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Year: 2017 Publisher: Washington, D.C. : The World Bank,
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This paper studies the trading behavior and performance of foreign investors with different management styles. The analysis uses a comprehensive Colombian data with complete transaction records and unique investor identification, and finds that the aggregate under-performance of foreign investors is attributable to foreign passive funds, that is, those that replicate a benchmark index. These funds pay higher prices to increase the speed of their trades to accommodate daily flows proportionally to their index before market closing. Passive funds face higher transaction costs on days when they trade multiple stocks in the same direction, buy (sell) the same stock multiple times, and make large trades near the daily closing time. Meanwhile, foreign active funds trade at more favorable prices and display higher risk-adjusted returns than any other investor group, including domestic funds with similar active management. The findings highlight the potential costs of index investing in developing countries or in securities with low trading activity (small stocks).
Foreign Investors --- Index Funds --- Performance --- Transactional Data
ISBN: 047027784X 1118045483 9786611374181 1281374180 0470294132 9780470294130 9781118045480 9780470277843 Year: 2008 Publisher: Hoboken, N.J. : John Wiley & Sons,
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2008 American Publishers Awards for Professional and Scholarly Excellence (The PROSE Awards) Finalist/Honorable mention, Business, Finance & Management. The Fundamental Index examines a new approach to indexing that can overcome the structural return drag created by traditional capitalization-based indexing strategies, and in so doing, enhance the performance of your portfolio. Throughout this book, Robert Arnott and his colleagues outline this breakthrough strategy and explain how it can be used to improve investment returns, typically at lower risk and lower cost than most conventio
Index mutual funds. --- Portfolio management. --- Stocks - Prices - Mathematical models. --- Stocks --Prices --Mathematical models. --- Index mutual funds --- Stocks --- Portfolio management --- Finance --- Business & Economics --- Investment & Speculation --- Prices --- Mathematical models --- Mathematical models. --- Fundamental Index --- Research Affilliates Fundamental Index --- Investment management --- Index funds --- Investment analysis --- Investments --- Securities --- Mutual funds --- Prices&delete& --- Fundamental Index. --- Research Affilliates Fundamental Index. --- E-books --- Common shares --- Common stocks --- Equities --- Equity capital --- Equity financing --- Shares of stock --- Stock issues --- Stock offerings --- Stock trading --- Trading, Stock --- Bonds --- Corporations --- Going public (Securities) --- Stock repurchasing --- Stockholders
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