Using a unique database of UK fund manager changes over the period from 1997 to 2011,
we examine the impact of such changes on fund performance. We find clear evidence to …

… N risky assets, which we vary from N = 2 to 100. For each value of N, we simulate (i) an
equally weighted 1/N … portfolio with initial weights 1/N but with the weights then evolving in line …

… Therefore a straightforward alternative to Market-cap weighting would be to assign each
of the N stocks in the equity universe an equal weight. This is a very simple approach to …

Factor models are frequently applied to hedge fund returns in an attempt to separate the
return from identified risk factors (beta) and from manager skill (alpha). More recently, these …

… N risky assets which we vary from N=2 to 100. For each value of N we simulate (i) an
equally-weighted 1/N … ii) an unrebalanced portfolio with initial weights 1/N, but with the weights …

In this paper we investigate the influence of two factors on the risk taking behaviour of
hedge fund managers. The first factor is the past performance of the fund relative to the …

In this paper we explore an alternative approach for determining constituent weights for
equity indices. This approach makes use of alternative definitions of company size, and is …

… we create equally weighted portfolios of increasing size n (n=2 to 23) by randomly selecting
… This is necessary not only to estimate the mean behaviour of a portfolio of size n, but also to …

In this paper we use Monte Carlo simulation techniques to gauge the impact of three mutual
fund fee structures on the utility of investors and fund managers: a fee fixed as a proportion …

In this paper we examine market level data on the net investment into broad categories of
UK mutual funds (known as unit trusts) collated by the Investment Management Association (…