by Patrick Burns.
Abstract: The current practice of fund management can be altered to improve the lot of both the investor and the fund manager. Tracking error constraints in mandates can be replaced by an evaluation of the added value provided to the investor by the fund manager. The value of the manager depends not only on the outperformance of the manager’s fund, but also on its volatility and its correlation to the rest of the investor’s portfolio. Hyperpassive funds — an approach suggested by the new mandate scheme — show promise.
jun 25, 26
The function in question is scriptSearch. I’m not much for superlatives — ”most” and ”best” imply one dimension, but we live in a multi-dimensional world. I’m making an exception. The [...]
jun 25, 26
I recently gave a talk at the R in Finance conference in which I introduced the marketAgent package for R. Here is the source for the package if you'd like [...]
jun 25, 26
Executive summary Surprisingly good. And it’s not like my expectations were especially low. Structure There are 20 chapters. I mostly like the chapters and their order. Hadley breaks the 20 chapters [...]