The Timing Performance of Local Versus Foreign Mutual Fund Managers PDF Download
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Author: Stephen Tschanz
Publisher:
ISBN:
Category :
Languages : en
Pages : 88
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Book Description
Author: Stephen Tschanz
Publisher:
ISBN:
Category :
Languages : en
Pages : 88
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Book Description
Author: Rogér Otten
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Book Description
In this paper we examine the performance of local US equity funds versus foreign UK funds also investing in the US equity market. Based on informational disadvantages one would expect the foreign funds to under-perform the local funds, especially in the research intensive small company market. After controlling for tax treatment, fund objectives, investment style and time-variation in betas, we do not find evidence for this.In the small company segment we even find a slight out-performance for foreign funds compared to local funds. In addition to that we observe a home bias in the UK portfolios, which could not be explained by currency effects or other non-US equity holdings.
Author: Son-Nan Chen
Publisher:
ISBN:
Category :
Languages : en
Pages :
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This paper evaluates the performance of 15 U.S.-based international mutual funds for the period 1980-89. Selectivity and timing skills of mutual fund managers are the primary criteria for performance evaluation. The technique used here is the one developed by Treynor and Mazuy and refined by Lee and Rahman. We find that many of the international mutual funds outperformed the U.S. market benchmark, perhaps due to the expanded diversification opportunities that they provide. When a world market index is used as the benchmark, fund managers show relatively poor performance in terms of selectivity skills. However, there is strong evidence that some managers rely rather heavily on timing skills in international capital markets.
Author: Roy Henriksson
Publisher:
ISBN: 9781332284412
Category : Business & Economics
Languages : en
Pages : 56
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Book Description
Excerpt from Tests of Market Timing and Mutual Fund Performance I thank Robert C. Merton for suggesting this topic and the appropriate criteria for testing it. I also thank Fischer Black, Greg Hawkins, Donald Lessard, Stewart Myers, and Eric Rosenfeld for many helpful discussions. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Author: G. Gregoriou
Publisher: Springer
ISBN: 0230626491
Category : Business & Economics
Languages : en
Pages : 279
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Book Description
This book responds to a growing demand for mutual funds. This timely collection of original papers focuses on changes of international investment in Europe, the US and New Zealand. Using a fresh approach, innovative techniques and various models this book assesses performance and provides an understanding of mutual funds on an international level.
Author: Dalia Ahmed El Mosallamy
Publisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 248
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Author: Wenchi Kao
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This study examines the selectivity and market timing ability of international mutual fund managers. Ninety-seven international mutual funds with a minimum of five-year return history selected from the Morningstar OnDisc database are analyzed. Our findings suggest that managers of international mutual funds possess good selectivity and overall performance. We also find weak evidence of poor market-timing ability. Consistent with prior findings from domestic mutual funds, there is a negative correlation between the international fund managers' selection ability and market-timing ability. Finally, managers for European funds show poorer performance than those managing the other three international fund groups.
Author: Haim Reisman
Publisher:
ISBN:
Category :
Languages : en
Pages : 13
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Book Description
The paper derives a measure for evaluation of performance of mutual funds in an environment where mutual fund managers are using conditioning information, returns are conditionally normally distributed, and investors have exponential utility functions. The ranking obtained is consistent with the choice of investors who i) wish to invest in only one risky fund and in the risk free asset, and ii) are not using conditioning information, used by the fund's manager, when optimally mixing their risky fund with the risk free asset. The ranking obtained is the same as the one obtained by the Sharpe measure in the case where fund managers are not using conditioning information, and it is different otherwise. A by-product of the analysis is the quot;positive period weighting measurequot; proposed by Grinblatt and Titman (1989) as an alternative to the Jensen measure in an environment where portfolio managers are using conditioning information.
Author: Dunhong Jin
Publisher: International Monetary Fund
ISBN: 1513519492
Category : Business & Economics
Languages : en
Pages : 46
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Book Description
How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
Author: Meifen Qian
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Book Description
The on-going debate over whether fund managers have skills and whether those skills are short-lived is still inconclusive. Using the performance measure that can't be manipulated with respect to the underlying distribution, time variation, nor estimation error, (the manipulation-proof performance measure (MPPM, Goetzmann et al. (2007)), we rank all U.S. domestic equity mutual funds from 1980 to 2012 on a quarterly basis and analyze their portfolio holding to contribute to the literature in two folds. First, managers ranked highest on MPPM in the current quarter earn largest fee-adjusted fund returns in the following quarter. Those managers hold younger, smaller, lower book-to-market, and momentum stocks. Second, taking long positions of the addition and short positions of the removal from their quarterly holdings from the highest ranked managers would outperform the lowest ranked managers by 12 basis points at the following quarter. Even though higher ranked managers have better stock picking skills, their fund returns are not large enough to offset their frequent transactions and higher expenses to insure positive alphas.
