Conditional Performance Evaluation For German Mutual Equity Funds

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Dynamic Strategy and Performance of German Mutual Fund Managers

Author : Nikola Jelicic
Publisher : Diplomica Verlag
ISBN 13 : 3836696371
Total Pages : 104 pages
Book Rating : 4.8/5 (366 download)

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Book Synopsis Dynamic Strategy and Performance of German Mutual Fund Managers by : Nikola Jelicic

Download or read book Dynamic Strategy and Performance of German Mutual Fund Managers written by Nikola Jelicic and published by Diplomica Verlag. This book was released on 2010 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: Die Messung des Anlageerfolgs von Fondmanagern ist ein sowohl f r Praktiker als auch f r Forscher herausforderndes Thema. Das Ziel beider Gruppen ist nachhaltig erfolgreiche Manager, gute Performer, zu identifizieren. Die meisten Performancema e beruhen auf der Annahme des konstanten Risikos ber die Messungsperiode. Das Risiko wird wiederum als das Beta aus dem Capital Asset Pricing Model erfasst. Als Erweiterung solcher Modelle werden zus tzliche Faktoren, ma geschnittene Benchmarks oder Nichtliniearit ten zwischen Risiken und Renditen erfasst usw. Die Dynamik der Wirtschaft und Kapitalm rkten ist f r die Zwecke der Performancemessung von Ferson und Schaft in ein Modell eingef hrt. Das Beta aus diesem Modell ist auf die Marktbedingungen bedingt und Fondsrenditen werden somit gegen eine dynamische Benchmark gemessen. Diese Studie berichtet aus einem solchen Modell ergebene Performancema e (sog. "Conditional Alphas") f r 1192 deutsche Aktien- und Rentenmanager. Diese werden auch mit CAPM-basierten Alphas auf Persistenz verglichen. Zus tzlich wird die F higkeit des Managers richtig auf die ver ndernden Marktbedingungen zu reagieren aus der Dynamik des Beta extrahiert. Die Marktentwicklung wird durch vier anerkannte Indikatoren abgebildet (kurzfristiger Zins, Dividendenrendite, Laufzeitspread und Bonit tsspread). Die Ergebnisse bef rworten die Nutzung von Modellen mit bedingtem Beta anstelle vom CAPM. Die Existenz einer dynamischen Investmentstrategie wurde anhand der Indikatoren bewiesen. Zum Schluss werden anhand der Erfahrungen aus dieser Studie konkrete Empfehlungen f r die Erforschung von Performance anhand hnlicher Modelle gegeben.

Asset Management and International Capital Markets

Author : Wolfgang Bessler
Publisher : Routledge
ISBN 13 : 1317979788
Total Pages : 414 pages
Book Rating : 4.3/5 (179 download)

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Book Synopsis Asset Management and International Capital Markets by : Wolfgang Bessler

Download or read book Asset Management and International Capital Markets written by Wolfgang Bessler and published by Routledge. This book was released on 2013-08-21 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: This innovative volume comprises a selection of original research articles offering a broad perspective on various dimensions of asset management in an international capital market environment. The topics covered include risk management and asset pricing models for portfolio management, performance evaluation and performance measurement of equity mutual funds as well as the wide range of bond portfolio management issues. Asset Management and International Capital Markets offers interesting new insights into state-of-the-art asset pricing and asset management research with a focus on international issues. Each chapter makes a valuable contribution to current research and literature, and will be of significant importance to the practice of asset management. This book is a compilation of articles originally published in The European Journal of Finance.

Performance of Mutual Funds

Author : G. Gregoriou
Publisher : Springer
ISBN 13 : 0230626491
Total Pages : 279 pages
Book Rating : 4.2/5 (36 download)

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Book Synopsis Performance of Mutual Funds by : G. Gregoriou

Download or read book Performance of Mutual Funds written by G. Gregoriou and published by Springer. This book was released on 2015-12-04 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book responds to a growing demand for mutual funds. This timely collection of original papers focuses on changes of international investment in Europe, the US and New Zealand. Using a fresh approach, innovative techniques and various models this book assesses performance and provides an understanding of mutual funds on an international level.

Mutual Fund Performance and Performance Persistence

Author : Peter Lückoff
Publisher : Springer Science & Business Media
ISBN 13 : 3834965278
Total Pages : 604 pages
Book Rating : 4.8/5 (349 download)

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Book Synopsis Mutual Fund Performance and Performance Persistence by : Peter Lückoff

Download or read book Mutual Fund Performance and Performance Persistence written by Peter Lückoff and published by Springer Science & Business Media. This book was released on 2011-01-22 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt: Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.

Investment Criteria for Mutual Fund Selection

Author : Jan Harkopf
Publisher : Anchor Academic Publishing
ISBN 13 : 3960670761
Total Pages : 93 pages
Book Rating : 4.9/5 (66 download)

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Book Synopsis Investment Criteria for Mutual Fund Selection by : Jan Harkopf

Download or read book Investment Criteria for Mutual Fund Selection written by Jan Harkopf and published by Anchor Academic Publishing. This book was released on 2016-10 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: The importance of mutual funds for individual investors has increased in recent decades. This becomes apparent when looking at the increased share of households owning mutual funds. These mutual fund investors usually want to receive a return which is above or at least close to the mutual fund’s benchmark. Consequently, investors want to invest in those funds which will show these patterns in the future. Some of these mutual funds receive much attention, since they generate extraordinary high performance. But the question that remains is whether it is possible to predict such performance before funds exhibit such outstanding performance. In the past, mutual fund investors focused extensively on performance or performance linked patterns, like the Morningstar star rating, and thus chased past performance. This seems surprising since performance persists only over a short time and is more persistent to weak mutual funds (1 and 2 star rated) than well performing mutual funds. Thus, chasing past performances seems to be a rather inferior strategy. Therefore, investors should try to identify alternative tools showing a high correlation to future mutual fund performance. In this book, mutual funds are analysed, especially open-end mutual funds and actively managed mutual funds. The main focus is on what purpose and usefulness active investments have and whether performance is persistent and what the determinants of mutual fund flows are. Moreover, some alternative measures will be introduced by explaining which attributes or methods should be used and avoided when selecting mutual funds.

Performance Evaluation and Attribution of Security Portfolios

Author : Bernd R. Fischer
Publisher : Academic Press
ISBN 13 : 0080926525
Total Pages : 725 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis Performance Evaluation and Attribution of Security Portfolios by : Bernd R. Fischer

Download or read book Performance Evaluation and Attribution of Security Portfolios written by Bernd R. Fischer and published by Academic Press. This book was released on 2012-12-31 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: Just how successful is that investment? Measuring portfolio performance requires evaluation (measuring portfolio results against benchmarks) and attribution (determining individual results of the portfolio's parts), In this book, a professor and an asset manager show readers how to use theories, applications, and real data to understand these tools. Unlike others, Fischer and Wermers teach readers how to pick the theories and applications that fit their specific needs. With material inspired by the recent financial crisis, Fischer and Wermers bring new clarity to defining investment success. - Gives readers the theories and the empirical tools to handle their own data - Features practice problems formerly from the CFA Program curriculum.

Mutual Funds in India

Author : Rakesh Kumar
Publisher : Partridge Publishing
ISBN 13 : 148287508X
Total Pages : 178 pages
Book Rating : 4.4/5 (828 download)

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Book Synopsis Mutual Funds in India by : Rakesh Kumar

Download or read book Mutual Funds in India written by Rakesh Kumar and published by Partridge Publishing. This book was released on 2016-07-07 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: The services of the asset management companies are getting important for the investors, for assessing markets and investing funds are beyond the capacity of most individuals. Hence, the role of mutual fund firms in India has increased enormously in response to liberal policy regime in the recent decades. This book is an endeavour to study the various facets of the mutual fund industry to understand the complexities therein. The structure, organisation, and competition in the mutual fund industry in India have been discussed in depth. Performance of mutual fund schemes by using conditional and unconditional models has been evaluated, and investors may derive enough inkling towards their future investment plans. After going through this book, the reader is expected to develop confidence while dealing with the instruments of mutual funds.

Mutual Funds and Exchange-traded Funds

Author : Harold Kent Baker
Publisher : Oxford University Press, USA
ISBN 13 : 0190207434
Total Pages : 663 pages
Book Rating : 4.1/5 (92 download)

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Book Synopsis Mutual Funds and Exchange-traded Funds by : Harold Kent Baker

Download or read book Mutual Funds and Exchange-traded Funds written by Harold Kent Baker and published by Oxford University Press, USA. This book was released on 2016 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mutual Funds and Exchange-Traded Funds: Building Blocks to Wealth provides a fresh look at this intriguing but often complex subject. Its coverage spans the gamut from theoretical to practical coverage.

Diversification and Portfolio Management of Mutual Funds

Author : G. Gregoriou
Publisher : Springer
ISBN 13 : 0230626505
Total Pages : 446 pages
Book Rating : 4.2/5 (36 download)

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Book Synopsis Diversification and Portfolio Management of Mutual Funds by : G. Gregoriou

Download or read book Diversification and Portfolio Management of Mutual Funds written by G. Gregoriou and published by Springer. This book was released on 2015-12-17 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses the importance of diversification for reducing volatility of investment portfolios. It shows how to improve investment efficiency, and explains how international diversification reduces overall risk while enhancing performance. This book is a crucial tool for any investor looking to improve the profit gain from their investment.

Positive Impact Investing

Author : Karen Wendt
Publisher : Springer
ISBN 13 : 3319101188
Total Pages : 332 pages
Book Rating : 4.3/5 (191 download)

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Book Synopsis Positive Impact Investing by : Karen Wendt

Download or read book Positive Impact Investing written by Karen Wendt and published by Springer. This book was released on 2018-09-21 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book illustrates the impact that a focus on environmental and social issues has on both de-risking assets and fostering innovation. Including impact as a new cornerstone of the investment triangle requires investors and clients to align interests and values and understand needs. This alignment process functions as a catalyst for transforming organizational culture within an organization and therefore initiates the external impact of the organization, but also its internal transformation, which in turn escalates the creation of impact. Describing how culture is the social glue permeating all disciplines of an organization, the book demonstrates how organizational alignment can be achieved in order to allow strategic speed, innovation and learning, and provides examples of how impact can be achieved and staff mobilized It particularly focuses on impact investing, impact entrepreneurship, innovation, de-risking asset, green investment solutions and investor movements to counteract climate change and implementing the United Nations Sustainable Development Goals, highlighting culture, communication, and strategy.

Contemporary Issues in Bank Financial Management

Author : Simon Grima
Publisher : Emerald Group Publishing
ISBN 13 : 1785609998
Total Pages : 248 pages
Book Rating : 4.7/5 (856 download)

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Book Synopsis Contemporary Issues in Bank Financial Management by : Simon Grima

Download or read book Contemporary Issues in Bank Financial Management written by Simon Grima and published by Emerald Group Publishing. This book was released on 2016-03-09 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This special edition includes studies by the University of Malta, MSc Banking and Finance graduates and the respective lecturers, on financial services within particular countries or regions and studies of themes such as credit risk management, fund management and evaluation, forex hedging using derivatives and sovereign fixed income portfolios.

Hedge Funds

Author : H. Kent Baker
Publisher : Oxford University Press
ISBN 13 : 0190607394
Total Pages : 697 pages
Book Rating : 4.1/5 (96 download)

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Book Synopsis Hedge Funds by : H. Kent Baker

Download or read book Hedge Funds written by H. Kent Baker and published by Oxford University Press. This book was released on 2017-07-26 with total page 697 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hedge Funds: Structure, Strategies, and Performance provides a synthesis of the theoretical and empirical literature on this intriguing, complex, and frequently misunderstood topic. The book dispels some common misconceptions of hedge funds, showing that they are not a monolithic asset class but pursue highly diverse strategies. Furthermore, not all hedge funds are unusually risky, excessively leveraged, invest only in illiquid asses, attempt to profit from short-term market movements, or only benefit hedge fund managers due to their high fees. Among the core issues addressed are how hedge funds are structured and how they work, hedge fund strategies, leading issues in this investment, and the latest trends and developments. The authors examine hedge funds from a range of perspectives, and from the theoretical to the practical. The book explores the background, organization, and economics of hedge funds, as well as their structure. A key part is the diverse investment strategies hedge funds follow, for example some are activists, others focusing on relative value, and all have views on managing risk. The book examines various ways to evaluate hedge fund performance, and enhances understanding of their regulatory environment. The extensive and engaging examination of these issues help the reader understands the important issues and trends facing hedge funds, as well as their future prospects.

Portfolio Performance Evaluation

Author : George O. Aragon
Publisher : Now Publishers Inc
ISBN 13 : 1601980825
Total Pages : 123 pages
Book Rating : 4.6/5 (19 download)

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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.

Risk Analysis and Portfolio Modelling

Author : Elisa Luciano
Publisher : MDPI
ISBN 13 : 3039216244
Total Pages : 224 pages
Book Rating : 4.0/5 (392 download)

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Book Synopsis Risk Analysis and Portfolio Modelling by : Elisa Luciano

Download or read book Risk Analysis and Portfolio Modelling written by Elisa Luciano and published by MDPI. This book was released on 2019-10-16 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

International Convergence of Capital Measurement and Capital Standards

Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)

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Book Synopsis International Convergence of Capital Measurement and Capital Standards by :

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

International Evidence on Ethical Mutual Fund Performance and Investment Style

Author : Rob Bauer
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.X/5 (4 download)

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Book Synopsis International Evidence on Ethical Mutual Fund Performance and Investment Style by : Rob Bauer

Download or read book International Evidence on Ethical Mutual Fund Performance and Investment Style written by Rob Bauer and published by . This book was released on 2002 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Intelligent Optimization Modelling in Energy Forecasting

Author : Wei-Chiang Hong
Publisher : MDPI
ISBN 13 : 3039283642
Total Pages : 262 pages
Book Rating : 4.0/5 (392 download)

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Book Synopsis Intelligent Optimization Modelling in Energy Forecasting by : Wei-Chiang Hong

Download or read book Intelligent Optimization Modelling in Energy Forecasting written by Wei-Chiang Hong and published by MDPI. This book was released on 2020-04-01 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accurate energy forecasting is important to facilitate the decision-making process in order to achieve higher efficiency and reliability in power system operation and security, economic energy use, contingency scheduling, the planning and maintenance of energy supply systems, and so on. In recent decades, many energy forecasting models have been continuously proposed to improve forecasting accuracy, including traditional statistical models (e.g., ARIMA, SARIMA, ARMAX, multi-variate regression, exponential smoothing models, Kalman filtering, Bayesian estimation models, etc.) and artificial intelligence models (e.g., artificial neural networks (ANNs), knowledge-based expert systems, evolutionary computation models, support vector regression, etc.). Recently, due to the great development of optimization modeling methods (e.g., quadratic programming method, differential empirical mode method, evolutionary algorithms, meta-heuristic algorithms, etc.) and intelligent computing mechanisms (e.g., quantum computing, chaotic mapping, cloud mapping, seasonal mechanism, etc.), many novel hybrid models or models combined with the above-mentioned intelligent-optimization-based models have also been proposed to achieve satisfactory forecasting accuracy levels. It is important to explore the tendency and development of intelligent-optimization-based modeling methodologies and to enrich their practical performances, particularly for marine renewable energy forecasting.