Questions tagged [funds]

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33 views

Managing fund of bot users

I'm algotrading since 2018 and been profitable (not much, but consistent) since then. This year I thinking in make a business around this bot. My only doubt is how do I manage the fund of all users? ...
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35 views

Modigliani Squared (M2) and negative fund returns

I often see it quoted that the M2 measure offers an advantage over the sharpe, as sharpe is 'difficult to interpret' for negative returns. eg: https://en.wikipedia.org/wiki/Modigliani_risk-...
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38 views

How to measure the sensitivity of a fund to a set of indices?

I'm trying to understand how recently created funds work and ultimately derive a sort of a probability distribution for their future returns, by approximating them with indices and then using the ...
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15 views

Sector Contribution Analysis

I am trying to conduct a sector contribution analysis of a certain mutual funds. But I don't quite understand the logic. I am given these datasets. stock universe dataset.(it is a dataframe ...
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2answers
97 views

Daily to Monthly Performance Attribution - Getting Effects to equal the Excess Return

I am building a performance attribution tool on Python to help us understand the asset allocation, stock selection effects of our fund. We are using daily price data for each component within the ...
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1answer
54 views

Where can one get data concerning ETF holdings and changes in their holdings?

I am trying to write my masters thesis in finance and my topic will be ETF related. I wanted to ask whether it is possible to find data for an empirical analysis for my thesis. I have been searching ...
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29 views

Calculating FTP rate for loans

The FTP rate for loans is calculated by the following formula FTP% I have a data set as shown in Data set and when inserting for instance the base rate, liquidity premium 2y and liquidity premium 6m ...
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32 views

Funds transfer pricing for loans

I wonder if the $FTP\%$ term for loans in the following formula $$FTP\%=\text{BaseRate} + \alpha \,\text{LP}_{1y}+(1-\alpha) \,\text{LP}_{6m},$$ where $\text{LP}$ is a liquidity premium, is a ...
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3answers
97 views

Why do some mutual funds or indexes have an average effective maturity that is way larger (2-4 times larger) than the average effective duration?

I would like to know if this difference occurs when the coupon payments are very large and/or if there are other reasons.
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2answers
110 views

How can more money be indexed to a stock than the stock's actual value?

According to a recent Bloomberg article, Michael Burry of "The Big Short" fame claims that In the Russell 2000 Index, for instance, the vast majority of stocks are lower volume, lower value-...
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2answers
207 views

Is there any funds that do market making?

In spite of banks, market making firms, brokers is there any funds that specially do market making?
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4answers
156 views

If historical returns are no indication of future returns, why are they still shown to investors?

Stock returns and fund returns are on average not autocorrelated and thus unpredictable. Consequently, looking at a historical price chart gives no indication in which direction tomorrows price will ...
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0answers
32 views

How to count [and report] the values of significance at 1% and 5%?

I am slightly confused with this: I have calculated the Chi square for the number of funds and the methods description tells me that if the values I have calculated are greater than 3.84 (6.64) that ...
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2answers
273 views

tracking error or R2?

Lets say I have fund A and fund B and both aim to track the S&P500. I want to compare their performance over time and see who did a better job of tracking the Index. Should I compute the standard ...
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3answers
262 views

Fund size and alpha

During my research I found that fund active returns (alpha), measured by Fama and French four factor model, decreases as the fund increases in size (asset under management). What are some reasons ...
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2answers
253 views

Algorithm for calculating Capped Index weightings

I'm trying to build a Capped Index Fund of crypto currencies. As Investopedia explains, a "Capped index is an equity index that has a limit on the weight of any single security. Thus, a capped index ...
2
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1answer
88 views

How do funds with illiquid assets add new investment to their funds?

As far as I know if you have for example 40% AAA, 40% BBB, 20% CCC with a total of 100k value. And someone new comes and adds 100k you can reallocate their money to fit the 40-40-20 (same as your old ...
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1answer
1k views

How to calculate the annual contribution of a fund to a portfolio of funds?

let's assume I have a portfolio of two funds (call them F1 and F2), where, by convention, there is a monthly compounding of the returns. On a monthly basis, the contribution of each fund will just be ...
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2answers
163 views

What is a good way to detect fund manager's active stock picks from his portfolio holdings?

There are a number of challenges. It is usually unclear what the managers' benchmark index is. The index may have 500 - 3000 stocks, but the manager can only hold 20-50, so that will naturally ...
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2answers
465 views

How to Calculate (month by month) what hikes are priced into OIS?

I am looking to see on a monthly basis, what the market is pricing in in terms of rate hikes in the OIS. Would it be sufficient to look at fed funds futures at those monthly dates? My gut says not. ...
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1answer
6k views

What is the difference between performance fees and carried interest?

What is the difference between performance fees and carried interest when talking about funds and compensation schemes?
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1answer
114 views

Return correlations

Assume an equity fund sample shows returns negatively correlated with the S&P 500. Are we more inclined to say that a) these funds are invested outside the S&P 500, perhaps non-US stocks; b)...
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1answer
1k views

Historical Daily NAV for Closed End Funds

Does anyone know where to get historical, daily net asset values for closed end funds from the date of inception to the present? Yahoo finance has daily opening, high, low, closing values, but no NAV ...
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129 views

Jensen's alpha with timing activities

Why is Jensen’s Alpha not an appropriate measure of performance anymore, if the fund manager is a perfect market timer as stated for example in the Treynor-Mazuy-model or the Henriksson-Merton-model?
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1answer
571 views

Call option on a Mutual Fund

I am trying to price a call option on a mutual fund. Given the lack of market implied data, I am going to estimate the fund´s expected volatility using as a reference its historical volatility (...
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1answer
273 views

Single Most Important Fact about a Fund - Interview Question [closed]

I recently attended an interview to work as a software developer in an Asset Management company. I was asked by the interviewer: What is the most important piece of information that should be ...
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3answers
2k views

Where to get access to an inexpensive or free hedge fund/CTA DB?

Basically, the question is in the title. For some similar data: EDHEC provides some data and one can also get the Mutual Funds data from the Yahoo Finance:is there anything else out there? Thanks,
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0answers
142 views

Is there such a thing as “sell-off risk” in bond funds?

Popular yet generally academically-grounded commentators such as Annette Thau and Larry Swedroe have claimed that there is the possibility for "sell-off risk" in bond funds. By this they apparently ...
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2answers
804 views

VaR for portfolio of funds

Let's assume we need to calculate a 1-day VaR for a portfolio of funds. Funds are traded, they can be bought and sold every day. We know exactly what the assets in each fund are. What is the right way ...
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1answer
448 views

Examples of investable factors via factor funds/ETFs

In the draft chapter about hedge funds of his forthcoming book Andrew Ang postulates the dawn of new factor funds (p. 35 ff.), i.e. funds that directly target factors like volatility, value-growth, ...
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1answer
244 views

Are Papers and Funds reporting Monthly drawdowns using daily granularity?

I'm curious as to how many academic studies and industry white papers are actually using daily data to report intramonth drawdowns; specifically, when the papers are often reporting monthly signals, ...
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0answers
96 views

how to identify similar assets based only on a few price samples

Using quantitative finances techniques on limited information, how might one go about finding similar(highly correlated) assets whose public information is available? The only data offered on a list ...
5
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1answer
179 views

Are there quantitative models which can guide one's choice of target risk?

Note: This question was written for the weekly topic challenge. Many asset allocation funds presume the investor knows his target risk level, typically on some spectrum from conservative (mostly G7 ...
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4answers
16k views

How to get list of all CUSIPS/ISIN?

I want a list of all CUSIPs/ISINs. It would be nice if they were also categorized (e.g. Bonds/Funds etc). Where can I get such a data?
4
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1answer
231 views

How to quantify the impact of management cost on return?

Suppose funds X and Y are the same but X has 0.25% higher management cost. Suppose we are analyzing a 2 year interval. The simple models with discrete/continuous interval -assumptions are not really ...