Jensen 这个人在1967年发表了文章 The Performance of Mutual Funds in the Period 1945-1964, 阐述了共同基金(mutual fund)与其市场在基于CAPM下好像并不能很好得给资产定价. 即使假设CAPM 成立, 那么一个组合管理者如果能更好得捕捉市场, 比如把资金比重放到更多的 ϵi>0, 即非系统性收益更可能为正的资产里...
公募基金对标的是海外的共同基金(Mutual Fund)，代表公司是先锋基金，其主要产品是指数基金，主要赚取市场的Beta收益。而私募基金对标的是对冲基金(Hedge Fund),代表基金是桥水基金和文艺复兴基金。它们主要为高净值人群赚取超额收益。随着中国进入资产配置的大时代，私募基金将成为高净值人群资产配置中不可或缺的标的。...
和对冲基金相对的是Mutual Funds。Mutual fund是可以吸纳几乎所有人的钱,所以政府为了把控风险,法律法规对投资方向限制很大,基本只投资股票和债券什么是Alpha?以股票市场为例,股票的收益是受多方面因素影响的,比如经典的Fama French三因素就告诉我们,市值大小、估值水平、以及市场因子就能解释股票收益,而且低市值、低估值...
Equity fundsIndividual intellectual capitalJensen's alphaThis is the first paper to explore which characteristics of Russian fund managers are connected with a higher abnormal return (measured by Jensen's alpha) and risk (beta) for mutual funds. While only some fund managers publish biographic ...
After the above steps, we have 10,000 observations of fund activity as estimated by Active Share versus the funds’ actual activity for the subsequent 12 months. The Predictive Power of Active Share for U.S. Equity Mutual Funds The following results quantify the predictive power of Active Share...
Equity Mutual Funds over 10 years. These provide a broad sample of the real-world long equity portfolios that investors may attempt to hedge. We evaluate the effectiveness of three techniques for calculating hedge ratios: Assuming constant 100% market exposure (1 beta): Absent deeper statistical ...
Huang, Chong, Fei Li, and Xi Weng. "Star ratings and the incentives of mutual funds."Journal of Finance75.3 (2020): 1715-1765. Jegadeesh, Narasimhan, and Chandra Sekhar Mangipudi. "What do fund flows reveal about asset pricing models and investor sophistication?."Review of Financial Studies...
Beta = (Mutual Fund Return – Risk Free Rate (Rf)) / (Benchmark Return – Risk Free Rate (Rf)) You can decide whether or not to include a mutual fund in your investment portfolio based on its beta value. Risk-averse investors should ideally choose funds with a beta less than...
定位基金业绩中的可持续元素,是获取长期稳定业绩回报的前提,而这需要对基金的收益进行充分分解。根据资产定价模型相关理论,基金收益可分为市场风险收益Beta和超额收益Alpha。 研究表明,收益来源于Alpha的基金存在业绩持续性。Christopherson (1998)[12] 以Jensen alpha为绩效指标,使用横截面回归的方法对1979-1990年间的273...
You will most likely see alpha and beta referenced with mutual funds, according to Mark Cortazzo, a certified financial planner and a senior partner at MACRO Consulting Group. Additionally, both measurements utilize benchmark indexes, such as the S&P 500, and compare them against the individual se...