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SUMMARY:Cost savings in Mutual Funds
DTSTART:20261124T121500
DTEND:20261124T131500
DTSTAMP:20261109T180219Z
UID:aab79a52c26a7bb20e1064c2e6b331a059b30bf45e251d98fbabd523
CATEGORIES:Conferences - Seminars
DESCRIPTION:Federico Baldi Lanfranchi - Lake Lucerne Institute\nInvestors
  can obtain systematic exposure through mutual funds or tradable factors. 
 Standard performance measures compare after-cost fund returns with before-
 cost factor returns\, omitting the trading costs of the factors. I derive 
 cost-aware benchmarks that trade off replicating a fund’s exposure again
 st the costs of trading the factors. The average mutual fund generates up 
 to $9.81 million in value per year\, of which $7.40 million comes from rec
 ognizing benchmark trading costs. Cost-aware value added reclassifies 21% 
 of overall asset allocation from value-destroying to value-creating.
LOCATION:UNIL\, Extranef\, room 126
STATUS:CONFIRMED
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