Valuing Investment Management Fees, Active Portfolio Management, and Closed-End Fund Discounts

37 Pages Posted: 27 Feb 2016 Last revised: 25 Apr 2016

See all articles by Robert Ferguson

Robert Ferguson

AnswersToGo

Dean Leistikow

Fordham University - Finance Area

Date Written: December 10, 2000

Abstract

Risk-neutral valuation is used to value a portfolio and decompose it into the components accruing to its stakeholders. The analysis incorporates managers’ expected performance and contract renewal issues. A managed portfolio’s economic value is shown to differ from its net asset value. A better foundation for computing fair closed-end fund discounts and a partial explanation of equilibrium in the markets for open and closed-end mutual funds are provided. Tests on the behavior of net redemptions following closed-end fund open-endings and the relation between premiums and investment performance around IPOs strongly support the paper’s theory.

Keywords: Risk-Neutral Valuation, Investment Management Fees, Active Management, Closed-End Fund Discounts

JEL Classification: G10, G11, G13, G12, G14

Suggested Citation

Ferguson, Robert and Leistikow, Dean, Valuing Investment Management Fees, Active Portfolio Management, and Closed-End Fund Discounts (December 10, 2000). Fordham University Schools of Business Research Paper No. 2738100. Available at SSRN: https://ssrn.com/abstract=2738100 or http://dx.doi.org/10.2139/ssrn.2738100

Robert Ferguson (Contact Author)

AnswersToGo ( email )

6815 Edgewater Drve
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7868974573 (Phone)

Dean Leistikow

Fordham University - Finance Area ( email )

33 West 60th Street
New York, NY 10023
United States

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