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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
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Index mutual funds --- Exchange traded funds --- Exchange traded funds. --- Index mutual funds. --- Index funds --- ETFs (Stock funds) --- Mutual funds --- Stock funds
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Index mutual funds. --- Exchange traded funds. --- Investment banking. --- Banks and banking, Investment --- Investment banks --- Financial institutions --- Securities --- ETFs (Stock funds) --- Stock funds --- Index funds --- Mutual funds
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Mutual funds --- Investment & Speculation --- Finance --- Business & Economics --- Investment companies --- Investment trusts --- Open-end mutual funds --- Profit-sharing trusts --- UITs --- Unit investment trusts --- Unit trusts --- Investments --- Investment clubs --- Index funds
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Indices, index funds and ETFs are grossly inaccurate and inefficient and affect more than €120 trillion worth of securities, debts and commodities worldwide. This book analyzes the mathematical/statistical biases, misrepresentations, recursiveness, nonlinear risk and homomorphisms inherent in equity, debt, risk-adjusted, options-based, CDS and commodity indices – and by extension, associated index funds and ETFs. The book characterizes the “Popular-Index Ecosystems,” a phenomenon that provides artificial price-support for financial instruments, and can cause systemic risk, financial instability, earnings management and inflation. The book explains why indices and strategic alliances invalidate Third-Generation Prospect Theory (PT3), related approaches and most theories of Intertemporal Asset Pricing. This book introduces three new decision models, and some new types of indices that are more efficient than existing stock/bond indices. The book explains why the Mean-Variance framework, the Put-Call Parity theorem, ICAPM/CAPM, the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio, and DEA-Based Performance Measures are wrong. Leveraged/inverse ETFs and synthetic ETFs are misleading and inaccurate and non-legislative methods that reduce index arbitrage and ETF arbitrage are introduced. .
Exchange traded funds. --- Index mutual funds. --- Index funds --- Mutual funds --- ETFs (Stock funds) --- Stock funds --- Investment banking. --- Securities. --- Investments and Securities. --- Blue sky laws --- Capitalization (Finance) --- Investment securities --- Portfolio --- Scrip --- Securities --- Securities law --- Underwriting --- Investments --- Investment banking --- Banks and banking, Investment --- Investment banks --- Financial institutions --- Law and legislation
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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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