The paper examines the investment activities of Swiss National Bank during last years and especially what is the nature of these activities, what is their scope, what are their financial grounds, what possible consequences could they lead... more
The paper examines the investment activities of Swiss National Bank during last years and especially what is the nature of these activities, what is their scope, what are their financial grounds, what possible consequences could they lead to, and why are they so disconcerting for the financial world. The study finds that the Swiss National Bank operates as a quasi-government hedge fund following the global macro investment strategy. In fact the SNB is increasing the Swiss francs in circulation in order to make investments in foreign debt instrument and stocks. The study states that such kind of interventions from the leading central banks in the world in the pricing mechanism of global financial markets can reduce the scope of operations of portfolio managers and turn investing into a constant game of guesswork and tracking the behaviour of certain central banks or juggling with investment assets which actual value is unknown and immeasurable and more impornant - to lead to investment bubbles, financial and economic crises.
While many European countries experienced a global housing boom in the early/mid 2000s, house prices and mortgage debt in Germany stagnated. Therefore, the German housing system is considered to be operating outside financialized... more
While many European countries experienced a global housing boom in the early/mid 2000s, house prices and mortgage debt in Germany stagnated. Therefore, the German housing system is considered to be operating outside financialized capitalism. Despite Germany’s apparent stability, we argue that an alternative trajectory of financialization in the German housing market can be observed. This trajectory has followed three stages or ‘waves’. The first wave started around the time of German unification and is characterized by the failed attempt of West German banks to marketise and liberalise German housing finance. The second wave started in the late 1990s and is characterized by the ‘financialized privatization’ of many public housing associations and the speculative investments of private equity firms and hedge funds. The third wave started during the global financial crisis and is characterized by booming housing prices and the market entry of listed real estate companies. KEY WORDS: Germany, financialization, privatization, political economy, private equity and hedge funds, listed real estate firms
We find evidence of significant price manipulation at the stock level by hedge funds on critical reporting dates. Stocks in the top quartile by hedge fund holdings exhibit abnormal returns of 30 basis points in the last day of the month... more
We find evidence of significant price manipulation at the stock level by hedge funds on critical reporting dates. Stocks in the top quartile by hedge fund holdings exhibit abnormal returns of 30 basis points in the last day of the month and a reversal of 25 basis points in the following day. Using intraday data, we show that a significant
With institutional investors increasingly involved in alternative investments, portfolio optimisation within a large universe of hedge funds has become a key area for research. This paper develops a portfolio construction model that is... more
With institutional investors increasingly involved in alternative investments, portfolio optimisation within a large universe of hedge funds has become a key area for research. This paper develops a portfolio construction model that is specifically designed for funds of hedge funds, incorporating specific controls for operational limitations, data biases and incompleteness. Absolute performance is targeted by selecting funds according to their
Exchange-traded Funds (ETFs) have been gaining increasing popularity in the investment community, as evidenced by their high growth both in the number of ETFs created and their net assets since 2000. As ETFs are in nature similar to index... more
Exchange-traded Funds (ETFs) have been gaining increasing popularity in the investment community, as evidenced by their high growth both in the number of ETFs created and their net assets since 2000. As ETFs are in nature similar to index mutual funds, in this article we examine whether this growing demand for ETFs can be explained through their outperformance as compared with index mutual funds. We consider the population of all ETFs with inception dates before 2002 and then for each ETF found all the passive index mutual funds that had the same investment style as the selected ETF and had an inception date before 2002. This led to a sample of 230 paired matches for all the styles. Within each investment style we matched every ETF with all the passive index funds in that investment style and compared the performances of the matched pairs in terms of Sharpe Ratios and risk-adjusted buy and hold total returns for the period 2002–2010. We then applied the Wilcoxon signed rank test to ...
Global equity portfolio managers employ a variety of approaches to currency hedging either hedging all of their currency risk, hedging only a portion of their currency risk, or simply not hedging at all. This paper considers a... more
Global equity portfolio managers employ a variety of approaches to currency hedging either hedging all of their currency risk, hedging only a portion of their currency risk, or simply not hedging at all. This paper considers a hypothetical US-based global portfolio invested in Europe, Asia, Latin America, and the US and looks at how various passive hedging strategies would have
Abstract The objective of this work is to illustrate an active portfolio management methodology reducing the risk of the portfolio through stabilization of returns, by applying the proportional, integral, derivative (PID) control on the... more
Abstract The objective of this work is to illustrate an active portfolio management methodology reducing the risk of the portfolio through stabilization of returns, by applying the proportional, integral, derivative (PID) control on the pure portfolio return variable. Two ...
Management took on too much active risk in its investment decisions, claiming negligence. In addition, institutional investors increasingly define mandates' limits of risk on the basis of tracking error (or another metric) and it is... more
Management took on too much active risk in its investment decisions, claiming negligence. In addition, institutional investors increasingly define mandates' limits of risk on the basis of tracking error (or another metric) and it is not uncommon to see management fees paid by ...
Management took on too much active risk in its investment decisions, claiming negligence. In addition, institutional investors increasingly define mandates' limits of risk on the basis of tracking error (or another metric) and it is... more
Management took on too much active risk in its investment decisions, claiming negligence. In addition, institutional investors increasingly define mandates' limits of risk on the basis of tracking error (or another metric) and it is not uncommon to see management fees paid by ...
In this paper, we aim to bring together into one common framework various advances in factor-based hedge fund replication. Our replication methodology relies on a set of investable dynamic risk factors extracted from futures contract... more
In this paper, we aim to bring together into one common framework various advances in factor-based hedge fund replication. Our replication methodology relies on a set of investable dynamic risk factors extracted from futures contract prices and on an automatic variable and model selection procedure. The methodology is then validated by creating out-of-sample replicating portfolios for the monthly returns of more than 7,000 hedge funds ranging from 2006 to 2012 and under the assumption of transaction costs. Our results suggest that hedge fund replication is on average possible and works best for liquid strategies.
... (1999) find evidence of persistence in fund returns over a one-year horizon but attribute this to ... Further, using an intertemporal continuous model, Ambarish and Seigel (1997) suggest that an astounding 175 years of data are... more
... (1999) find evidence of persistence in fund returns over a one-year horizon but attribute this to ... Further, using an intertemporal continuous model, Ambarish and Seigel (1997) suggest that an astounding 175 years of data are required to make a claim of 84 per cent confidence ...
Exchange Traded Funds (ETFs) have been gaining increasing popularity in the investment community as is evidenced by the high growth both in the number of ETFs and their net assets since 2000. As ETFs are in nature similar to index mutual... more
Exchange Traded Funds (ETFs) have been gaining increasing popularity in the investment community as is evidenced by the high growth both in the number of ETFs and their net assets since 2000. As ETFs are in nature similar to index mutual funds, in this paper we examined if this growing demand for ETFs can be explained through their outperformance as compared to index mutual funds. We considered the population of all ETFs with inception dates prior to 2002 and then for each ETF found all the passive index mutual funds that had the same investment style as the selected ETF and had inception date prior to 2002. Within each investment style we matched every ETF with all the passive index funds in that investment style and compared the performances of the matched pairs in terms of Sharp Ratios and risk adjusted buy and hold total returns for the period 2002-2010. We then applied the Wilcoxon signed rank test to examine if ETFs had better performances than index mutual funds during the sa...
Exchange Traded Funds (ETFs) have been gaining increasing popularity in the investment community as is evidenced by the high growth both in the number of ETFs and their net assets since 2000. As ETFs are in nature similar to index mutual... more
Exchange Traded Funds (ETFs) have been gaining increasing popularity in the investment community as is evidenced by the high growth both in the number of ETFs and their net assets since 2000. As ETFs are in nature similar to index mutual funds, in this paper we examined if this growing demand for ETFs can be explained through their outperformance as compared to index mutual funds. We considered the population of all ETFs with inception dates prior to 2002 and then for each ETF found all the passive index mutual funds that had the same investment style as the selected ETF and had inception date prior to 2002. Within each investment style we matched every ETF with all the passive index funds in that investment style and compared the performances of the matched pairs in terms of Sharp Ratios and risk adjusted buy and hold total returns for the period 2002-2010. We then applied the Wilcoxon signed rank test to examine if ETFs had better performances than index mutual funds during the sample period. Out of the 230 paired matches of all the styles, ETFs outperformed index mutual funds in 134 of the times in terms of Sharpe Ratio, however, the test of the hypothesis showed no statistically significant difference between ETFs and index funds performances in terms of Sharpe ratio. Out of the 230 paired matches of all the styles, ETFs outperformed index mutual funds in 125 of the times in terms of risk adjusted buy and hold total return, however, the test of hypothesis showed no statistically significant difference between ETFs and index funds performances in terms of risk adjusted buy and hold total return. These findings indicate there is statistically no significant difference between ETFs and passive index mutual funds performances at the fund level and investors' choice between the two is related to product characteristics and tax advantages.
ABSTRACT Using a simulation study methodology it is found that the rewards to value investing become both larger and more reliable as the investor's holding period lengthens. Value investors appear to be rewarded for time.... more
ABSTRACT Using a simulation study methodology it is found that the rewards to value investing become both larger and more reliable as the investor's holding period lengthens. Value investors appear to be rewarded for time. Evidence is also found of a right skewness in the distributions of returns to value portfolios that becomes more pronounced over longer horizons. This implies that the rewards to value investing are not distributed evenly across stocks and time. Rather it is a minority of shares over particular periods that constitute the majority of the value effect.Journal of Asset Management (2004) 4, 318–325; doi:10.1057/palgrave.jam.2240112