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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...
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Mutual fund performancepersistencesmart moneyWe evaluate the academic research on mutual fund performance in the US and UK concentrating particularly on the literature published over the last 20 years wherNitzsche, DirkCuthbertson, KeithO'Sullivan, Niall...
Barras L., Scaillet O., Wermers R.: False discoveries in mutual fund performance: measuring luck in estimated alphas. J Financ 65(1), 179–216 (2010) Article Google Scholar Benjamini Y., Hochberg Y.: Controlling the false discovery rate: a practical and powerful approach to multiple testi...
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...
The empirical finance literature reveals that conditional models estimated with monthly data generally improve fund performance. Furthermore, it has been shown that using daily instead of monthly returns in an unconditional framework increases the proportion of abnormal performances relative to timing. In ...
Mutual fund performance during up and down market conditions. Rev. Bus. 22, 62-65.Mutual Fund Performance during Up and Down Market Conditions - Rao - 2001Umamaheswar Rao, S. P. (2001). Mutual fund performance during up and down market conditions. Review of Business, 22(1/2), 62-65...
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 ...
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...