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 ...
We find that the assumption of independence of performance evaluation measures results in significant bias, such as over-estimating the number of outperforming mutual funds. Adjusting for the mutual fund investment objective is helpful, but it still does not result in the discovery of a significant ...
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 purchase a diversified portfolio of...
This paper uses a large sample containing the complete return histories of 2300UK openended mutual funds over a 23-year period to measure fund performance. We find some evidence of underperformance on a risk-adjusted basis by the average fund manager, persistenceof performance and the existence of...
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...
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...
We examine mutual fund performance from the perspective of equilibrium accounting. For example, at the aggregate level, if we find that the value-weight (VW) portfolio of all mutual funds produces a positive α before costs, we can infer that the VW portfolio held by investors outside mutual...
Mutual Fund Performance and… Objective of this Study: Examine the relationship between equity fund performance and manager style. 1. Examine whether any investment style reliably delivers abnormal performance; 2. Evidence of performance per- sistence based on style. Mutual Fund Performance and… Data...
We examine whether the previously documented positive association between fund family size and fund performance is affected by significant regulatory changes (i.e., Regulation Fair Disclosure (Reg FD), the Global Settlement (GS), and increased scrutiny as a result of trading scandals) that have occ...
thoseassetsarepricedbythebenchmarks.Afund'sSharperatiocanbeestimated morepreciselybyusingreturnsonotherassetsaswellasthefund.Newestimates oftheseperformancemeasuresforalargeuniverseofequitymutualfundsexhibit substantialdi®erencesfromtheusualestimates.