A note on closet--indexing
Article Abstract:
Actively managed equity mutual funds that have returns highly correlated with popular stock market indices are charged with ecloset-indexingE. Using a sample of high-R2 growth-and-income funds, the Sharpe ratio of this trading strategy and the market Sharpe ratio prove that widespread closet-indexing does not exist in the mutual fund industry.
Publication Name: Journal of Economics and Business
Subject: Economics
ISSN: 0148-6195
Year: 2004
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Subsistence consumption, habit formation and the demand for long-term bonds
Article Abstract:
A model to show that only complete market investors driven by habit formation only hold the portfolios that have long-term bonds is analyzed.
Publication Name: Journal of Economics and Business
Subject: Economics
ISSN: 0148-6195
Year: 2005
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The value of active portfolio management
Article Abstract:
A comparative study showing how actively managed funds generate higher returns to investors than other funds are presented.
Publication Name: Journal of Economics and Business
Subject: Economics
ISSN: 0148-6195
Year: 2004
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