Pub Date : 2023-10-19DOI: 10.1080/0015198x.2023.2258061
Yin Chen, Roni Israelov
Using simulated historical backtests, we study the impact of stock exclusions on the performance of passive and active portfolios. We find that at low to moderate numbers, stock exclusions have very little influence on passive portfolios. Their effects on active portfolios vary by the factor in consideration and the portfolio construction method, but the magnitudes are much smaller than suggested by the percentage of stocks being excluded. We find similar patterns with industry-concentrated exclusions. Overall, our results suggest that investors should feel comfortable excluding a fairly large number of stocks before experiencing any significant deterioration in their investment performance.
{"title":"Exclude with Impunity: Personalized Indexing and Stock Restrictions","authors":"Yin Chen, Roni Israelov","doi":"10.1080/0015198x.2023.2258061","DOIUrl":"https://doi.org/10.1080/0015198x.2023.2258061","url":null,"abstract":"Using simulated historical backtests, we study the impact of stock exclusions on the performance of passive and active portfolios. We find that at low to moderate numbers, stock exclusions have very little influence on passive portfolios. Their effects on active portfolios vary by the factor in consideration and the portfolio construction method, but the magnitudes are much smaller than suggested by the percentage of stocks being excluded. We find similar patterns with industry-concentrated exclusions. Overall, our results suggest that investors should feel comfortable excluding a fairly large number of stocks before experiencing any significant deterioration in their investment performance.","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135779120","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-10-16DOI: 10.1080/0015198x.2023.2259287
Mustafa O. Caglayan, Umut Celiker, Mete Tepe
AbstractWe examine whether being a hedge fund has any differential effect on the previously documented empirical relation between investment horizon and informativeness of institutional investors’ trades. We find that the positive and significant relation between short-term institutional demand and future stock returns exists only among hedge funds, while such relation does not exist for non–hedge fund institutions with short investment horizons. We also provide evidence that our results are not driven by (false) presumptions that hedge funds represent the majority of short-term institutional investors or that hedge fund demand constitute the lion’s share of the short-term institutional demand.Keywords: hedge fundsshort-term institutional investorsturnoverPL Credits: 2.0 Disclosure statementThe authors have no conflict of interest to declare. This article presents the authors’ opinions and not those of Northern Trust Corporation, its affiliates, clients, or employees. All errors are the sole responsibility of the authors.AcknowledgmentsWe thank Vikas Agarwal for sharing with us a comprehensive list of hedge funds that file 13F holdings. We also thank Kent Daniel and Kenneth French for making a large amount of data publicly available in their online data library.Notes1 In addition to these articles that provide evidence of a positive relation between short-term investment horizon and future stock returns, there are a few studies that show the contrary. For example, Cremers and Pareek (Citation2016) find that funds trading frequently generally underperform, drawing a negative cross-sectional relation between turnover and performance. Similarly, Chakrabarty, Moulton, and Trzcinka (Citation2017) show that majority of short-term institutional trades lose money.2 We differ from this literature in a significant way by working on a more refined sample in 13F. Specifically, we first divide the institutional investors as short-term and long-term institutional investors as in Yan and Zhang (Citation2009), and later we divide each group further into two groups as hedge funds and non–hedge funds. Thus, we analyze the performance of four groups of institutional investors’ trades: short-term hedge funds, short-term non–hedge funds, long-term hedge funds, and long-term non–hedge funds. Out of these four groups, we find that only the trades of short-term hedge funds predict future stock returns.3 In terms of the distribution of sources in identifying the 13F-filing hedge funds among all institutions in our sample, the union database covers approximately 90% of our 13F-filing hedge fund sample. An additional 6% of the sample comes from ADV filings. The other three criteria combined (industry publications, company websites, and news articles in Factiva) constitute the remaining 4% of our 13F-filing hedge fund sample.4 Agarwal, Fos, and Jiang (Citation2013), similarly detect 23% (1,199 out of 5,188) of all 13F-filing institutions as hedge funds during their sample p
{"title":"Are All Short-Term Institutional Investors Informed?","authors":"Mustafa O. Caglayan, Umut Celiker, Mete Tepe","doi":"10.1080/0015198x.2023.2259287","DOIUrl":"https://doi.org/10.1080/0015198x.2023.2259287","url":null,"abstract":"AbstractWe examine whether being a hedge fund has any differential effect on the previously documented empirical relation between investment horizon and informativeness of institutional investors’ trades. We find that the positive and significant relation between short-term institutional demand and future stock returns exists only among hedge funds, while such relation does not exist for non–hedge fund institutions with short investment horizons. We also provide evidence that our results are not driven by (false) presumptions that hedge funds represent the majority of short-term institutional investors or that hedge fund demand constitute the lion’s share of the short-term institutional demand.Keywords: hedge fundsshort-term institutional investorsturnoverPL Credits: 2.0 Disclosure statementThe authors have no conflict of interest to declare. This article presents the authors’ opinions and not those of Northern Trust Corporation, its affiliates, clients, or employees. All errors are the sole responsibility of the authors.AcknowledgmentsWe thank Vikas Agarwal for sharing with us a comprehensive list of hedge funds that file 13F holdings. We also thank Kent Daniel and Kenneth French for making a large amount of data publicly available in their online data library.Notes1 In addition to these articles that provide evidence of a positive relation between short-term investment horizon and future stock returns, there are a few studies that show the contrary. For example, Cremers and Pareek (Citation2016) find that funds trading frequently generally underperform, drawing a negative cross-sectional relation between turnover and performance. Similarly, Chakrabarty, Moulton, and Trzcinka (Citation2017) show that majority of short-term institutional trades lose money.2 We differ from this literature in a significant way by working on a more refined sample in 13F. Specifically, we first divide the institutional investors as short-term and long-term institutional investors as in Yan and Zhang (Citation2009), and later we divide each group further into two groups as hedge funds and non–hedge funds. Thus, we analyze the performance of four groups of institutional investors’ trades: short-term hedge funds, short-term non–hedge funds, long-term hedge funds, and long-term non–hedge funds. Out of these four groups, we find that only the trades of short-term hedge funds predict future stock returns.3 In terms of the distribution of sources in identifying the 13F-filing hedge funds among all institutions in our sample, the union database covers approximately 90% of our 13F-filing hedge fund sample. An additional 6% of the sample comes from ADV filings. The other three criteria combined (industry publications, company websites, and news articles in Factiva) constitute the remaining 4% of our 13F-filing hedge fund sample.4 Agarwal, Fos, and Jiang (Citation2013), similarly detect 23% (1,199 out of 5,188) of all 13F-filing institutions as hedge funds during their sample p","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136113324","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-10-10DOI: 10.1080/0015198x.2023.2254199
Antti Suhonen
I examine the performance of US business development companies (“BDC”). BDCs have produced returns in line with those of private funds engaged in direct lending. Leveraged loan and small-cap value equity returns explain a significant part of BDC performance, and the alpha of BDCs is zero on a market-value basis but a statistically significant 2.74% per annum based on net asset value (NAV) valuations. I find no evidence of an illiquidity premium, which suggests that the alpha could result from regulatory arbitrage or a peso problem. Cross-sectional BDC returns are widely dispersed and exhibit strong persistence in top- and bottom-quartile manager performance.
{"title":"Direct Lending Returns","authors":"Antti Suhonen","doi":"10.1080/0015198x.2023.2254199","DOIUrl":"https://doi.org/10.1080/0015198x.2023.2254199","url":null,"abstract":"I examine the performance of US business development companies (“BDC”). BDCs have produced returns in line with those of private funds engaged in direct lending. Leveraged loan and small-cap value equity returns explain a significant part of BDC performance, and the alpha of BDCs is zero on a market-value basis but a statistically significant 2.74% per annum based on net asset value (NAV) valuations. I find no evidence of an illiquidity premium, which suggests that the alpha could result from regulatory arbitrage or a peso problem. Cross-sectional BDC returns are widely dispersed and exhibit strong persistence in top- and bottom-quartile manager performance.","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136353086","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-20DOI: 10.1080/0015198x.2023.2242075
Ludovic Phalippou
Using natural language processing, we score companies based on the frequency with which news articles contain both their names and terms private equity and leveraged buy-out. An index is then created and can be updated seamlessly at high frequency. The weights are set as a function of the relative exposure to this theme. We add liquidity constraints to ensure minimal transaction costs. Even though the algorithm does not optimize on either return or correlation, this listed private equity index is highly correlated to commonly used private equity fund market indices: nearly 90% correlation with Burgiss LBO fund index. In addition, our index has similar returns as non-tradable Leveraged Buy-Outs (LBO) fund indices. Our approach can be generalized to many other investment themes.
{"title":"Thematic Investing with Big Data: The Case of Private Equity","authors":"Ludovic Phalippou","doi":"10.1080/0015198x.2023.2242075","DOIUrl":"https://doi.org/10.1080/0015198x.2023.2242075","url":null,"abstract":"Using natural language processing, we score companies based on the frequency with which news articles contain both their names and terms private equity and leveraged buy-out. An index is then created and can be updated seamlessly at high frequency. The weights are set as a function of the relative exposure to this theme. We add liquidity constraints to ensure minimal transaction costs. Even though the algorithm does not optimize on either return or correlation, this listed private equity index is highly correlated to commonly used private equity fund market indices: nearly 90% correlation with Burgiss LBO fund index. In addition, our index has similar returns as non-tradable Leveraged Buy-Outs (LBO) fund indices. Our approach can be generalized to many other investment themes.","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136308837","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-12DOI: 10.1080/0015198x.2023.2251861
William N. Goetzmann
{"title":"Harry Markowitz in Memoriam","authors":"William N. Goetzmann","doi":"10.1080/0015198x.2023.2251861","DOIUrl":"https://doi.org/10.1080/0015198x.2023.2251861","url":null,"abstract":"","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135826195","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-12DOI: 10.1080/0015198x.2023.2246579
Mario Bajo, Emilio Rodríguez
This study explores the incorporation of climate change into fixed income investment. We investigate the cost of decarbonization and the selection of Sustainable Investment strategies in portfolio construction, providing a comprehensive analytical framework. Employing a passive management style and through empirical analysis, we assess the tradeoff between decarbonization and the associated cost in terms of benchmark deviation for a corporate bond portfolio. We also propose an innovative strategy called “Green Parity,” which helps to improve traditional approaches to decarbonization. Our results challenge the common belief that pursuing decarbonization targets inevitably compromises risk-return outcomes.
{"title":"Green Parity and the Decarbonization of Corporate Bond Portfolios","authors":"Mario Bajo, Emilio Rodríguez","doi":"10.1080/0015198x.2023.2246579","DOIUrl":"https://doi.org/10.1080/0015198x.2023.2246579","url":null,"abstract":"This study explores the incorporation of climate change into fixed income investment. We investigate the cost of decarbonization and the selection of Sustainable Investment strategies in portfolio construction, providing a comprehensive analytical framework. Employing a passive management style and through empirical analysis, we assess the tradeoff between decarbonization and the associated cost in terms of benchmark deviation for a corporate bond portfolio. We also propose an innovative strategy called “Green Parity,” which helps to improve traditional approaches to decarbonization. Our results challenge the common belief that pursuing decarbonization targets inevitably compromises risk-return outcomes.","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135825738","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-05DOI: 10.1080/0015198X.2023.2243205
Ivalina Kalcheva, Ping McLemore
We provide supporting evidence that intermediaries’ incentives vary across retail share classes in the same fund. We find that when a fund has multiple share classes with different distribution fees, flow is less sensitive to poor performance for share classes with higher distribution fees. These results are more pronounced for funds when intermediaries are more inclined to favor one share class over another—specifically, for funds serving only retail investors, having a large dispersion in distribution fees across share classes, or having a share class that charges the maximum allowed distribution fee. Our results hold for funds with small spread in investors’ performance sensitivities and disappear in a placebo test. These findings cannot be explained by differences in share-class load fees or investor clientele.
{"title":"Intermediaries’ Incentives across Share Classes in the Same Fund","authors":"Ivalina Kalcheva, Ping McLemore","doi":"10.1080/0015198X.2023.2243205","DOIUrl":"https://doi.org/10.1080/0015198X.2023.2243205","url":null,"abstract":"We provide supporting evidence that intermediaries’ incentives vary across retail share classes in the same fund. We find that when a fund has multiple share classes with different distribution fees, flow is less sensitive to poor performance for share classes with higher distribution fees. These results are more pronounced for funds when intermediaries are more inclined to favor one share class over another—specifically, for funds serving only retail investors, having a large dispersion in distribution fees across share classes, or having a share class that charges the maximum allowed distribution fee. Our results hold for funds with small spread in investors’ performance sensitivities and disappear in a placebo test. These findings cannot be explained by differences in share-class load fees or investor clientele.","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"79 1","pages":"41 - 63"},"PeriodicalIF":2.8,"publicationDate":"2023-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47853864","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-31DOI: 10.1080/0015198x.2023.2240280
Kenechukwu Anadu, John-Clark Levin, Victoria Liu, N. Tanner, Antoine Malfroy-Camine, Sean Baker
{"title":"Swing Pricing Calibration: Using ETFs to Infer Swing Factors for Mutual Funds","authors":"Kenechukwu Anadu, John-Clark Levin, Victoria Liu, N. Tanner, Antoine Malfroy-Camine, Sean Baker","doi":"10.1080/0015198x.2023.2240280","DOIUrl":"https://doi.org/10.1080/0015198x.2023.2240280","url":null,"abstract":"","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"1 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2023-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49297224","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-30DOI: 10.1080/0015198X.2023.2240081
Arnoud Boot, J. Krahnen, Lemma W. Senbet, Chester Spatt
In this statement, we assess the role and power of proxy advisors and asset managers in corporate governance in a market that is characterized by a limited number of voting advisory firms (Institutional Shareholder Services and Glass Lewis) and a growing dominance of index investing concentrated in a few large asset managers, such as BlackRock, Vanguard, and State Street. We discuss the business model of proxy advisory firms and contrast its objectives with those of asset managers in the context of the informational screening/filtering role and voting analysis and conclude with a set of policy recommendations addressing transparency and regulatory oversight.
{"title":"The Controversy over Proxy Voting: The Role of Fund Managers and Proxy Advisors","authors":"Arnoud Boot, J. Krahnen, Lemma W. Senbet, Chester Spatt","doi":"10.1080/0015198X.2023.2240081","DOIUrl":"https://doi.org/10.1080/0015198X.2023.2240081","url":null,"abstract":"In this statement, we assess the role and power of proxy advisors and asset managers in corporate governance in a market that is characterized by a limited number of voting advisory firms (Institutional Shareholder Services and Glass Lewis) and a growing dominance of index investing concentrated in a few large asset managers, such as BlackRock, Vanguard, and State Street. We discuss the business model of proxy advisory firms and contrast its objectives with those of asset managers in the context of the informational screening/filtering role and voting analysis and conclude with a set of policy recommendations addressing transparency and regulatory oversight.","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"79 1","pages":"8 - 15"},"PeriodicalIF":2.8,"publicationDate":"2023-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48922839","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：