A model of emulation funds

Chen, Z; Foster, FD; Gallagher, DR; Lee, AD

A model of emulation funds

Chen, Z Foster, FD Gallagher, DR

Lee, AD

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Publication Type:: Journal Article
Citation:: Accounting and Finance, 2015, 55 (3), pp. 717 - 748
Issue Date:: 2015-01-01

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Field	Value	Language
dc.contributor.author	Chen, Z	en_US
dc.contributor.author	Foster, FD	en_US
dc.contributor.author	Gallagher, DR https://orcid.org/0000-0003-4544-3916	en_US
dc.contributor.author	Lee, AD https://orcid.org/0000-0001-5984-8688	en_US
dc.date.available	2020-05-25T19:21:05Z
dc.date.issued	2015-01-01	en_US
dc.identifier.citation	Accounting and Finance, 2015, 55 (3), pp. 717 - 748	en_US
dc.identifier.issn	0810-5391	en_US
dc.identifier.uri	http://hdl.handle.net/10453/37033
dc.identifier.uri	http://hdl.handle.net/10453/36509
dc.identifier.uri	http://hdl.handle.net/10453/36508
dc.description.abstract	© 2014 AFAANZ. Emulation funds are a potentially cost-effective way for multimanager funds to improve their investment performance by delaying and netting trade signals from underlying managers. We develop a model to represent the expected sources of differential performance in an emulation fund relative to its underlying multimanager portfolio. The model formalises the expected interaction between potential savings and opportunity costs and allows us to observe complexities in the emulation process that are hidden without a benchmark. Finally, the functional representation of the model allows sensitivity analysis of the emulation fund to key parameters and enables us to determine theoretically optimal lag periods.	en_US
dc.relation.ispartof	Accounting and Finance	en_US
dc.relation.isbasedon	10.1111/acfi.12067	en_US
dc.subject.classification	Accounting	en_US
dc.title	A model of emulation funds	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	55	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.issue	3	en_US
pubs.publication-status	Published	en_US
pubs.volume	55	en_US

Abstract:

© 2014 AFAANZ. Emulation funds are a potentially cost-effective way for multimanager funds to improve their investment performance by delaying and netting trade signals from underlying managers. We develop a model to represent the expected sources of differential performance in an emulation fund relative to its underlying multimanager portfolio. The model formalises the expected interaction between potential savings and opportunity costs and allows us to observe complexities in the emulation process that are hidden without a benchmark. Finally, the functional representation of the model allows sensitivity analysis of the emulation fund to key parameters and enables us to determine theoretically optimal lag periods.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/36508