Hot answers tagged

4

Both approaches have drawbacks, so if one must choose among the two then one shall compare those drawbacks in the specific case. Or another way would be devising a hybrid of the two (e.g. adding statistics of historical deviations of the fund portfolio from the (1) view etc...). Among the drawbacks of (1): trading costs, rebalancings, management fees etc ...


4

SEC tends to keep CUSIPS handy: http://www.sec.gov/divisions/investment/13flists.htm


3

In Japan we get ISIN data with http://www.isin.org/isin-database they have free search tool.


3

You won't find this data for free anywhere. Some data-feeds have it. For example, DTN's NxCore product includes CUSIP in their data files.


3

There is a service on the cusip homepage, but I suspect it will cost you money: https://www.isin.cusip.com/isin/IsinServiceLogin.jsp


3

No matter how you calculate the VaR (historical simulation, covariance approach, MC) I assume that you work on historical data or data derived from the history of assets, risk factors and theresuch. If this assumption is correct then I would use approach (1). If you know the exact positions today of the (sub-)funds, then (except from some technicalities) ...


3

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, micro ...


3

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 the fund. They are common in Private Equity, some Hedge Funds, maybe VC. (Keep in mind that performance fee arrangements differ, not all funds are partnerships (...


3

On the website interface, you can get a CEF's NAV by circumfixing X-...-X (prefix & suffix) to the ticker. For example, the NAV time series ticker corresponding to the PDI price series is XPDIX. Or, XBTZX (NAV), BTZ (price). That might work for you.


3

In effect, you are wondering whether to price this option on risk-free probability distributions (B-S drift $r_f$), or real-world ones (B-S drift $\mu$, however calibrated) One cannot short the mutual fund, so the argument for using risk-free is weakened. But, there are various economic equilibrium arguments why using it may still be OK. If you use the ...


2

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 profitable opportunities; So the first dollars invested in fund have high returns (and so small funds perform well); As the fund size increases managers allocate ...


2

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 heavy losses. The same statistical effect is visible in the context of school performance : https://marginalrevolution.com/marginalrevolution/2010/09/the-small-...


2

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! final double totalMarketCap = filteredTickers.stream().mapToDouble(ticker -> ticker.getMarketCapUSD().doubleValue()).sum(); double cappedRemaining = 1d; double marketRemaining = 1d; for (CoinMarketCapTicker ticker : ...


2

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 contributions over more than one month will never equal the total portfolio returns over more than one month. One way to include the compounding effect is to '...


2

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 second fund will have a standard deviation of tracking error that is much greater than the first fund but you clearly would prefer it anyway. So, I think some MSE ...


2

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 sampling (skipping some small stocks entirely) or substitution of more liquid similar stocks to construct their mimicking portfolio. So far these techniques ...


2

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 portfolios. Given that those stocks that trade low volumes are also low market cap (highly likely), the tracking error of not holding exactly those is not that big.


2

Of course, Citadel as a primary example.


1

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 high) so once the fund owners have accumulated some profit they will be incentivised to return outside capital and operate as a stand-alone business.


1

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


1

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 large funds. Several reasons drive this bias: Performance Gap: Empirically, there is a measurable difference in returns between large funds and small funds – ...


1

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, "detecting" a managers active bets is a function of differentiating them from passive bets. From Investopedia entry on 13-F "Alpha Cloning": Portfolio ...


1

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 fixings where a fixing is weighted by the number of days between the fix and the next fix (i.e. a Friday fix will be weighted 3 times if there is no holiday on ...


1

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: when fund restrictions are in place. Example: In your question, the investment of the new investor will shift the asset allocations from 40% (AAA), 40% (BBB), 20%...


1

The single most important fact to keep in mind when reviewing a fund is that there is no single most important fact. Left tail risk in a fund investment exists for a huge number of reasons. This could range from back office compliance, risk management/derivative use policies to the possibility that the strategies they're running are negatively skewed which ...


1

You can get monthly performance for all of the Eurekahedge indices for free from Quandl: http://www.quandl.com/EUREKA-Eurekahedge


1

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 ...


1

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 ...


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