Picking funds with confidence

When is Stock Picking by Mutual Funds Successful?

The Trouble with Manager Picking

We examine the selection and termination of investment management firms by plan sponsors (public and corporate pension plans, unions, foundations, and endowments). We build a unique dataset that comprises hiring and firing decisions by approximately 3,700 plan sponsors over a 10-year period from 1994 to 2003. Our data represent the allocation of over $737 billion in mandates to hired investment...

Hedge Funds, Funds-of-Funds, and Commodity Trading Advisors

International Diversification with Factor Funds

We propose a new investment strategy employing “factor funds” to systematically enhance the mean-variance efficiency of international diversification. Our approach is motivated by the increasing evidence that size (SMB), book-to-market (HML), and momentum (MOM) factors, along with the market factor, adequately describe international stock returns, and by the direct link between investors’ portf...

The World of Funds of Funds

** Prof. Svetlozar T. Rachev (Corresponding Author): Institute for Statistics and Mathematical Economics, University of Karlsruhe, Germany & Department of Statistics and Applied Probability, University of California, Santa Barbara, USA. // Chair of Econometrics, Statistics and Mathematical Finance, School of Economics and Business Engineering, University of Karlsruhe, Kollegium am Schloss, Bau ...