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Here couple ETFs that may satisfy what you are looking for: http://www.quant-shares.com/etf-list/ http://www.etc.db.com/GBR/ENG/Institutional/Downloads/ISIN/Factsheets/GB00B4N0QN94 http://guggenheiminvestments.com/products/etf/wmcr http://etfdb.com/type/investment-style/high-beta/ Those include ETFs with a momentum approach, mean-reversion approach, ...

Unless I am missing something here, what you are asking is a pretty straight forward process: You mention that each fund is a tradable asset. So you then treat it as if it was any other asset and calculate as part of the process the individual fund var to derive your porfolio VaR. Here the steps: Get prices for each fund and calculate their log returns ...

I believe a nice way to discuss this is to set up a questionnaire which would put them in a situation where they have to make choices between different types of investments (which are abstract) in order to estimate their risk aversion. For example, you ask the people whether they prefer an investment making +10% (80% of the time) and -25% the rest of the ...

Is the management fee deducted daily or annually? Or perhaps are you trying to quantify the difference between the two? If annually, are fees in this example deducted based on average daily balance, or ending balance? I think you are also confusing yourself regarding economic vs. accounting cost. Look at how much money is left in the fund after fees ...