asset Selection? [PREMIUM]
Does hedge fund outperformance derive from systematically superior timing or from superior asset selection? In the December 2010 version of her paper entitled "Can Factor Timing Explain Hedge Fund Alpha?", Hyuna Park decomposes alpha generated by hedge...
Diversifying within Versus across Hedge Strategies [PREMIUM]
Funds of hedge funds (FoF) diversify investments across hedge funds to achieve steady return streams. Some FoFs diversify within a single hedge fund strategy (category), while others diversify both within and across hedge fund categories. Does the latt...
Dividend Tax Drag on European Funds
...evidence indicates that both fund expenses and dividend taxes constitute substantial drags on European index funds compared to underlying indexes. In other words, each investor may want to account for the personal effect of dividend tax withholding in evaluating affected funds.
Outperformance Streaks and Mutual Fund Manager Skill
...evidence from analysis of market outperformance streaks among actively managed U.S. mutual funds indicates that fund manager skill is material to fund performance.
CFA or MBA or School of Hard Knocks?
...evidence from an array of tests does not support beliefs that CFA designation, MBA degree and level of experience are critical success factors for investment managers.
Indicators of Hedge Fund Performance Persistence
...evidence indicates that hedge fund investors should focus on funds with the best past performances and the most distinctive (uncorrelated) strategies.
Exploiting Predictability of Individual Hedge Funds
...evidence indicates that large (diversified) hedge fund investors may be able to exploit multiple predictive factors by averaging their predictive powers to enhance returns derived from selecting recent past winners.
Rogue Waves and Hedge Fund Returns
...evidence indicates that hedge funds with low net market exposure may earn returns largely by assuming that correlations between assets and asset classes will behave predictably, and rogue correlation spikes may swamp these funds with extremely large drawdowns.
Exploit Media Bias in Hedge Fund Coverage?
...evidence indicates that hedge fund investors may be able to gain an edge by limiting consideration to funds with recent corporate releases but no other recent media coverage.
Hedge Fund High Water Mark Probability and Persistence
...hedge fund investors may want to consider the probability and persistence of increasing high water mark in selecting hedge funds.
Lagged Cloning of Mutual Funds
...evidence indicates that cloning winning mutual funds with consistent styles may be an attractive stock-picking strategy.
