Mutual Fund PerformanceThis thesis finds persistence in the abnormal returns of actively managed US mutual funds for the period 1984–2008. Persistence is found among both the best and the worst performers. A considerable part of this persistence is explained by momentum.Torre, La...
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Jensen (1969) does not find that good subsequent performance follows good past performances. Carhart (1992) documents that persistence in expense ratios drives persistence in mutual fund performance.证明了费用比率的持续性推动了共同基金业绩的持续性。 Data Description Mutual fund data Monthly data from ...
mutual fund performance阅读笔记 Mutual Fund Performance: A Reading Note In this reading, the author discusses the performance of mutual funds and their importance in investment portfolios. Here are the key points: 1. Mutual funds are investment vehicles that pool money from multiple investors to ...
主要的分析工具有:(1)投资组合分析理论(由Markowitz均值方差理论衍生,见[1][2][3]),(2)股票市场定价理论(随机游走理论,见[4]),(3)CAPM理论(见[5])。大体分析框架如下:根据投资组合分析理论,共同基金的选择共需分三步,首先把对个股表现的预测转化为对投资组合(即基金本身)表现的预测,其次在海量的投资组合...
There are two main ways to evaluate the performance of an open-end investment company or mutual fund. The first is to read the prospectus that every fund is required to issue. The performance history of the fund, along with the fund’s investment objective and expenses, are included in the...
On persistence in mutual fund performance 热度: On Persistence in Mutual Fund Performance 热度: MutualFundPerformance: AnEmpiricalDecompositioninto Stock-PickingTalent,Style,TransactionsCosts,andExpenses RussWermers CampusBox419 GraduateSchoolofBusinessAdministration ...
Fund size (net assets under management) affects mutual fund performance. Mutual funds must attain a minimum fund size in order to achieve sufficient returns to justify their costs of acquiring and trading on information. Furthermore, there are diminishing marginal returns to information acquisition and...
Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style... We use a new database to perform a comprehensive analysis of the mutual fund industry. We find that funds hold stocks that outperform the market by 1.3 per... Wermers,Russ - 《Journal of Finance》 被引量...
The first modern mutual fund was launched in the U.S. in 1924. The oldest mutual fund still in existence is MFS’ Massachusetts Investors Trust (MITTX), also established in 1924. The exchange-traded fund, a modern variation, has taken the market by storm since the Great Recession of 2007...