What is the explanation for persistence in mutual fund performance? 如何解释共同基金业绩的持续性 Can common factors in stock returns and mutual fund expenses explain the predictability of mutual find returns?股票回报和共同基金支出的共同因素能否解释共同基金回报的可预测性? Literature Review Data Descriptio...
Stock performance benchmarking is a strategy employed by investors to help determine the different performance aspects of an investment portfolio. Investors typically use benchmarking to get a better assessment of a portfolio’s return, how risky it is as a whole, and how to allocate ...
fundmutual共同基金performancewermers绩效 MutualFundPerformance: AnEmpiricalDecompositioninto Stock-PickingTalent,Style,TransactionsCosts,andExpenses RussWermers CampusBox419 GraduateSchoolofBusinessAdministration UniversityofColoradoatBoulder Boulder,CO80309 February2000 Forthcoming,TheJournalofFinance MutualFundPerformance:...
1、Exceptional performance in picking stocks have been observed在选股方面的杰出表现已被观察到 Peter Lynch of Fidelity Magellan Schroder Ultra Fund 2、Small subgroup exhibit superior performance 小群体表现优异 3、Exceptional performance due to luck or skill?
3. Poor Performance Mutual fund returns are not guaranteed. In fact, according to research, a large majority of mutual funds fail to beat major market indexes like the S&P 500. In addition, mutual funds are not insured against losses. ...
Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and ExpensesstyleDecompositionbasis pointstransactions costsStock-PickingHold Stocksnet returnsexpenses and transactionshigh-turnoverWe use a new database to perform a comprehensive analysis of the mutual...
We propose that fund performance can be predicted by its R-2, obtained from a regression of its returns on a multifactor benchmark model. Lower R-2 indicates greater selectivity, and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged R-2 and highest-qui...
Evidence does not support the hypothesis that affiliations with hedge funds allow side-by-side mutual funds to attract superior stock-picking talent. Our evidence does not allow us to rule out the possibility that management firms maximized fee income by strategically transferring performance from ...
they are not completely risk-free. The securities held in a mutual fund may lose value either due to market conditions or to the performance of a specific security, such as the stock of a company if the company performs poorly. Other risks could be difficult ...
Consistent with the weakened advantage of fund family size in fund performance, we find that the greater stock-picking skill of larger fund families, measured using the earnings announcement returns of the stocks they trade, also weakened subsequent to the regulatory changes. Using narrower event ...