When opportunity knocks: Cross-sectional return dispersion and active fund performance

AH Von Reibnitz - Critical Finance Review, Forthcoming, 26th …, 2013 - papers.ssrn.com
Active opportunity in the market, measured by cross-sectional dispersion in stock returns,
significantly influences fund performance. Active strategies have the greatest impact on …

[BOOK][B] Portfolio management with drawdown-based measures

M Molyboga, C L'Ahelec - 2017 - cmegroup.com
This paper analyzes the portfolio management implications of using drawdown-based
measures in allocation decisions. We introduce modified conditional expected drawdown …

Volatility harvesting in theory and practice

P Bouchey, V Nemtchinov… - The Journal of Wealth …, 2015 - search.proquest.com
Rebalancing is an important tool for managing risk in a portfolio. It can also be a source of
return--the act of maintaining constant weights generates a buy-low, sell-high trading pattern …

The role of ETFs in active tax management

P Bouchey, JLP Brunel, T Li - The Journal of Wealth …, 2016 - search.proquest.com
The authors investigate how exchange-traded funds (ETFs), which are well known for tax
efficiency, can be used to create broader portfolio tax efficiency. They show that it is …

Return dispersion and fund performance: Australia–The land of opportunity?

Y Cao, A von Reibnitz, GJ Warren - Pacific-Basin Finance Journal, 2020 - Elsevier
We examine the relation between cross-sectional stock return dispersion and active fund
performance in Australia, drawing on the concept that higher return dispersion provides …

The impact of market conditions on bond fund managers

H Parikh, FJ Fabozzi - The Journal of Fixed Income, 2018 - search.proquest.com
We examine the impact on relative success of bond fund managers under different market
conditions defined by changes in bond yields and both longitudinal and cross-sectional …

Equity hedge fund performance, cross-sectional return dispersion, and active share

DM Smith - Signs that Markets are Coming Back, 2014 - emerald.com
This study examines several aspects of active portfolio management by equity hedge funds
between 1996 and 2013. Consistent with the idea that cross-sectional return dispersion is a …

Trends in the South African Hedging Space Part II: Measuring Risk and Finding Return

E Flint, A Seymour, F Chikurunhe - Peregrine Securities, 2013 - papers.ssrn.com
Trends in the South African Hedging Space PART II: Measuring Risk and Finding Return Page 1
Electronic copy available at: http://ssrn.com/abstract=2767421 DERIVATIVE AND QUANTITATIVE …

[BOOK][B] Two essays in empirical finance

H Parikh - 2016 - search.proquest.com
This paper reexamines the inflation-hedging properties of individual equities. When
determining inflation betas for individual equities we use multivariate regressions, which …

[CITATION][C] The Cross-Sectional Dispersion and Volatility of Bond Returns and Manager Outperformance

H Parikh - EDHEC Business School