| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17042 |
| DP17042 Strategic Asset Allocation under Peer Group Benchmarks | |
| Herve Roche; Nicolas Sahuguet | |
| 发表日期 | 2022-02-17 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | In the managed fund industry, compensation is performance-based and is evaluated with respect to a benchmark. The benchmarks can be an exogenous absolute index or the performance of comparable funds. We analyze the impact of a convex compensation scheme based on peer-group benchmarks. We develop a model of tournament between risk- averse fund managers who receive a fee proportionally to the return differential between their fund and the benchmark, provided that they beat the benchmark. We find that a more competitive benchmark leads to more risk-taking and more differentiated investment strategies. A more competitive (larger) industry provides similar incentives. |
| 主题 | Organizational Economics |
| 关键词 | Strategic portfolio allocation Incentive fees Managed fund industry Tournaments Peer-comparison benchmarks |
| URL | https://cepr.org/publications/dp17042 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545999 |
| 推荐引用方式 GB/T 7714 | Herve Roche,Nicolas Sahuguet. DP17042 Strategic Asset Allocation under Peer Group Benchmarks. 2022. |
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