Does portfolio emulation outperform its target funds?

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

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Does portfolio emulation outperform its target funds?

Date

2013

Authors

Chen, Zhe

Foster, Frederick

Gallagher, David R

Lee, Adrian D

Publisher

University of New South Wales

Abstract

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