# Questions tagged [funds]

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105 views

### How funds incur fee to investors?

I am trying to understand how funds incur fee onto its investors. I found out that a typical fund fee structure is 2% of AUM and 20% of the excess profit. If fund received 10MM capital from an ...
470 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 ...
433 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 ...
678 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 ...
38 views

### Hedge Fund Leverage - FX exposure

how is leverage calculated for hedge funds that follow a global macro strategy. Specifically interested in knowing the FX exposure- forwards or spots. If it’s just Longs+Shorts, then leverage would be ...
47 views

### References on cashflow modelling for private equity

I would like to build a model to predict capital calls and distributions of a private equity fund. The first question is: does any of you can address me towards the state of art for it? also machine ...
25 views

### Funds Performance - Size Weighted (Negative Numbers)

I need to calculate the weighted median, average, sd of PE funds' returns. I weighted the sample according to the amount of committed capital of a fund, but I should consider negative products to ...
74 views

### Help Setting a Monte Carlo Simulation

I am trying to replicate the steps of the Barras, Scaillet, Wermer(2010) paper for a Monte-Carlo Simulation. More specifically the steps in Appendix B.1 (Attached image). I have so far done the ...
266 views

37 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 ...
120 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-...
233 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?
161 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 ...
35 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 ...
3k 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,
457 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 ...
304 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 ...
551 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. ...
89 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 ...
175 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 ...
7k 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?
20k 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?
2k 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 ...
2k 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 ...
118 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)...
135 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?
607 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 (...
281 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 ...
148 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 ...
863 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 ...
460 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, ...
281 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, ...
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 ...