Download or read book Essays on the Performance Evaluation of Equity Mutual Funds written by Bernhard Breloer and published by . This book was released on 2014 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essay One written by Hsiu-Lang Chen and published by . This book was released on 1997 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on the Performance Evaluation of Actively Managed Investment Funds written by Qing Yan and published by . This book was released on 2021 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates the performance of hedge funds and actively managed U.S. equity mutual funds. The first chapter examines the relation between hedge funds and the low beta anomaly. Different conditions in the mutual fund and hedge fund industries should lead to different approaches with respect to the low beta anomaly. I find that, unlike most mutual funds, the average hedge fund tends to benefit considerably from the anomaly. About 2.3% per year of apparent alpha for the average hedge fund can be attributed to the low beta anomaly rather than manager skill. Low skill managers are the most reliant on the anomaly to generate returns, with the most reliant underperforming the least reliant by 5.9% per year. The second chapter uses machine learning to dynamically identify and optimally combine the predictors of hedge fund performance. The portfolio formed based on the machine learning models has an out-of-sample alpha of 7.8% per year. The importance of each predictor varies over time, but among the 22 predictors I consider, the consistently important predictors are average return, maximum return, alpha, systematic risk, and beta activity. Machine learning provides valuable, unique information about future hedge fund performance that is not captured by individual predictors. The third chapter studies whether the quality of fund risk management can predict fund performance. I find that the risk management skills of mutual fund managers-as quantified by their funds' maximum drawdowns-are persistent and predictive of subsequent risk-adjusted performance. Funds with relatively strong past performance and relatively low past maximum drawdowns have, on average, an out-of-sample alpha of 2.68% per year. That alpha is magnified when markets are turbulent-a time during which risk management skills should be most valuable. Investors are averse to drawdown risk. After controlling for typical measures of past performance, fund flows are still a decreasing function of maximum drawdowns, particularly among investors with greater risk aversion and during times of generally heightened risk aversion.
Download or read book Essays on Mutual Fund Performance Evaluation with Clientele Effects written by Manel Kammoun and published by . This book was released on 2015 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis studies the performance evaluation of mutual funds from the point of view of their most favorable clienteles. It contains three essays in which we develop and adapt a performance measurement approach that accounts for investor disagreement and clientele effects to answer three research questions. In the first essay, we investigate investor disagreement and clientele effects in performance evaluation by developing a measure that considers the best potential clienteles of mutual funds. The measure is an upper performance bound in an incomplete market under the law-of-one-price condition and a no-good-deal condition that rules out investment opportunities with unreasonably high Sharpe ratios. We find that considering investor disagreement and focusing on the best potential clienteles lead to a generally positive performance for mutual funds. The total disagreement measured by the difference between upper and lower performance bounds is economically and statistically significant. In the second essay, we diagnose the validity of standard performance measures by comparing their alphas with the alpha from a performance measure that evaluates mutual funds from the point of view of their most favorable investors. The results show that unconditional linear factor models, their conditional versions and the law-of-one price measure give severe but admissible evaluations of fund performance. Consumption-based models suffer from an inadmissibility problem. The manipulation proof performance measure generates alphas that are sensitive to the choice of risk aversion parameter. In the third essay, we propose a clientele-specific performance evaluation based on the style preferences of mutual fund investors. Considering performance disagreement and better exploiting style classification data, we investigate eight measures to represent clienteles with favorable preferences for size and value equity styles. We find that funds assigned to size and value styles have neutral to positive average alphas when evaluated with their appropriate clientele-specific measure. The performance of the other funds is sensitive to the clienteles. Our findings support a significant role for style clienteles in performance evaluation.
Download or read book Essay 1 Equity Style Identification Essay 2 Equity Fund Performance Evaluation The Importance of Fund Style Essay 3 A Dynamic Model of Mutual Fund Managers Investment Strategies written by and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Mutual Fund Performance and Predictability written by Yu Xia and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis consists of two essays on evaluating mutual fund performance and its predictability. In the first essay, I study the ex ante predictability of 12 well-known predictors for fund performance from investors' perspective. The 12 predictors cover three major categories: fund characteristics, fund performance, and holding-based activeness measures, which are constructed using real-time information. For performance evaluation, I exploit two types of fund picking strategies with either rule-based approach or machine learning methods and find that utilizing machine learning can deliver superior real-time economic gains for investors with fund short-term performance being the primary driver underlying predictability. Specifically, using variable selection methods such as LASSO and elastic net at individual predictor level can generate annual 1.3%-1.7% real-time alphas after adjusting for standard risk factors. The essay further examines whether real-world investors react to those well-known predictors when evaluating mutual fund performance. Using a novel approach to decomposing fund returns, I find that conditional on investors' usage of CAPM, investors react to the components of CAPM alpha implied by predictors in different ways, and investor reaction to predictive information embedded in predictors is stronger within aggressive growth funds. These results provide empirical support for Gârleanu and Pedersen (2018) and suggest ex ante predictability exists not due to lack of investor reaction but as the compensation for employing costly algorithms to identify skilled managers.The second essay examines how decision-making hierarchy in team-managed U.S. equity mutual funds affects their performance and risk-taking behavior. Employing a unique hand-collected dataset, we find that vertically-managed funds with lead managers earn 75 bps per year lower Fama-French five-factor alpha than their horizontally-managed counterparts. Moreover, vertically-managed funds hold less concentrated portfolios and are exposed to lower residual risk, thus showing signs of inferior security selection ability. Using mutual fund industry as a laboratory, the second essay provides evidence supporting a horizontal decision-making structure in organizations functioning in an uncertain expectation environment. These results echo similar mechanisms as in recent cross-country studies on the benefits of democratic form of government for country's economic growth"--
Download or read book Essays on Mutual Funds Performance written by Lubomira Ivanova and published by . This book was released on 2005 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter of my dissertation I present a survey of the literature on mutual fund performance. The first section of chapter one discusses two approaches to portfolio evaluation. The returns-based approach evaluates the net portfolio returns of the funds. The second, holdings-based approach, directly measures the stock-picking talent of mutual fund managers by focusing on manager's equity holdings. The second section of chapter one presents the literature on flows of funds and its relationship to portfolio evaluation.
Download or read book Essays on Mutual Fund Performance Evaluation written by Thomas C. H. Sandvall and published by . This book was released on 1999 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mutual Funds written by Joan Lamm-Tennant and published by . This book was released on 1995 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Mutual Funds written by and published by . This book was released on 2006 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay examines the relation between fund performance and stock selection process. I classify mutual funds into two groups according to their distinctive stock selection approaches: tire kickers who rely on fund managers' personal judgment and fundamental analysis to pick stocks, and quant jocks who use computer-based models to select stocks. I examine how the stock selection approach affects mutual fund performance and economies of scale. I document an increasing trend of quantitative techniques used by mutual funds, in addition to some unique characteristics of quant jocks. Quant jocks and tire kickers have similar factor-adjusted alphas, but quant jocks have higher Sharpe ratios. Quant jocks tend to be much smaller than tire kickers. I explore possible explanations for the size difference. I find that although quant jocks can cheaply screen a large universe of stocks, the stocks that quant jocks invest in are smaller and less liquid, which results in higher transaction costs and limited scalability of quantitative investment strategies. The second essay investigates mutual fund managers' private information about future stock returns as revealed in their portfolio holdings. Specifically, we develop three different stock alpha estimators to predict stock returns based on portfolio compositions and past performance of mutual funds. We find that investment strategies based on our stock alpha estimators perform well, when using information on recent fund holdings and fund purchases. This evidence suggests that fund managers' stock selection skills are quite persistent, and vary widely in the cross-section. We also compare our strategies with 12 quantitative investment signals based on market anomalies, and find that our strategies are not subsumed by these quantitative signals. Thus, our stock alpha estimators reflect private skills of active fund managers that are unrelated to known anomalies. Finally, we develop a conditional stock alpha estimator using information on stock characteristics and fund characteristics. Investment strategies based on the conditional stock alphas deliver further improved performance.
Download or read book A Study on Performance Evaluation of Equity Share and Mutual Funds written by Deepak Adhana and published by . This book was released on 2020 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present paper is based on the study of comparing and analyzing the equity fund schemes in respect of bare risk and return. Further the paper compares and analyzes the mutual fund schemes in respect of bare risk and return. The research also studies the average risk and average return of selected companies of Mutual Funds as well as of Equity Shares. The paper in the end, studies the relationship between the risk and return of Equity Shares and Mutual Funds.
Download or read book Two Essays on Managerial Behaviors in the Mutual Fund Industry written by Leng Ling and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay 1. Does mutual fund window-dressing promote fund flows?--I investigate the effectiveness of window-dressing as a potential strategy to be used by mutual fund managers to promote fund flows. Using a rank gap measure as a proxy for the likelihood that window-dressing has occurred, I find that fund investors as whole punish those managers who are suspected to have engaged in window-dressing. That is, I find a negative relation between the window-dressing measure and net fund flows in subsequent quarters after controlling for fund performance, size, expense ratio, and other pertinent characteristics. I also find that window-dressing leads to higher trading activities and lower fund performance. Essay 2. A life cycle analysis of performance and growth in U.S. mutual funds--I propose a five-stage growth model to describe the life cycle evolution of mutual funds and show that mutual funds exhibit distinctive performance, size, expense ratios, asset turnover, and other pertinent characteristics through stages of incubation, high-growth, low-growth, maturity, and decline. I also investigate the viability of managerial strategies to affect a fund's life cycle evolution and find that changing a declining fund's investment objective is effective in rejuvenating asset growth and thus repositioning the fund to younger life cycle stages. However, the strategy of adding portfolio managers appears to have no such rejuvenation effect.
Download or read book Essays on Mutual Funds written by Svetoslav Covachev and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In light of this, Essays 1 and 3, co-authored with Vijay Yadav, study the sensitivity of investment flows to past performance, also known as flow-performance sensitivity (FPS). The main aim of Essay 1 is to contribute towards the ongoing debate regarding the shape of the flow-performance relationship in the equity mutual fund industry. Essentially, the question is whether the relationship is linear or non-linear. Whereas Essay 1 addresses the shape of the flow-performance relationship, Essay 3 studies the determinants of its strength. Past performance is a signal that is used by investors when making investment allocation decisions. The main finding of Essay 3 is that the composition of the fund portfolio has an impact on the FPS of the fund. More specifically, a mutual fund manager can decrease flow-performance sensitivity by increasing the total equity portfolio weights of defensive stocks and sensitive stocks, where the former is more effective. In Essay 2, I examine active equity mutual funds that close to new investors.
Download or read book Essays in Asset Allocation written by Xin Gao and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays in asset allocation. In the first essay, I explore the question of how investors should optimally incorporate commodities in their multi-asset portfolios, or even if they should at all. To tackle this problem, I conduct a comprehensive out-of-sample assessment on the economic value of commodities in multi-asset investment strategies for both mean-variance and non-mean-variance investors who exploit the predictability of time-varying asset return moments. With both monthly and quarterly rebalancing frequencies, I find that predictability makes the addition of commodities profitable even when short-selling and high leverage are not permitted. For instance, a mean-variance (non mean-variance) investor rebalancing quarterly, with moderate risk aversion and leverage, would be willing to pay up to 108 (155) basis points per year after transaction cost for adding commodities into her stock, bond and cash portfolio. In the second essay, I study the economic value generated by active equity mutual funds from an investor’s perspective. I employ an optimization-based portfolio approach to construct a composite investment strategy of U.S. active equity mutual funds. The strategy jointly exploits the conditioning information conveyed by multiple fund characteristics and macroeconomic variables about the cross-section of fund performance. Based on an extensive out-of-sample performance evaluation, I find that the proposed strategy consistently outperforms a large set of passive investments that rely on index funds as well as the strategies that exploit the fund characteristics on an individual basis. The outperformance is net of fees and expenses and after precluding short-sales and leverage. I further show that the proposed strategy’s superior performance derives from effectively exploiting the predictive power of distinct fund characteristics to shift portfolio allocation toward (away from) funds with future outperformance (underperformance) as market conditions evolve over time. The findings indicate that investing in active equity mutual funds can add significant economic value for investors if the time-varying predictability in fund performance is properly taken into account and if an optimal portfolio approach, as opposed to simpler strategies based on sorting or on equal-weighted schemes, is adopted.
Download or read book Performance Evaluation and Classification of Italian Equity Mutual Funds written by Francesca Campanelli and published by . This book was released on 2001 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of the paper is an evaluation of the performance of the Italian mutual funds based on Markov models, and extension of the Generalized Linear Model approach. The dataset, which was supplied by Money Mate System, comprises monthly returns on almost all existing equity mutual funds in the Italian market between January 1990 and November 2000. From our results, the conditional model has a more explicative power than the cross sectional models and there exists a strong interaction between the autoregressive term and the fund sector that explains different fund strategy overtime. The estimates show varying betas depending on the conditioning factor.
Download or read book Two Essays on Mutual Fund Performance written by Andrew A. Lynch and published by . This book was released on 2012 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt: In these two essays, I examine the relation between mutual fund characteristics and fund performance. In the first essay, I test the impact of liquidity and liquidity risk on mutual fund returns. I find that equity funds with the most illiquid holdings outperform those with the most liquid holdings by as much as 4.40 percent annually. Funds with high liquidity beta only marginally outperform those with low liquidity beta on average. However, this outperformance is significantly stronger after excluding periods of extreme market illiquidity. Testing the liquidity and liquidity risk effects jointly reveals that both independently positively influence fund returns. In the second essay, I test the relation between fund fees and fund performance. Theory suggests that mutual fund fees should be positively related to before-fee returns (Berk and Green (2004)), while recent empirical work documents a negative relation (Gil-Bazo and Ruiz-Verdu (2009)). I find that the previously identified negative relation is not robust to alternative empirical specifications. Portfolio sorting and regression analysis with controls for fund characteristics find a positive relation between before-fee returns and expense ratios. I also find a positive relation between before-fee returns and management fees, the fee used to compensate fund managers. Extending the analysis to proxies for manager skill, I find a positive relation between fees and both trading skill and active share of holdings.
Download or read book Essays in Mutual Fund Performance the Home Equity Bias and the Effects of Financial Frictions on Output and Occupational Choice written by Evangelos Benos and published by . This book was released on 2009 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis we explore issues of mutual fund manager performance, we propose a factor that helps explain the home equity bias and theoretically explore the effects of such financial frictions as poor contract enforcement and intermediation costs on occupational choice and output.
