Mutual Fund's Net Economic Alpha PDF Download
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Author: Sharon Garyn-Tal
Publisher:
ISBN:
Category :
Languages : en
Pages : 38
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Book Description
It is sometimes argued that existing methodologies for assessing mutual fund's performance are unfair, as fund's return is taken net of expenses and benchmark return is gross of expenses. Examining over 1000 U.S. non-specialized mutual funds in 2001-2009, we nd that the abovementioned problem is minute - the net economic alpha, an alpha that accounts for the actual costs of investing in benchmarks via ETFs, yields similar fund's ranking and classi cation as the traditional methods. Also interesting, the average net economic alpha is only slightly negative, suggesting that the mutual funds industry is not inferior.
Author: Sharon Garyn-Tal
Publisher:
ISBN:
Category :
Languages : en
Pages : 38
Get Book Here
Book Description
It is sometimes argued that existing methodologies for assessing mutual fund's performance are unfair, as fund's return is taken net of expenses and benchmark return is gross of expenses. Examining over 1000 U.S. non-specialized mutual funds in 2001-2009, we nd that the abovementioned problem is minute - the net economic alpha, an alpha that accounts for the actual costs of investing in benchmarks via ETFs, yields similar fund's ranking and classi cation as the traditional methods. Also interesting, the average net economic alpha is only slightly negative, suggesting that the mutual funds industry is not inferior.
Author: John Haslem
Publisher: John Wiley & Sons
ISBN: 1405142030
Category : Business & Economics
Languages : en
Pages : 592
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Book Description
This authoritative book enables readers to evaluate the variousperformance and risk attributes of mutual funds, while also servingas a comprehensive resource for students, academics, and generalinvestors alike. Avoiding the less useful descriptive approach tofund selection, this book employs a balanced approach includingboth technique and application. The chapters combine clearsummaries of existing research with practical guidelines for mutualfund analysis. Enables readers to analyze mutual funds by evaluating a fund'svarious performance and risk attributes. Includes templates, which provide an efficient, sound approachto fund analysis, interpretation of results, buy/sell decisions,and the timing of decisions. Combines clear summaries of existing research with practicalguidelines for mutual fund analysis.
Author: Ben Warwick
Publisher: John Wiley & Sons
ISBN: 9780471348221
Category : Business & Economics
Languages : en
Pages : 232
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Book Description
By turns technical, analytical and anecdotal, Ben Warwick's expert investment guide takes you on a whirlwind tour of modern investment theory and practice. Accessible enough to reward dabblers in the field, this book at the same time raises serious issues and attempts to, if not explain them completely, at least point you down the path to financial enlightenment. Abstract or downright abstruse concepts are generously illuminated by side trips into the worlds of one-armed oil wildcatters, Beethoven, Dom Perignon and the mathematician who managed to stop Napoleon's invading armies. getabstract recommends this book as one of the finest overviews of financial theory, technique and practice ever to grace our library's shelves.
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: Dunhong Jin
Publisher: International Monetary Fund
ISBN: 151351833X
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: Geoffrey C. Friesen
Publisher:
ISBN:
Category :
Languages : en
Pages : 79
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Book Description
This study analyzes how equity mutual fund investor behavior has changed over time, and the associated impact on investor returns. First, we find that from 1991-2016 investor return-chasing behavior declined and more recently disappeared, while investor flows have become more sensitive to expenses, past risk and alpha. We also present evidence that these changes correspond to changes in word usage and attention to alphas, past returns and fund expenses in the popular press and academic journals. Investors now pay more attention to fund characteristics that have the potential to improve future performance (e.g. risk, alpha and expenses), and less attention to characteristics that don't (e.g. past returns). Second, we examine the effect of increased attention to fund alphas on investors' realized performance. We confirm the well-documented positive persistence of alpha, but note that this positive cross-sectional persistence in alphas measures the net effect of two distinct phenomena: the cross-sectional variation in average alphas across funds (Harvey and Liu, 2018), and the time-series autocorrelation of alpha within each fund. Both properties are independently relevant: fund selection relates to investors' ability to exploit variation in alphas across funds; timing relates to the ability to exploit the autocorrelation patterns within a given fund. We show that at the fund level, alphas have strong negative serial correlation. Lastly we decompose total mutual fund investor Performance Gap into fund selection and timing components, then further decompose each of these into pieces related to each individual determinant of the cashflow, so that we can determine how much each individual behavior contributes to both fund selection and timing. Even though investors realize some benefit from selecting high-alpha funds (smart money), they time their cash flows very poorly by investing in those funds after periods with the highest realized alphas (dumb money). The dumb money effect dominates, and we show that chasing alphas reduces investor returns by three times as much as chasing past returns. Overall, our results suggest that mutual fund investors have learned that alpha is important, but have not yet learned how to effectively integrate this knowledge into their investment decisions.
Author: Larry E. Swedroe
Publisher: John Wiley & Sons
ISBN: 0470926546
Category : Business & Economics
Languages : en
Pages : 208
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Book Description
The final word on passive vs. active investing The debate on active investing-stock picking and market timing-versus passive investing-markets are highly efficient and almost impossible to outperform-has raged for decades. Which side is right? In The Quest for Alpha: The Holy Grail of Investing, author Larry E. Swedroe puts an end to the debate, proving once and for all that active investing is likely to prove futile as the associated expenses-costs, fees, and time spent analyzing individual stocks and the overall market-are likely to exceed any benefits gained. The book Presents research, data, and quotations that reveal it's extremely difficult to outperform the market Explains why investors should focus on asset allocation, fund construction, costs, tax efficiency, and the building of a globally diversified portfolio that minimizes, if not eliminates, the taking of idiosyncratic, uncompensated risks Other titles by Swedroe: The Only Guide to Alternative Investments You'll Ever Need and The Only Guide You'll Ever Need for the Right Financial Plan Investors are on a never-ending search for a money manager who will deliver returns above the appropriate risk-adjusted benchmark, aka the "Holy Grail of Investing." The Quest for Alpha demonstrates that it's a loser's game-while it's possible to win, it's so unlikely that you shouldn't try.
Author: Jason Fields
Publisher: AuthorHouse
ISBN: 154626387X
Category : Education
Languages : en
Pages : 85
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Book Description
Making ur frt nvtmnt n b tricky, xnv and risky. But f u h a ult mutual fund wth a great management team, u should have a grt trt t ur investment program. If you r unur of what funds r bt, make n appointment with a ll "F-Onl" fnnl dvr nd lt them hl you gt started. Ethr way, gt trtd nw. Yur future and fnnl ndndn depend on t. To um u, mutul funds offer th investor large choices of various hm wth l ftur nd n be hn n the requirement f the investor.
Author: Nalini Prava Tripathy
Publisher: Excel Books India
ISBN: 9788174465351
Category : Investments
Languages : en
Pages : 284
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Book Description
This well organised, lucidly written textbook explains the basic concepts of mutual fund, operational policies, practices, investment in securities, some aspects of portfolio management, selection, mutual fund marketing, and detailed analysis of the latest developments in mutual fund industries. Apart from this, the book is well equipped with the fundamentals of research with details of statistical tools required for analysis in research work.This comprehensive book is intended as a text for students of management, research scholars, and is a useful reference for practising managers and investors as well as finance professionals who have an interest in this increasingly expanding area. It would also be immensely useful to those pursuing professional courses in marketing and finance area.Key Features:v Pedagogically rich to help students retain and apply chapter conceptsv Comprehensive coverage of Indian financial regulatory bodies and practicesv Discusses in detail about the current status of development and future prospects of mutual fund industry in Indiav Provides exercises to test the students grasp of the subjectv Cases in the Indian contextv Highlights latest trends with figures and tables
Author: Jessica Lynn Rabe
Publisher: John Wiley & Sons
ISBN: 1118971019
Category : Business & Economics
Languages : en
Pages : 272
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Book Description
A Comprehensive Review of the Liquid Alts Market and How ‘40 Act Products Can Enhance Client Portfolios Liquid alternatives give investors access to hedge fund strategies with the benefits of ’40 Act products: lower fees, higher liquidity, greater transparency, and improved tax efficiency. Alts Democratized is a hands-on guide that offers financial advisors and individual investors the tools and analysis to enhance client portfolios using alternative mutual funds and ETFs. Well-grounded in research and replete with more than 100 exhibits of Lipper data, Alts Democratized profiles the top ten funds in each of the eleven Lipper liquid alt classifications. This includes total net assets, fund flows, risk and return metrics, and the factor exposures that drive performance and help explain correlations to various forms of beta. Jessica Lynn Rabe and Robert J. Martorana, CFA, combine this research with a comprehensive framework for fund selection and portfolio construction to enhance the asset allocation process, facilitate portfolio customization, and manage client expectations. In addition, the book includes functional perspectives on issues pertinent to financial advisors such as fees, client suitability, and volatility management. This helps advisors apply the concepts to portfolios and offer actionable investment advice. The authors also interviewed executives at leading wealth management firms to provide color on industry trends and best practices. The companion website provides ancillary materials that reinforce and supplement the book, including: The authors’ top ten takeaways Classification cheat sheet Portfolio construction guide (full color) Talking points for clients Q&A on liquid alts Presentation with all 118 exhibits from the book (full color) Alts Democratized comprises a complete resource for the advisor seeking new sources of alpha, diversification, and hedging of tail risks.
