We examine the relationship between deviating from benchmark and subsequent performance for hedge funds. propose a simple new measure of deviations, termed dispersion contribution index, which is based on fund's return-distance mean return same-style find that funds deviate most their tend to underperform relative less distinctive peers, after accounting risk profile various fund characteristic...

This paper investigates the determinants of public pension plan risk-taking behavior using the percentage of total plan assets invested in the equity markets and the pension asset beta as measures of investment risk. We find that government accounting standards strongly affect public fund investment risk, as higher return assumptions (used to discount pension liabilities) are associated with hi...

Using a unique dataset of private equity funds over the last two decades, this paper analyzes the cash flow, return, and risk characteristics of private equity. Unlike previous studies, we have detailed cash flow data for each fund, rather than aggregate or accounting returns. We also know the exact timing of investments and capital returns to investors and the number and types of companies eac...

It is well-known that leveraged exchange-traded funds (LETFs) don’t reproduce the corresponding multiple of index returns over extended (quarterly or annual) investment horizons. In 2008, most leveraged ETFs underperformed the corresponding static strategies. In this paper, we study this phenomenon in detail. We give an exact formula linking the return of a leveraged fund with the corresponding...

Financial literacy of investors reduces uncertainty on future decisions and increases predictability of investment policies in financial markets. Thus, the lack of clear information on financial markets is a determining factor in the arrival of domestic and foreign capitals and their quick exit in case of crisis. The lack of transparency and basic knowledge on decisions and failure to provide r...

This paper finds that mean-variance portfolio optimization of stocks, bonds, hedge funds, real estate investment trusts and commodities is sufficiently exact to optimize the investor’s utility. We approximate the expected utility using a Taylor series expansion including terms involving third and fourth order moments. The empirial findings for monthly data from August 1994 August 2009 suggest t...

This Pension funds nowadays in India play a huge role in development of the economy and it play active role in the Indian equity markets. A change both in their investment attitudes and in the regulatory climate, encouraging them to increase their investment levels in equities and would have a massive impact on capital market and on the economy as a whole. This paper examines the potential and ...

This paper proposes two quadratic-constrained DEA models for evaluation of mutual funds performance, from a perspective of evaluation based on endogenous benchmarks. In comparison to previous studies, this paper decomposes two vital factors for mutual funds performance, i.e. risk and return, in order to define mutual funds’ endogenous benchmarks and give insights and suggestions for managements...

We present a framework for inverse optimization in a Markowitz portfolio model that is extended to include a third criterion. The third criterion causes the traditional nondominated frontier to become a surface. Until recently, it had not been possible to compute such a surface. But by using a new method that is able to generate the nondominated surfaces of tri-criterion portfolio selection pro...

In this paper, we present an intelligent agent based portfolio management system, which can be used by the financial services industry to provide inexpensive Internetbased "self serve" offerings to small investors. This system is designed to assist investment banking firms, which offer funds of funds. Banker agents assist mutual fund managers in devising a global efficient frontier from the ind...