Asset Management Portfolio Construction, Performance and Returns
This book presents a series of contributions on key issues in the decision-making behind the management of financial assets. It provides insight into topics such as quantitative and traditional portfolio construction, performance clustering and incen
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Edited by Stephen Satchell
Asset Management
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Asset Management Portfolio Construction, Performance and Returns Edited by
Stephen Satchell Professor, Sydney University, Australia
Editor Stephen Satchell Sydney University Australia
ISBN 978–3–319–30793–0 DOI 10.1007/978–3–319–30794–7
ISBN 978–3–319–30794–7 (eBook)
The Editor(s) (if applicable) and The Author(s) 2016 The Author(s) have asserted their right(s) to be identified as the author(s) of this volume in accordance with the Copyright, Design and Patents Act 1988. This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Printed on acid-free paper This Palgrave Macmillan imprint is published by Springer Nature The registered company is Springer International Publishing AG Switzerland
Contents List of Figures and Tables
vii
List of Contributors
xvi
Introduction Stephen Satchell
1
1 Performance of UK Equity Unit Trusts Garrett Quigley and Rex A. Sinquefield 2 A Demystification of the Black–Litterman Model: Managing Quantitative and Traditional Portfolio Construction Stephen Satchell and Alan Scowcroft 3 Tracking Error: Ex Ante Versus Ex Post Measures Stephen E. Satchell and Soosung Hwang 4 Performance Clustering and Incentives in the UK Pension Fund Industry David Blake, Bruce N. Lehmann and Allan Timmermann 5 Do Hedge Funds Add Value to a Passive Portfolio? Correcting for Non-Normal Returns and Disappearing Funds Roy Kouwenberg 6.1
6.2
The Performance of Value and Momentum Investment Portfolios: Recent Experience in the Major European Markets—Parts 1 and 2 Ron Bird and Jonathan Whitaker The Performance of Value and Momentum Investment Portfolios: Recent Experience in the Major European Markets—Parts 1 and 2 Ron Bird and Jonathan Whitaker
9
36 54
63
95
127
164
7 Cointegration Portfolios of European Equities for Index Tracking and Market Neutral Strategies Christian L. Dunis and Richard Ho
191
8 Emerging Markets of South-East and Central Asia: Do They Still Offer a Diversi
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