# Tag Info

## Hot answers tagged funds

### Does inflows to ETF affect equity prices?

Most likely. If the ETF has more buyers than sellers, the sponsor or authorized participants will have to create units of the ETF. In order to create units of the ETF, they will have to go to the ...
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### What is the difference between performance fees and carried interest?

I am not a tax lawyer or a CPA. "Carried interest" is a specific type of "performance fee" that is charged by the General Partner of an investment fund as an incentive/reward for good performance of ...
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### How do funds assess fees to investors?

It will typically be on the net asset value (NAV) of the fund, which has a precise definition, and in your hypothetical case, is around the \$10M value. The long answer is: it depends on how it's ...
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### How to calculate the annual contribution of a fund to a portfolio of funds?

These problems arise when you compute arithmetic return contributions: in a given month, you want the sum of the funds' contributions to equal the portfolio return. The sum of these single-month ...
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### Fund size and alpha

The main reason in the academic literature for alphas to decrease with fund size has to do with decreasing returns to ability. Think about it this way: Managers first allocate funds to the most ...
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### Fund size and alpha

Most of this will be the sheer nature of statistics. Big funds tend to have more average results, small funds have more variance and thus have more of the high returns, but also likely more of the ...
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### Algorithm for calculating Capped Index weightings

I figured it out! See the second tab of my spreadsheet for the solution. And for what it's worth, here's my Java code. No recursion needed! ...
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### tracking error or R2?

Hi: Take the worst case where one fund is 15 bps down ( relative to the index ) every month and another fund flips back and forth between being up 1 basis point to down 1 the next month. Then the ...
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### How can more money be indexed to a stock than the stock's actual value?

The goal of the index fund is to have a small tracking error (not to replicate the index holdings exactly). They are aware that some stocks are less liquid than others and will use techniques such as ...
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### How can more money be indexed to a stock than the stock's actual value?

Very easily, you don't actually need to hold those stocks as long as you own a portfolio of larger stocks that in the correct proportion can mimic those small stocks. These are called replicating ...
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### Is there any funds that do market making?

Of course, Citadel as a primary example.
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### Daily to Monthly Performance Attribution - Getting Effects to equal the Excess Return

This is usually called the "Linking problem" or multi-period linking in Performance Attribution. Several methods have been proposed and there is some controversy as to which is best (in fact a great ...
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### How do funds assess fees to investors?

Management fees are commonly charged on the asset base, in this case, the 10MM. There might be exceptions to this rule, but they are rare. FOr mutual funds, management fees are typically charged on a ...

### How do funds assess fees to investors?

In fund accounting, it each hedged position you open as an asset & liability that has to be netted off. Management and Performance Fees are incured will be based on the AUM after netting off all ...
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### How do funds assess fees to investors?

From a managed fund operation perspective, the 2% charge is on how much funds one investor controls not the total FUM of the fund.
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### Liquidity Stress Test of Investment fund - Liquidation tracking error

not sure if i got the gist of your question, but in general i'd say you can do a little of matrix algebra starting from the correlation matrix to get the covariance matrix. if you were to do this for ...
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### References on cashflow modelling for private equity

As to the theory, I would recommend “Illiquid Alternative Asset Fund Modeling” by Dean Takahashi and Seth Alexander of the Yale Endowment. You’re right that private equity fund data often sits behind ...
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### Help Setting a Monte Carlo Simulation

There are three reasons to perform Monte Carlo simulations in statistics. The first, as used in this paper, is to test the performance of estimators when an analytic solution does not exist. The ...
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### Daily to Monthly Performance Attribution - Getting Effects to equal the Excess Return

I would convert all data from daily to monthly using the generic total return formula you specified. Then do the attribution. The issue is going to be with the weights of assets, sectors, and ...
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### Where can one get data concerning ETF holdings and changes in their holdings?

So according to this source here, ETFs are required to publish the type of data that they are looking for, they sometimes go on to publish such data on their own websites https://www.sec.gov/investor/...
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### 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?

Assume there is no interest rate, you loan me 1 dollar and then I give you 0.5 dollar half year and then 1 year later. The duration of my payment is 0.75 years and maturity is 1 year. Duration is the ...
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### 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?

Hard to be too specific when there’s a lot of caveats in both “effective” measures, and their definitions, above :-) This said, there are two complimentary reasons for maturity>>duration. The first ...
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### Is there any funds that do market making?

Yes, although they might not remain funds for very long. Market making is not a particularly capital intensive activity, and it can be quite profitable (or at least, rather risk-adjusted returns are ...
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### If historical returns are no indication of future returns, why are they still shown to investors?

I think it also shows the pedigree of the fund manager. All else equal, if the fund manager could beat the index by 2%, that says something non-zero
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### Fund size and alpha

I thought I'd contribute an answer that's more empirical and experience-based. I worked at an asset allocator earlier on in my career, and the company has a very strong bias toward NOT investing in ...
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### What is a good way to detect fund manager's active stock picks from his portfolio holdings?

I would like pile on with the recommendations for using activeshare.info. However, active share data is only available for mutual funds, so the use cases are limited. As your question title implies, ...
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### How to Calculate (month by month) what hikes are priced into OIS?

Fed funds futures are nearly sufficient. You need to know the precise way in which Fed Fund futures are calculated for settlement purposes - e.g. that it is an arithmetic average of the fed funds ...
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### How do funds with illiquid assets add new investment to their funds?

Yes, the new investor could have a opportunity. This is "normal" life. Launching a new fund is a possible way, but it is expensive (as you indicated). Sometimes it is necessary to launch a new fund: ...
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