Do derivatives improve managed fund performance?

Alex Frino, Dionigi Gerace, Andrew Lepone, Brad Wong

Research output: Contribution to journalArticlepeer-review


Our study highlights the importance of cash equitising fund flows using derivative instruments. It indicates funds that do not cash equitise experience diminishing returns as fund flow increases, while cash equitising funds experience no deterioration in performance due to increased fund flow. Given the size of the Australian funds management industry, these results potentially translate into significant economic savings.
Original languageEnglish
Pages (from-to)5-10
Number of pages6
Issue number3
Publication statusPublished - 2008


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