Article (Scientific journals)
Timing inconsistencies in the calculation of Funds of funds Net Asset Value
TERRAZA, Virginie; Neuberg, Luc; Louargant, Christine
2006In Fundexpert, p. 0-5
 

Files


Full Text
FoF Neuberg - Terraza - Louargant_version1.pdf
Author postprint (447.81 kB)
Request a copy

All documents in ORBilu are protected by a user license.

Send to



Details



Keywords :
Funds of Funds; NAV calculation; Tacking Error
Abstract :
[en] The purpose of this paper is to analyze the impact upon tracking errors of timing inconsistencies in the calculation of Funds of Funds (FoF) Net Asset Value (NAV). When the NAV of a FoF is calculated, the NAVs of underlying funds are not always available at the same market date. This can be due to the time of publication of the underlying funds NAVs and also due to the fact that the funds relate to different markets with different closing times. The NAV of the FoF are therefore calculated using diverse market days. Benchmarks of FoF are usually composed of indices. The level of these benchmarks are calculated using underlying prices at the same market day. If we compare the return series of a FoF with the return series of its benchmark, a problem occurs due to the timing inconsistencies in the calculation. We examine how these timing inconsistencies produce noise in the NAV of FoF and therefore noise in the tracking error. We construct Funds of Funds and calculate NAVs of these FoF using underlying NAVs at different dates. We then compare series of tracking errors to analyze the impact of the timing inconsistencies and formalize a relation including a systematic error term generated by these timing inconsistencies.
Disciplines :
Finance
Identifiers :
UNILU:UL-ARTICLE-2009-179
Author, co-author :
TERRAZA, Virginie ;  University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA)
Neuberg, Luc
Louargant, Christine
Language :
English
Title :
Timing inconsistencies in the calculation of Funds of funds Net Asset Value
Publication date :
2006
Journal title :
Fundexpert
Publisher :
Fortis Bank
Pages :
0-5
Available on ORBilu :
since 27 November 2013

Statistics


Number of views
118 (3 by Unilu)
Number of downloads
4 (0 by Unilu)

Bibliography


Similar publications



Contact ORBilu