William T. Hughes, David C. Ling, Sugata Ray, Luqi Xu
{"title":"具有非流动性基础资产的流动性基金的价格可预测性","authors":"William T. Hughes, David C. Ling, Sugata Ray, Luqi Xu","doi":"10.1111/1540-6229.12460","DOIUrl":null,"url":null,"abstract":"Abstract Daily‐priced real estate (DPRE) funds are designed to provide investors with daily liquidity while investing in illiquid private assets. DPRE fund returns are predictable, allowing for a trading strategy based on predicted returns to generate trading profits of 60–132 bps a year. Funds with higher predicted returns have higher investor flows, but the flow‐to‐future predicted performance relationship is no stronger for DPRE funds with higher return predictability than those with lower return predictability. This appears to be the result of trading constraints on highly predictable institutional DPRE funds. Even modest trading restrictions on monthly redemptions render profits from trading strategies based on return predictability economically insignificant.","PeriodicalId":2,"journal":{"name":"ACS Applied Bio Materials","volume":"80 1","pages":"0"},"PeriodicalIF":4.6000,"publicationDate":"2023-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Price predictability in liquid funds with illiquid underlying assets\",\"authors\":\"William T. Hughes, David C. Ling, Sugata Ray, Luqi Xu\",\"doi\":\"10.1111/1540-6229.12460\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract Daily‐priced real estate (DPRE) funds are designed to provide investors with daily liquidity while investing in illiquid private assets. DPRE fund returns are predictable, allowing for a trading strategy based on predicted returns to generate trading profits of 60–132 bps a year. Funds with higher predicted returns have higher investor flows, but the flow‐to‐future predicted performance relationship is no stronger for DPRE funds with higher return predictability than those with lower return predictability. This appears to be the result of trading constraints on highly predictable institutional DPRE funds. Even modest trading restrictions on monthly redemptions render profits from trading strategies based on return predictability economically insignificant.\",\"PeriodicalId\":2,\"journal\":{\"name\":\"ACS Applied Bio Materials\",\"volume\":\"80 1\",\"pages\":\"0\"},\"PeriodicalIF\":4.6000,\"publicationDate\":\"2023-10-03\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ACS Applied Bio Materials\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1111/1540-6229.12460\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"MATERIALS SCIENCE, BIOMATERIALS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ACS Applied Bio Materials","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/1540-6229.12460","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"MATERIALS SCIENCE, BIOMATERIALS","Score":null,"Total":0}
Price predictability in liquid funds with illiquid underlying assets
Abstract Daily‐priced real estate (DPRE) funds are designed to provide investors with daily liquidity while investing in illiquid private assets. DPRE fund returns are predictable, allowing for a trading strategy based on predicted returns to generate trading profits of 60–132 bps a year. Funds with higher predicted returns have higher investor flows, but the flow‐to‐future predicted performance relationship is no stronger for DPRE funds with higher return predictability than those with lower return predictability. This appears to be the result of trading constraints on highly predictable institutional DPRE funds. Even modest trading restrictions on monthly redemptions render profits from trading strategies based on return predictability economically insignificant.
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