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Mutual Fund Performance Evaluation With Active Peer Benchmarks
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Book Synopsis Mutual Fund Performance Evaluation with Active Peer Benchmarks by : David L. Hunter
Download or read book Mutual Fund Performance Evaluation with Active Peer Benchmarks written by David L. Hunter and published by . This book was released on 2013 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a simple approach to account for commonalities in mutual fund strategies that relies solely on information on fund returns and investment objectives. Our approach augments commonly used factor models with an additional benchmark that represents an equal investment in all same-category funds, which we call an quot;Active Peer Benchmark,quot; or APB. We find that APBs substantially reduce the average time-series correlation of residuals between individual funds within a group when added to a four-factor equity model (or to a seven-factor xed-income model). Importantly, adding this APB signifi cantly improves the selection of funds with future outperformance.
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 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 UK Mutual Fund Performance Persistence with Active Peer Benchmarks by : Irina B. Mateus
Download or read book UK Mutual Fund Performance Persistence with Active Peer Benchmarks written by Irina B. Mateus and published by . This book was released on 2017 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess UK mutual fund performance from a perspective of a peer-group, applying a novel approach suggested in Hunter et al. (2014). Our sample comprises of 817 UK long-only active equity mutual funds allocated to nine Morningstar style category peer-groups in the period 1992-2016. Overall, we find that those funds with most significant positive peer-group adjusted alphas continue to perform well one-year-ahead, using both parametric and non-parametric measures of persistence in performance. Further, a small increase in significance of peer-group adjusted alphas significantly improves the probability that a fund will be placed in the top quartile in the following period. Finally, we document that persistence in performance is driven by both winner and loser funds. The results within each peer group by and large conform to these findings.
Book Synopsis Mutual Fund Performance Evaluation by :
Download or read book Mutual Fund Performance Evaluation written by and published by . This book was released on 1985 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Portfolio Performance Measurement and Benchmarking, Chapter 20 - Benchmarks and Knowledge by : Jon A. Christopherson
Download or read book Portfolio Performance Measurement and Benchmarking, Chapter 20 - Benchmarks and Knowledge written by Jon A. Christopherson and published by McGraw Hill Professional. This book was released on 2009-05-15 with total page 19 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 Mutual Fund Performance Evaluation by : Bruce Neal Lehmann
Download or read book Mutual Fund Performance Evaluation written by Bruce Neal Lehmann and published by . This book was released on 1985 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Dynamic Model of Active Portfolio Management and Mutual Fund Performance Evaluation by : Yonggan Zhao
Download or read book A Dynamic Model of Active Portfolio Management and Mutual Fund Performance Evaluation written by Yonggan Zhao and published by . This book was released on 2005 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze an optimal dynamic portfolio and asset allocation policy for investors who are concerned with the performances of their portfolios relative to a benchmark. Assuming that asset returns follow a multi-linear factor model similar to the structure of Ross (1976) and that portfolio managers adopt a mean tracking error analysis similar to Roll (1992), we develop a dynamic model of active portfolio management maximizing risk adjusted excess return over a well-diversified benchmark. Unlike the case of constant proportional portfolios for the standard utility maximization, our optimal portfolio policy is state dependent, namely a function of time to investment horizon, the return on the benchmark portfolio, and the return on the investment portfolio itself. Based on the analysis in this paper, we define a dynamic performance measure which relates portfolio's return to its risk sensitivity. Abnormal returns at each point in time are quantified as the difference between the realized and the model-fitted returns. Risk sensitivity is estimated through a dynamic matching that minimizes the total fitted error of portfolio returns. We study portfolio performances for a sample of U.S. mutual funds with the data from January 2001 to December 2003. To limit biases in the selection of a benchmark for portfolio evaluation, we assume that the benchmark portfolio is the minimum variance portfolio composed of the Dow Jones Industrial Average index and the Nasdaq 100 index components. We find that majority of the mutual funds have substantially under-performed the chosen benchmark. Our model also implies an interesting relationship between performance indices and risk sensitivities. For the three year data, the empirical analysis shows that portfolio performance indices are related to their estimated risk sensitivities in an open-upward quadratic curve.
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.
Book Synopsis Mutual Fund Performance Evaluation by : David M. Modest
Download or read book Mutual Fund Performance Evaluation written by David M. Modest and published by . This book was released on 1987 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Our primary goal in this paper is to ascertain whether the absolute and relative rankings of managed funds are sensitive to the benchmark chosen to measure normal performance. We employ the standard CAPM benchmarks and a variety of APT benchmarks to investigate this question. We found that there is little similarity between the absolute and relative mutual fund rankings obtained from alternative benchmarks which suggests the importance of knowing the appropriate model for risk and expected return in this context. In addition, the rankings are quite sensitive to the method used to construct the APT benchmark. One would reach very different conclusions about the funds' performance using smaller numbers of securities in the analysis or the less efficient methods for estimating the necessary factor models than one would arrive at using the maximum likelihood procedures with 750 securities. We did, however, find the rankings of the funds are not very sensitive to the exact number of common sources of systematic risk that are assumed to impinge on security returns. Finally, we found statistically significant measured abnormal performance using all the benchmarks. The economic explanation of this phenomenon appears to be an open question
Book Synopsis Portfolio Performance Measurement and Benchmarking, Chapter 13 - Market Timing by : Jon A. Christopherson
Download or read book Portfolio Performance Measurement and Benchmarking, Chapter 13 - Market Timing 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 Benchmark Discrepancies and Mutual Fund Performance Evaluation by : Martijn Cremers
Download or read book Benchmark Discrepancies and Mutual Fund Performance Evaluation written by Martijn Cremers and published by . This book was released on 2020 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a new holdings-based procedure to identify whether a mutual fund has a benchmark discrepancy, which we define as a benchmark other than the prospectus benchmark best matching a fund's investment strategy. We find that funds with a benchmark discrepancy tend to be riskier than their prospectus benchmarks indicate. As a result, the funds on average outperform their prospectus benchmarks--before further risk-adjusting--despite underperforming the benchmarks that best match their portfolios.
Download or read book Mutual Funds written by Joan Lamm-Tennant and published by . This book was released on 1995 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Performance Evaluation and Self-Designated Benchmark Indexes in the Mutual Fund Industry by : Berk A. Sensoy
Download or read book Performance Evaluation and Self-Designated Benchmark Indexes in the Mutual Fund Industry written by Berk A. Sensoy and published by . This book was released on 2008 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Almost one-third of actively managed, diversified U.S. equity mutual funds specify a size and value/growth benchmark index in the fund prospectus that does not match the fund's actual style. Nevertheless, these quot;mismatchedquot; benchmarks matter to fund investors. Performance relative to the specified benchmark is a significant determinant of a fund's subsequent cash inflows, even controlling for performance measures that better capture the fund's style. These incremental flows appear unlikely to be rational responses to abnormal returns. The evidence is consistent with the notion that mismatched self-designated benchmarks result from strategic fund behavior driven by the incentive to improve flows.
Book Synopsis Conditional Performance Evaluation for German Mutual Equity Funds by :
Download or read book Conditional Performance Evaluation for German Mutual Equity Funds written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the performance of a sample of German mutual equity funds over the period from 1994 to 2003. Our general finding is that mutual funds, on average, hardly produce excess returns relative to their benchmark that are large enough to cover their expenses. This conclusion is drawn from a variety of model specifications and is robust to many different benchmarks. Compared to unconditional measures, fund performance substantially deteriorates when we measure conditional alphas both in single-index and multi-factor models. We also measure fund performance in the Euler-equation framework and test several specifications of the stochastic discount factor using GMM. The result that funds underperform even before costs is even more pronounced. Overall, given the fact that stock returns are to some extent predictable by using publicly available information, conditional analysis raises the hurdle for active managers seeking abnormal positive performance, because it gives them no credit for exploiting readily available information.
Book Synopsis Strategic and Tactical Asset Allocation by : Henrik Lumholdt
Download or read book Strategic and Tactical Asset Allocation written by Henrik Lumholdt and published by Springer. This book was released on 2018-07-21 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers each step in the asset allocation process, addressing as many of the relevant questions as possible along the way. How can we formulate expectations about long-term returns? How relevant are valuations? What are the challenges to optimizing the portfolio? Can factor investing add value and, if so, how can it be implemented? Which are the key performance drivers for each asset class, and what determines how they are correlated? How can we apply insights about the business cycle to tactical asset allocation? The book is aimed at finance professionals and others looking for a coherent framework for decision-making in asset allocation, both at the strategic and tactical level. It stresses analysis rather than pre-conceived ideas about investments, and it draws on both empirical research and practical experience to give the reader as strong a background as possible.
Book Synopsis Mutual Fund Performance Evaluation Using DEA. by : Ramez T. Chehade
Download or read book Mutual Fund Performance Evaluation Using DEA. written by Ramez T. Chehade and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The multidimensional nature of mutual fund performance makes it a very attractive application area for Data Envelopment Analysis. The strength of this technique lies in the following attribute: its ability to handle multiple inputs and outputs, that it does not require the specification of a functional form for input-output correspondence, and that it gives a single measure of performance which takes into account the multiple dimensions of organizational activity. The goal of this work is to validate the hypothesis that DEA may be used as a tool for creating better investment portfolios while serving as a management efficiency benchmark. Production models based on the DEA methodology, with the aim of capturing the essence of fund performance, were developed to generate efficiency scores for the majority of Canadian mutual funds, in order to classify the funds into portfolios. (Abstract shortened by UMI.).
