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Does portfolio emulation outperform its target funds?

Chen, Zhe; Foster, Frederick; Gallagher, David R; Lee, Adrian D

Description

An emulation fund is designed to reduce trading activity, thereby lowering costs, for a multi-manager fund. It does this by delaying, and potentially combining, trading decisions from each employed fund manager to eliminate offsetting trades (e.g. one man

dc.contributor.authorChen, Zhe
dc.contributor.authorFoster, Frederick
dc.contributor.authorGallagher, David R
dc.contributor.authorLee, Adrian D
dc.date.accessioned2015-12-13T22:26:42Z
dc.identifier.issn0312-8962
dc.identifier.urihttp://hdl.handle.net/1885/73617
dc.description.abstractAn emulation fund is designed to reduce trading activity, thereby lowering costs, for a multi-manager fund. It does this by delaying, and potentially combining, trading decisions from each employed fund manager to eliminate offsetting trades (e.g. one man
dc.publisherUniversity of New South Wales
dc.sourceAustralian Journal of Management
dc.subjectKeywords: Brokerage; fund-of-funds; G23; market impact; multi-manager; offsetting trades; portfolio emulation
dc.titleDoes portfolio emulation outperform its target funds?
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume38
dc.date.issued2013
local.identifier.absfor150000 - COMMERCE, MANAGEMENT, TOURISM AND SERVICES
local.identifier.ariespublicationf5625xPUB3763
local.type.statusPublished Version
local.contributor.affiliationChen, Zhe, Capital Markets CRC Limited
local.contributor.affiliationFoster, Frederick, College of Business and Economics, ANU
local.contributor.affiliationGallagher, David R, Capital Markets CRC Limited
local.contributor.affiliationLee, Adrian D, University of Technology Sydney
local.description.embargo2037-12-31
local.bibliographicCitation.issue2
local.bibliographicCitation.startpage401
local.bibliographicCitation.lastpage427
local.identifier.doi10.1177/0312896212455933
dc.date.updated2016-02-24T09:15:47Z
local.identifier.scopusID2-s2.0-84880795936
CollectionsANU Research Publications

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