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Benchmark Discrepancies And Mutual Fund Performance Evaluation
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Download or read book Fiduciary Finance written by Martin Gold and published by Edward Elgar Publishing. This book was released on 2011 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: This multi-faceted analysis of institutional investment defines fiduciary finance institutions as the third pillar of the financial system, alongside banks and insurers. It documents the role played by investment funds and the money management industry during the recent financial crisis, and provides an unashamedly critical review of the business disciplines which can dominate investment practices. It clarifies the economic significance of the investment industry (circa $60 trillion in assets) and the features which differentiate fiduciary finance from traditional financial institutions such as banks and insurers. Martin Gold reviews the intellectual foundations of the investment discipline and synthesizes the literature into the principal scientific paradigms . He explores the legal frameworks (prudential investment standards) that govern mainstream portfolio management practices which, combined with the commercial imperatives of the investment industry, can create marked differences from textbook depictions of investment management. Recent events have again called into question the worth of the now ubiquitous collective investments such as pension funds and mutual funds, and the integrity of the financial markets. Given the trillions of government funds which have been committed to financial bailouts, and the volatility experienced by investors, the author asserts that a critical analysis of fiduciary finance must question whether better outcomes can be achieved. Tellingly, most fiduciary finance institutions remain outside the perimeter of macro-prudential regulations. This challenging and multidisciplinary work promises to provide a fascinating read for academics focusing on economics and finance, money and banking, as well as for investment and financial services practitioners, policymakers and market regulators.
Book Synopsis Performance Evaluation of Hedge Funds by : Greg N. Gregoriou
Download or read book Performance Evaluation of Hedge Funds written by Greg N. Gregoriou and published by Beard Books. This book was released on 2003 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains incisive articles dealing with quantitative and qualitative analyses of hedge funds.
Book Synopsis Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation by : Jon A. Christopherson
Download or read book Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Book Synopsis The Handbook of Equity Style Management by : T. Daniel Coggin
Download or read book The Handbook of Equity Style Management written by T. Daniel Coggin and published by John Wiley & Sons. This book was released on 2003-04-07 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: A fully updated guide to equity style management Pioneered by Nobel laureate William Sharpe, equity style management is derived from a correlation analysis of various equity style categories, such as value, growth, small cap, large cap and foreign stocks. In the Third Edition of The Handbook of Equity Style Management, twenty contributors from industry and academia help readers understand various equity style management issues, including equity style indices, different approaches to equity style measurement, foreign stock investing, tactical style management, behavioral aspects of equity style, and equity style benchmarks for manager selection and performance attribution. This updated edition gives readers the rationale behind equity style management, and shows how new strategies can be used to manage risk and improve returns.
Book Synopsis Portfolio Performance Evaluation by : George O. Aragon
Download or read book Portfolio Performance Evaluation written by George O. Aragon and published by Now Publishers Inc. This book was released on 2008 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.
Book Synopsis Stock Market Anomalies by : Elroy Dimson
Download or read book Stock Market Anomalies written by Elroy Dimson and published by CUP Archive. This book was released on 1988-03-17 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Handbook of Equity Market Anomalies by : Leonard Zacks
Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Book Synopsis Understanding Financial Risk Tolerance by : Caterina Cruciani
Download or read book Understanding Financial Risk Tolerance written by Caterina Cruciani and published by Springer Nature. This book was released on 2022-09-27 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book revolves around the concept of financial risk tolerance and its role in financial markets. Bridging different literatures and reviewing in detail the impact of European regulation on the evolution of risk tolerance assessment, this book discusses the intersection of scholarly research, practitioner experience and current and likely normative developments. In particular, the book focuses on the evolution of the debate on the suitability questionnaire – a key tool introduced with the Markets in Financial Instruments Directive (MiFID) and further developed with MiFID’s successor - comparing it with empirical evidence on financial risk tolerance determinants, spanning from sociodemographic to behavioral components and life events. The book also looks at the future evolution of the normative framework post MiFID2 addressing in detail two key trends that are already affecting the way in which risk tolerance is dealt with in European financial markets – sustainable development and fintech and roboadvisory. The book includes an original survey run with financial market experts to assess the perceptions regarding these two trends and includes commentaries by a professional financial advisor on the key topics discussed.
Download or read book Hedge Funds written by Vikas Agarwal and published by Now Publishers Inc. This book was released on 2005 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge Funds summarizes the academic research on hedge funds and commodity trading advisors. The hedge fund industry has grown tremendously over the recent years. According to some industry estimates, hedge funds have increased from $39 million in 1990 to about $972 million in 2004 and the total number of hedge funds has gone up from 610 to 7,436 over the same period. At the same time, hedge fund strategies have changed significantly. In 1990 the macro strategy dominated the industry while in 2004 the equity hedge strategy had the largest share of the market. There has also been a shift in the type of investor in hedge funds. In the early 1990's the typical investor was a high net-worth individual investor, today the typical investor is an institutional investor. Thus, the hedge fund market has not only grown tremendously, but the nature of the market has changed. Despite the enormous growth of this industry, there is limited information available on hedge funds. As a result, there is a need for rigorous research from both the investors' and regulators' point of view. Investors need research to better understand their investment and their risk exposure. This research also helps investors recognize the extent of diversification benefits hedge funds offer in combination with investments in traditional asset classes, such as stocks and bonds. Regulators can use this research to identify situations where regulation may be needed to protect investors' interests and to understand the impact hedge funds trading strategies have on the stability of the financial markets. The first part of Hedge Funds summarizes hedge fund performance, including comparisons of risk-return characteristics of hedge funds with those of mutual funds, factors driving hedge fund returns, and persistence in hedge fund performance. The second part reviews research regarding the unique contractual features and characteristics of hedge funds and their influence on the risk-return tradeoffs. The third part reviews the role of hedge funds in a portfolio including the extent of diversification benefits and limitations of standard mean-variance framework for asset allocation. Finally, the authors summarize the research on the biases in hedge fund databases.
Book Synopsis Handbook of the Economics of Finance by : G. Constantinides
Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton.
Book Synopsis Organizational Learning from Performance Feedback: A Behavioral Perspective on Multiple Goals by : Pino G. Audia
Download or read book Organizational Learning from Performance Feedback: A Behavioral Perspective on Multiple Goals written by Pino G. Audia and published by Cambridge University Press. This book was released on 2021-02-18 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Element synthesizes the current state of research on organizational learning from performance feedback and develops a new perspective that deals with the influence of multiple goals. In keeping with the centrality of motives in Cyert & March's influential model, this new perspective rests on a foundation of individual level behaviors that are responsive to mechanisms at the organizational and environmental level of analysis. A key aim is to lay out an agenda for a new wave of empirical research on the interconnections of decision-makers, organizations, and the environment that influence organizational responses to performance.
Book Synopsis Hedge Fund Analysis by : Frank J. Travers
Download or read book Hedge Fund Analysis written by Frank J. Travers and published by John Wiley & Sons. This book was released on 2012-08-14 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: A detailed, step-by-step book covering the entire hedge fund evaluation process Investing in hedge funds is different from investing in other asset classes. There is much less publicly available information about hedge funds performance than there is about mutual funds or individual stocks. Consequently, investing in this class requires more sophisticated investment knowledge, greater due diligence, and, in many cases, a better-developed ability to evaluate investment managers. Hedge Fund Analysis provides a broad framework of how to approach this endeavor, from initial screening to analytical techniques, interviewing skills, and legal and contract negotiations. Along the way, it demonstrates a variety of mechanisms for monitoring and tracking hedge funds and the underlying hedge fund portfolios—explaining each stage of the process in minute detail and providing specific examples which fully explain the opportunities and challenges you'll face each step of the way. Provides a detailed look at how to source hedge funds, screen through them, and rank their strengths and weaknesses Lays out a thorough process for evaluating funds, from initial interviews to performance analysis to onsite meetings Reveals what questions to ask by strategy in order to understand the underlying risk factors associated with each Highlights non-investment analysis, including operational due diligence and risk management, as integral elements in the process Written by a financial professional with over twenty years of experience conducting investment manager due diligence, this book will put you in a position to make more informed decisions when investing in hedge funds.
Download or read book The Fund Industry written by Robert Pozen and published by John Wiley & Sons. This book was released on 2015-02-02 with total page 549 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to how your money is managed, with foreword by Nobel laureate Robert Shiller The Fund Industry offers a comprehensive look at mutual funds and the investment management industry, for fund investors, those working in the fund industry, service providers to the industry and students of financial institutions or capital markets. Industry experts Robert Pozen and Theresa Hamacher take readers on a tour of the business of asset management. Readers will learn how to research a fund and assess whether it's right for them; then they'll go behind the scenes to see how funds are invested, sold and regulated. This updated edition expands coverage of the segments of the industry where growth is hottest, including hedge funds, liquid alternatives, ETFs and target date funds—and adds an introduction to derivatives. Mutual funds are a key component of financial planning for 96 million Americans. Nearly a quarter of U.S. household savings are invested in funds, which give individual investors affordable access to professional management. This book provides a detailed look at how firms in the industry: Invest those savings in stocks and bonds Evaluate the risks and returns of funds Distribute funds directly to consumers or through financial advisors or retirement plans Handle the complex operational and regulatory requirements of mutual funds Vote proxies at the annual meetings of public companies Expand their operations across borders Along the way, the authors describe the latest trends and discuss the biggest controversies—all in straightforward and engaging prose. The Fund Industry is the essential guide to navigating the mutual fund industry.
Download or read book Morningstar Mutual Fund 500 written by and published by . This book was released on 1993 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book F&S Index United States Annual written by and published by . This book was released on 1999 with total page 2010 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Efficiently Inefficient by : Lasse Heje Pedersen
Download or read book Efficiently Inefficient written by Lasse Heje Pedersen and published by Princeton University Press. This book was released on 2019-09-17 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: Efficiently Inefficient describes the key trading strategies used by hedge funds and demystifies the secret world of active investing. Leading financial economist Lasse Heje Pedersen combines the latest research with real-world examples and interviews with top hedge fund managers to show how certain trading strategies make money - and why they sometimes don't. -- from back cover.
Book Synopsis Coordinated Portfolio Investment Survey Guide (second edition) by : International Monetary Fund
Download or read book Coordinated Portfolio Investment Survey Guide (second edition) written by International Monetary Fund and published by International Monetary Fund. This book was released on 2002-05-10 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews the coordinated portfolio investment survey (CPIS) guide. The objectives of CPIS are to collect comprehensive information, with geographical detail on the country of residence of the issuer, on the stock of cross-border equities, long-term bonds and notes, and short-term debt instruments for use in the compilation or improvement of international investment position statistics on portfolio investment capital. This paper discusses the scope and modalities of the CPIS. It also presents key findings of the 1997 CPIS and 2001 CPIS.
