Regulators may have chosen a less-than-perfect mechanism for allocating transaction costs to redeeming investors in a fund, according to Carlo Acerbi, head of risk management research at MSCI.
The ‘swing-pricing’ rule adopted by the US Securities and Exchange Commission in October 2016 allows asset managers to adjust the net asset value (NAV) of mutual funds to reflect the cost of liquidating holdings to meet redemptions requests. The practice, which is common among European Ucits funds, is
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