Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance PDF Download
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Author: Marno Verbeek
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
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Book Description
Using monthly return data of more than 6,400 US equity mutual funds we investigate short-run performance persistence over the period 1984-2003. We sort funds into rank portfolios based on past performance, and evaluate the portfolios' out-of-sample performance. To cope with short ranking periods, we employ an empirical Bayes approach to measure past performance more efficiently. Our main finding is that when funds are sorted into decile portfolios based on 12-month ranking periods, the top decile of funds earns a statistically significant, abnormal return of 0.26 percent per month. This effect persists beyond load fees, and is mainly concentrated in relatively young, small cap/growth funds.
Author: Marno Verbeek
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
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Book Description
Using monthly return data of more than 6,400 US equity mutual funds we investigate short-run performance persistence over the period 1984-2003. We sort funds into rank portfolios based on past performance, and evaluate the portfolios' out-of-sample performance. To cope with short ranking periods, we employ an empirical Bayes approach to measure past performance more efficiently. Our main finding is that when funds are sorted into decile portfolios based on 12-month ranking periods, the top decile of funds earns a statistically significant, abnormal return of 0.26 percent per month. This effect persists beyond load fees, and is mainly concentrated in relatively young, small cap/growth funds.
Author: Jenke ter Horst
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper analyzes the properties of a number of estimators that can be used to estimate short-run persistence in mutual fund returns. When data for different funds are pooled, it is advisable to correct for cross-sectional differences in expected returns. However, these adjustments may induce biases in the estimated persistence coefficients and thus lead to spurious persistence. Theoretical derivations, combined with a Monte Carlo study, show that these biases cannot be neglected for the samples that are typically used in applied work. The short-run persistence is estiamted in two samples of US open-end mutual funds using quarterly returns for 1987-1994. An important conclusion is that the results are quite sensitive to the estimation method that is employed.
Author: Peter Lückoff
Publisher: Springer Science & Business Media
ISBN: 3834965278
Category : Business & Economics
Languages : en
Pages : 604
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Book Description
Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.
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:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
In this paper, I analyze long-term performance persistence for a sample of 6525 US equity mutual funds between 1970 and 2013. I test for evidence of five-year performance persistence by using a non-parametric method involving the construction of contingency tables. I also apply a parametric cross-sectional regression of fund performance on past fund performance. I conduct the tests with four different performance measures, namely continuous returns, Jensen's alphas, Four Factor alphas and Sharpe Ratios. I find evidence for performance persistence across all performance measures and with both methodologies. Four Factor alphas show the most significant evidence. The observed persistence is to a great extent driven by funds that consistently perform below or equal to the median of their peers during the analyzed time periods. Performance persistence is especially pronounced during periods where the market shows a sustained upward or downward trend. The results are robust for longer time horizons up to ten years. I find reversals in performance to occur especially when the testing period is to a large extent characterized by a sharp negative market movement, such as the aftermath of the technology bubble in the early years of the 21st century. Past performance over longer time periods can therefore be considered for the evaluation of a long-term investment in a mutual fund, but should not be used as a standalone criterion.
Author: Giuseppe Galloppo
Publisher: Springer Nature
ISBN: 3030761282
Category : Business & Economics
Languages : en
Pages : 485
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Book Description
This book offers an overview of the best-working strategies in the field of equity and fixed income mutual fund-based portfolio management. This timely research considers different market conditions, such as global financial crises, across various geographical regions such as the USA and Europe. Combining academic and practical findings, the author presents a practitioner perspective on mutual fund-based portfolio strategies, appealing not only to finance scholars but also professionals within the asset management industry. This book synthesizes a large part of the academic research to date on the mutual fund industry by drawing from the most widely cited academic journals. The author makes a systematic use of numerical examples to facilitate the understanding of Investment themes organized around several important topics: size, diversification, flows, active management, volatility, performance persistence and rating.
Author: Konstantinos N. Zafeiris
Publisher: John Wiley & Sons
ISBN: 1394165501
Category : Computers
Languages : en
Pages : 484
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Book Description
The scientific field of data analysis is constantly expanding due to the rapid growth of the computer industry and the wide applicability of computational and algorithmic techniques, in conjunction with new advances in statistical, stochastic and analytic tools. There is a constant need for new, high-quality publications to cover the recent advances in all fields of science and engineering. This book is a collective work by a number of leading scientists, computer experts, analysts, engineers, mathematicians, probabilists and statisticians who have been working at the forefront of data analysis and related applications. The chapters of this collaborative work represent a cross-section of current concerns, developments and research interests in the above scientific areas. The collected material has been divided into appropriate sections to provide the reader with both theoretical and applied information on data analysis methods, models and techniques, along with related applications.
Author: Ilhan Demiralp
Publisher:
ISBN:
Category :
Languages : en
Pages : 65
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Book Description
We examine manager performance across multiple contemporaneously-managed mutual funds and document significant cross-sectional performance persistence. While 80% of managers in our sample have at least one underperforming fund in each quarter, a small but statistically significant number of managers persistently outperform for up to 8 quarters across all their funds. We also find that 16.1% (7.2%) of managers in our sample contemporaneously manage a top-40% (20%) fund and a bottom-40% (20%) fund more than 50% of the time. We provide new evidence on managerial busyness by showing that managers' performance drops significantly when the number of funds they manage increases.
Author: Wolfgang Bessler
Publisher: Routledge
ISBN: 1317979796
Category : Business & Economics
Languages : en
Pages : 248
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Book Description
This innovative volume comprises a selection of original research articles offering a broad perspective on various dimensions of asset management in an international capital market environment. The topics covered include risk management and asset pricing models for portfolio management, performance evaluation and performance measurement of equity mutual funds as well as the wide range of bond portfolio management issues. Asset Management and International Capital Markets offers interesting new insights into state-of-the-art asset pricing and asset management research with a focus on international issues. Each chapter makes a valuable contribution to current research and literature, and will be of significant importance to the practice of asset management. This book is a compilation of articles originally published in The European Journal of Finance.
Author: Richard A. DeFusco
Publisher: John Wiley & Sons
ISBN: 1119104599
Category : Business & Economics
Languages : en
Pages : 634
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Book Description
Your complete guide to quantitative analysis in the investment industry Quantitative Investment Analysis, Third Edition is a newly revised and updated text that presents you with a blend of theory and practice materials to guide you through the use of statistics within the context of finance and investment. With equal focus on theoretical concepts and their practical applications, this approachable resource offers features, such as learning outcome statements, that are targeted at helping you understand, retain, and apply the information you have learned. Throughout the text's chapters, you explore a wide range of topics, such as the time value of money, discounted cash flow applications, common probability distributions, sampling and estimation, hypothesis testing, and correlation and regression. Applying quantitative analysis to the investment process is an important task for investment pros and students. A reference that provides even subject matter treatment, consistent mathematical notation, and continuity in topic coverage will make the learning process easier—and will bolster your success. Explore the materials you need to apply quantitative analysis to finance and investment data—even if you have no previous knowledge of this subject area Access updated content that offers insight into the latest topics relevant to the field Consider a wide range of subject areas within the text, including chapters on multiple regression, issues in regression analysis, time-series analysis, and portfolio concepts Leverage supplemental materials, including the companion Workbook and Instructor's Manual, sold separately Quantitative Investment Analysis, Third Edition is a fundamental resource that covers the wide range of quantitative methods you need to know in order to apply quantitative analysis to the investment process.
