Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Uk Mutual Fund Performance Persistence With Active Peer Benchmarks
Download Uk Mutual Fund Performance Persistence With Active Peer Benchmarks full books in PDF, epub, and Kindle. Read online Uk Mutual Fund Performance Persistence With Active Peer Benchmarks ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
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 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 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 2011-01-13 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.
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 How Active is Your Fund Manager? A New Measure That Predicts Performance by : Martijn Cremers
Download or read book How Active is Your Fund Manager? A New Measure That Predicts Performance written by Martijn Cremers and published by . This book was released on 2019 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce a new measure of active portfolio management, Active Share, which represents the share of portfolio holdings that differ from the benchmark index holdings. We compute Active Share for domestic equity mutual funds from 1980 to 2003. We relate Active Share to fund characteristics such as size, expenses, and turnover in the cross-section, and we also examine its evolution over time. Active Share predicts fund performance: funds with the highest Active Share significantly outperform their benchmarks, both before and after expenses, and they exhibit strong performance persistence. Non-index funds with the lowest Active Share underperform their benchmarks.
Book Synopsis Explaining Persistence in Mutual Fund Performance by : F. Detzel
Download or read book Explaining Persistence in Mutual Fund Performance written by F. Detzel and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the determinants of persistence in mutual fund performance. Previous research that uses factor-mimicking portfolios and characteristic benchmarks to model fund performance fails to explain all the persistence in fund returns. This study employs a model that directly relates mutual fund returns to the characteristics of the stocks held by funds. Adjusting fund returns for the size of the stocks in which funds invest and financial ratios intended to capture fund manager investment styles explains all the persistence in mutual fund returns from 1976-1985, the period in which persistence is most prevalent.
Book Synopsis Mutual Fund Performance Persistence and Competition by : Aneel Keswani
Download or read book Mutual Fund Performance Persistence and Competition written by Aneel Keswani and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Existing work on mutual fund performance persistence obtains diverse results, depending on the group of funds studied. We examine whether performance persistence within a peer group of competing mutual funds depends on the group's composition. The UK mutual fund industry is ideal for such an examination because funds compete within strictly defined sectors. We consider several attributes related to the intensity of competition within a sector and use them to explain sector-level persistence. We find robust evidence that persistence is higher in sectors where concentration of assets under management is higher.
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 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 by : Dirk Nitzsche
Download or read book Mutual Fund Performance written by Dirk Nitzsche and published by . This book was released on 2007 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate the academic research on mutual fund performance in the US and UK concentrating particularly on the literature published over the last 20 years where innovation and data advances have been most marked. The evidence suggests that ex-post, there are around 2-5% of top performing UK and US equity mutual funds which genuinely outperform their benchmarks whereas around 20-40% of funds have genuinely poor. Key drivers of relative performance are, load fees, expenses and turnover. There is little evidence of successful market timing. Evidence on picking winners suggests past winner funds persist, particularly when rebalancing is frequent (i.e., less than one year) - but transactions costs and fund fees imply that economic gains to investors from actively switching into winner funds may be marginal. However, recent research using more sophisticated sorting rules (e.g., Bayesian approaches) indicate possible large gains from picking winners, when rebalancing monthly. The evidence also clearly supports the view that past loser funds remain losers. Broadly speaking results for bond mutual funds are similar to those for equity mutual funds but hedge funds show better ex-post and ex-ante risk adjusted performance than do mutual funds. Sensible advice for most investors would be to hold low cost index funds and avoid holding past quot;activequot; loser funds. Only very sophisticated investors should pursue an active investment strategy of trying to pick winners - and then with much caution.
Book Synopsis Benchmarking UK Mutual Fund Performance by : Andrew Clare
Download or read book Benchmarking UK Mutual Fund Performance written by Andrew Clare and published by . This book was released on 2015 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: We formally test the age-old question of whether professionally managed equity funds outperform portfolios of stocks selected at random, also known as 'dartboard' or 'monkey' portfolios. We examine the case of UK equity mutual funds between 1980 and 2011. We employ alpha and the t-statistic of alpha as performance measures from CAPM, Fama-French and Carhart factor models. We find that around 5% to 25% of funds across alternative performance measures and models yield abnormal returns beyond that which can be explained by random chance or luck in performance. The t-statistic of alpha indicates a slightly higher percentage of skilful funds compared to alpha, most likely for statistical reasons around short-lived funds. The degree of skilful performance among managed funds is higher when evaluated by a single factor CAPM or Fama and French three factor alpha but a Carhart four factor model explains much of this performance.
Book Synopsis Performance Measurement in Finance by : John Knight
Download or read book Performance Measurement in Finance written by John Knight and published by Elsevier. This book was released on 2002-07-10 with total page 397 pages. Available in PDF, EPUB and Kindle. Book excerpt: The distinction between out-performance of an Investment fund or plan manager vs rewards for taking risks is at the heart of all discussions on Investment fund performance measurement of fund managers. This issue is not always well-understood and the notion of risk adjusting performance is not universally accepted. Performance Measurement in Finance addresses this central issue. The topics covered include evaluation of investment fund management, evaluation of the investment fund itself, and stock selection performance. The book also surveys and critiques existing methodologies of performance measurement and covers new innovative approaches to performance measurement. The contributors to the text include both academics and practitioners providing comprehensive coverage of the topic areas. Performance Measurement in Finance is all about how to effectively measure financial performance of the fund manager and investment house managers, what measures need to be put in place and technically what works and what doesn't. It covers risk, and what's acceptable and what isn't, how, in short, to manage risk. Includes practical information to enable Investment/Portfolio Managers to understand and evaluate fund managers, the funds themselves, and Investment firms Provides a full overview of the topic as well as in-depth technical analysis
Book Synopsis The Persistence of Mutual Funds Performance by : Dimitris Kenourgios
Download or read book The Persistence of Mutual Funds Performance written by Dimitris Kenourgios and published by . This book was released on 2005 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the past performances of mutual funds as a criterion for investors' future choices. In particular, it examines if mutual funds (which invested in the U.K. stock market) that have presented the highest return through one or two years continue the same high performances through the future years. We start our analysis by calculating the annually returns of all funds and the Jensen's measure of performance (in the context of CAPM). Moreover, we test persistence by constructing two-way tables showing the successful performance over successive two-year and one year period. Afterwards, we simulate a strategy of investing in the top performing mutual funds during the preceding two years. We conclude that in 1990s persistence is weak. We do not find strong evidence that past returns provide information about future returns. As most of the results in relevant studies, our results may be subject to survivorship bias, because we do not include in our sample funds that have ceased to exist or merged or started their operation after 1990 (they do not have complete observations).
Book Synopsis Differences in Short-Term Performance Persistence by Mutual Fund Equity Class by : Andrew L. Detzel
Download or read book Differences in Short-Term Performance Persistence by Mutual Fund Equity Class written by Andrew L. Detzel and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: To consistently earn positive alpha, active fund managers must have access to mispriced stocks. We show that mispricing varies by equity class in such a way that greater mispricing occurs in smaller-cap and more value-oriented stocks, providing opportunity for managers in these classes. Accordingly, we find the greatest evidence that top-performing mutual fund managers continue to earn positive alpha in smaller-cap and more value-oriented classes when investigating quarterly performance persistence by equity class. Conversely, large cap funds show no evidence of persistence in superior performance. In contrast to the patterns of persistence in superior performance, relative performance persists in all equity classes.
Book Synopsis UK Equity Mutual Fund Alphas Make a Comeback by : Irina B. Mateus
Download or read book UK Equity Mutual Fund Alphas Make a Comeback written by Irina B. Mateus and published by . This book was released on 2016 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study we re-visit the performance of 887 active UK equity mutual funds using a new approach proposed by Angelidis, Giamouridis and Tessaromatis (2013). The authors argue that mutual funds stock selection is driven by the benchmark index, so if the benchmark generates alpha, there will be a bias in interpretation of manager's stock picking ability. In their model, alpha of a fund is adjusted by benchmark's alpha. By applying this method, we eliminate bias inflicted by the persistently negative alphas of FTSE 100 index in the period 1992-2013. We find that adjusted Fama-French and Carhat alphas of UK equity mutual funds are higher than those implied by the standard three and four factor models and overall positive, contrary to most of the existing literature on UK fund performance. This result is consistent across funds' investment styles and robust to use of FTSE Small Cap as benchmark for a subsample of small cap funds.
Book Synopsis Performance Persistence. An Examination of UK Investment Trusts by : Michel Guirguis
Download or read book Performance Persistence. An Examination of UK Investment Trusts written by Michel Guirguis and published by . This book was released on 2019 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We check performance persistence of UK investment trusts in terms of both market price returns and net asset value average returns in each category. In addition, we use regression models to test market timing ability. We use a sample of 210 UK investment trusts. Our results are not including survivorship bias because we have included in our sample funds that have stopped to exist or merged with other funds. Positive returns indicate that the manager is skillful in terms of share picking ability. In addition, I am going to test for market timing ability to measure if the fund manager can outperform the market index. The market timing ability is verified using the Treynor-Mazuy (1966) model and denoted by the coefficient gamma. If the coefficient is positive this indicates that the manager has superior timing ability. Based on my regression results, eleven out of sixteen sectors display a coefficient of market timing ability gamma that is positive and statistically significant at 5% level. A positive gamma indicates skilled fund manager whose decisions add value to the fund. Their ability to outperform the benchmark index is based on skill and not luck. Twelve out of the sixteen sectors display positive figures for both the share and NAV average returns. Positive returns indicate that the manager is skillful in terms of share picking ability.
Book Synopsis Benchmarks and Investment Management by : Laurence B. Siegel
Download or read book Benchmarks and Investment Management written by Laurence B. Siegel and published by Research Foundation Publications. This book was released on 2003 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
