Questions tagged [funds]

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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 ...
2
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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 ...
1
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0answers
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 ...
1
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2answers
78 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.
1
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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 ...
1
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0answers
127 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?
1
vote
1answer
232 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, ...
0
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0answers
28 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 ...
0
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0answers
31 views

Good benchmark for european Flexible asset allocation funds?

Flexible allocation funds usually do not state any benchmark. Because flexible funds allocations are dynamic and less constrained, determining an appropriate benchmark for the funds is challenging. I ...
-2
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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)...