Mensuel de octobre 2020 - Fonds d’investissement

go back Retour << Article précédent     Article suivant >>

Research in Finance/ On fund performance and turnover
In principle, asset managers should trade more when they discover alpha generating trading opportunities. Thus, the performance of skilled managers should be better after an increase in trades, which implies a positive relationship between an investment fund’s turnover and subsequent returns. Pastor, Stambaugh and Taylor (2017) analyse the turnover of investment funds facing time-varying investment opportunities. They develop a model where before fee future abnormal performance, measured by alpha, is a function of current turnover.   In their model, future above fee abnormal performance is concave whereas the trading cost function is convex in turnover. The fund manager is supposed to maximise expected future profit net of trading costs. This leads to an optimal turnover...
Cette page n'est accessible qu'aux abonnés payants.
Veuillez vous identifier si vous êtes abonnés à la consultation de nos archives.

Nous vous invitons à souscrire un abonnement, ou à prendre contact avec nous.