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Agency Problems In Target-Date Funds, Vallapuzha Sandhya
Agency Problems In Target-Date Funds, Vallapuzha Sandhya
Finance Dissertations
Target-Date Funds (TDFs) facilitate retirement planning by varying asset allocation over time with the goal of reducing portfolio risk. We explore potential agency problems in TDFs by examining their return performance and flow-performance relation. We find that TDFs under-perform balanced funds (BFs) which are also approved as a default option along with TDFs in 401(k) plans with automatic enrollment. We show that the under-performance is driven by TDFs that have a fund-of-fund structure and constituent funds with high expense ratios or poor performance within the fund family. Additionally, we discover an absence of flow-performance relation in TDFs while BFs exhibit …
Do Mutual Fund Managers Have Superior Skills? An Analysis Of The Portfolio Deviations From A Benchmark, Jean-Francois Guimond
Do Mutual Fund Managers Have Superior Skills? An Analysis Of The Portfolio Deviations From A Benchmark, Jean-Francois Guimond
Finance Dissertations
By construction, actively managed portfolios must differ from passively managed ones. Consequently, the manager’s problem can be viewed as selecting how to deviate from a passive portfolio composition. The purpose of this study is to see if we can infer the presence of superior skills through the analysis of the portfolio deviations from a benchmark. Based on the Black-Litterman approach, we hypothesize that positive signals should lead to an increase in weight, from which should follow that the largest deviations from a benchmark weight reveal the presence of superior skills. More precisely, this study looks at the subsequent performance of …