Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Performance Evaluation Of Mutual Funds
Download Performance Evaluation Of Mutual Funds full books in PDF, epub, and Kindle. Read online Performance Evaluation Of Mutual Funds ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
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.
Download or read book Mutual Funds written by John Haslem and published by John Wiley & Sons. This book was released on 2009-02-09 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt: This authoritative book enables readers to evaluate the variousperformance and risk attributes of mutual funds, while also servingas a comprehensive resource for students, academics, and generalinvestors alike. Avoiding the less useful descriptive approach tofund selection, this book employs a balanced approach includingboth technique and application. The chapters combine clearsummaries of existing research with practical guidelines for mutualfund analysis. Enables readers to analyze mutual funds by evaluating a fund'svarious performance and risk attributes. Includes templates, which provide an efficient, sound approachto fund analysis, interpretation of results, buy/sell decisions,and the timing of decisions. Combines clear summaries of existing research with practicalguidelines for mutual fund analysis.
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 China's Reality and Global Vision by : Siwei Cheng
Download or read book China's Reality and Global Vision written by Siwei Cheng and published by World Scientific. This book was released on 2012 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: This unique book presents the contemporary achievements in management research and managerial practice of Chinese enterprises. Featuring a collection of keynote and plenary speeches by well-known international scholars and CEOs of multinational and national corporations, this book puts forth their solutions to management challenges from both China''s reality and global concerns. Comprehensively discussed and examined, the various topics being broached are strategic management; organizational behaviors; accounting and finance; management science; information and technology management; as well as innovations. This book not only highlights the cutting-edge findings of management research in China but is also a reflection of the changes of management theory and applications in the face of China''s economic reform and open-door policy; hence making it a useful resource for readers interested in China''s management and economic development.
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.).
Author :Constantin Zopounidis Publisher :Springer Science & Business Media ISBN 13 :3642574785 Total Pages :309 pages Book Rating :4.6/5 (425 download)
Book Synopsis New Trends in Banking Management by : Constantin Zopounidis
Download or read book New Trends in Banking Management written by Constantin Zopounidis and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the last decades the globalization, the intensified competition and the rapid changes in the socio-economic and technological environment had a major impact on the global economic, financial and business environments. Within this environment, it is clear that banking institutions worldwide face new challenges and increasing risks, as well as increasing business potentials. The recent experience shows that achieving a sustainable development of the banking system is not only of interest to the banking institutions themselves, but it is also directly related to the development of the whole business and economic environment, both at regional and international level. The variety of new banking products that is constantly being developed to accommodate the increased customer needs (firms, organizations, individuals, etc.) provides a clear indication of the changes that the banking industry has undergone during the last two decades. The establishment of new products of innovative processes and instruments for their requires the implementation efficient management. The implementation of such processes and instruments is closely related to a variety of disciplines, advanced quantitative analysis for risk management, information technology, quality management, etc. The implementation ofthese approaches in banking management is in accordance with the finding that empirical procedures are no longer adequate to address the increasing complexity of the banking industry.
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 of Mutual Funds Via Single Valued Neutrosophic Set (SVNS) Perspective: A Case Study in Turkey by : Serpil Altınırmak
Download or read book Performance Evaluation of Mutual Funds Via Single Valued Neutrosophic Set (SVNS) Perspective: A Case Study in Turkey written by Serpil Altınırmak and published by Infinite Study. This book was released on with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this study was to use the Single-Valued Neutrosophic Set (SVNS) to analyze 58 mutual funds, traded at the Istanbul Stock Exchange, under incomplete, indeterminate and inconsistent information. To this end, the performance of the funds was first evaluated using the most commonly preferred criteria like the Morningstar rating, Sharpe ratio, Treynor ratio, and Jensen ratio. Following these criteria, SVNS based entropy was used to rank the funds. The results of the entropy weights revealed Morningstar rating to be the most important evaluation criterion followed by Treynor, Sharpe and Jensen ratios respectively. Yapı Kredi Asset Management Foreign Technology Sector Equity Fund was found to be the most successful fund, while İş Asset Management BIST Technology Capped Index Share Fund (Equity Intensive) Fund was the least successful fund.
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 Investment Performance Measurement by : Philip Lawton, CIPM
Download or read book Investment Performance Measurement written by Philip Lawton, CIPM and published by John Wiley & Sons. This book was released on 2009-05-18 with total page 984 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment Performance Measurement Over the past two decades, the importance of measuring, presenting, and evaluating investment performance results has dramatically increased. With the growth of capital market data services, the development of quantitative analytical techniques, and the widespread acceptance of Global Investment Performance Standards (GIPS®), this discipline has emerged as a central component of effective asset management and, thanks in part to the Certificate in Investment Performance Measurement (CIPM) program, has become a recognized area of specialization for investment professionals. That's why Investment Performance Measurement: Evaluating and Presenting Results the second essential title in the CFA Institute Investment Perspectives series has been created. CFA Institute has a long tradition of publishing content from industry thought leaders, and now this new collection offers unparalleled guidance to those working in the rapidly evolving field of investment management. Drawing from the Research Foundation of CFA Institute, the Financial Analysts Journal, CFA Institute Conference Proceedings Quarterly, CFA Magazine, and the CIPM curriculum, this reliable resource taps into the vast store of knowledge of some of today's most prominent thought leaders from industry professionals to respected academics who have focused on investment performance evaluation for a majority of their careers. Divided into five comprehensive parts, this timely volume opens with an extensive overview of performance measurement, attribution, and appraisal. Here, you'll become familiar with everything from the algebra of time-weighted and money-weighted rates of return to the objectives and techniques of performance appraisal. After this informative introduction, Investment Performance Measurement moves on to: Provide a solid understanding of the theoretical grounds for benchmarking and the trade-offs encountered during practice in Part II: Performance Measurement Describe the different aspects of attribution analysis as well as the determinants of portfolio performance in Part III: Performance Attribution Address everything from hedge fund risks and returns to fund management changes and equity style shifts in Part IV: Performance Appraisal Recount the history and explain the provisions of the GIPS standards with attention paid to the many practical issues that arise in the course of its implementation in Part V: Global Investment Performance Standards Filled with invaluable insights from more than fifty experienced contributors, this practical guide will enhance your understanding of investment performance measurement and put you in a better position to present and evaluate results in the most effective way possible.
Book Synopsis Investment Management by : Martina R. Noronha
Download or read book Investment Management written by Martina R. Noronha and published by . This book was released on 2008-01-01 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis How Useful Is the Information Ratio to Evaluate the Performance of Portfolio Managers? by : Christoph Schneider
Download or read book How Useful Is the Information Ratio to Evaluate the Performance of Portfolio Managers? written by Christoph Schneider and published by Diplomica Verlag. This book was released on 2010 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: The idea of comparing the performance of different risky investments, for example investment funds, on a quantitative basis dates back to the beginnings of the asset management industry and has been an important field of research in finance since then. Performance measures serve as valuable quantitative evidence for the portfolio manager's performance as well as for the evaluation of investment decisions ex post. Based on the idea of the capital asset pricing model proposed by Treynor, Sharpe and Lintner, Treynor developed the first quantitative performance measure intended to rate mutual funds, the Treynor Ratio. Since then, a large number of performance measures with very different characteristics have been developed. In addition to their power of rating investments ex post, their ability to predict future performance has been thoroughly analyzed by Grinblatt & Titman, Brown & Goetzmann, Carhart and others. Besides academia, the driving force behind the development of more sophisticated performance measures has always been the investors. This is understandable, as "the truly poor managers are afraid, the unlucky managers will be unjustly condemned, and the new managers have no track record. Only the skilled (or lucky) managers are enthusiastic." By combining and applying the results of previous research to a new sample of nearly 10,000 mutual funds that invest in different countries and asset classes, this thesis clarifies its central research question: Is the Information Ratio a useful and reliable performance measure? In order to answer this central question, it has been split up into the following sub-parts: What are the characteristics of a useful and reliable performance measure? What actually is "good" performance? Is the "good" performance a result of luck or of skilled decisions and does it persist over time? How does the Information Ratio compare to other performance measures, and what are its strengths and weaknesses? This empirical study aims at answeri
Book Synopsis Performance Evaluation of Indian Mutual Funds by : Narayan Rao Sapar
Download or read book Performance Evaluation of Indian Mutual Funds written by Narayan Rao Sapar and published by . This book was released on 2003 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper the performance evaluation of Indian mutual funds in a bear market is carried out through relative performance index, risk-return analysis, Treynor's ratio, Sharp's ratio, Sharp's measure, Jensen's measure, and Fama's measure. The data used is monthly closing NAVs. The source of data is website of Association of Mutual Funds in India (AMFI). Study period is September 98-April 02 (bear period). We started with a sample of 269 open ended schemes (out of total schemes of 433) for computing relative performance index. Then after excluding the funds whose returns are less than risk-free returns, 58 schemes were used for further analysis. Mean monthly (logarithmic) return and risk of the sample mutual fund schemes during the period were 0.59% and 7.10%, respectively, compared to similar statistics of 0.14% and 8.57% for market portfolio. The results of performance measures suggest that most of the mutual fund schemes in the sample of 58 were able to satisfy investor's expectations by giving excess returns over expected returns based on both premium for systematic risk and total risk.
Book Synopsis Stocks, Bonds, Bills, and Inflation by : Roger G. Ibbotson
Download or read book Stocks, Bonds, Bills, and Inflation written by Roger G. Ibbotson and published by . This book was released on 1989 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mutual Funds written by Roger C. Bird and published by . This book was released on 2002-07 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Mutual Fund Performance Evaluation with Clientele Effects by : Manel Kammoun
Download or read book Essays on Mutual Fund Performance Evaluation with Clientele Effects written by Manel Kammoun and published by . This book was released on 2015 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis studies the performance evaluation of mutual funds from the point of view of their most favorable clienteles. It contains three essays in which we develop and adapt a performance measurement approach that accounts for investor disagreement and clientele effects to answer three research questions. In the first essay, we investigate investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. The measure is an upper performance bound in an incomplete market under the law-of-one-price condition and a no-good-deal condition that rules out investment opportunities with unreasonably high Sharpe ratios. We find that considering investor disagreement and focusing on the best potential clienteles lead to a generally positive performance for mutual funds. The total disagreement measured by the difference between upper and lower performance bounds is economically and statistically significant. In the second essay, we diagnose the validity of standard performance measures by comparing their alphas with the alpha from a performance measure that evaluates mutual funds from the point of view of their most favorable investors. The results show that unconditional linear factor models, their conditional versions and the law-of-one price measure give severe but admissible evaluations of fund performance. Consumption-based models suffer from an inadmissibility problem. The manipulation proof performance measure generates alphas that are sensitive to the choice of risk aversion parameter. In the third essay, we propose a clientele-specific performance evaluation based on the style preferences of mutual fund investors. Considering performance disagreement and better exploiting style classification data, we investigate eight measures to represent clienteles with favorable preferences for size and value equity styles. We find that funds assigned to size and value styles have neutral to positive average alphas when evaluated with their appropriate clientele-specific measure. The performance of the other funds is sensitive to the clienteles. Our findings support a significant role for style clienteles in performance evaluation.
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.
