Download or read book Mutual Fund Performance and Performance Persistence written by Peter Lückoff and published by Springer Science & Business Media. This book was released on 2011-01-22 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Swing Pricing and Fragility in Open end Mutual Funds written by Dunhong Jin and published by International Monetary Fund. This book was released on 2019-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Performance Evaluation and Attribution of Security Portfolios written by Bernd R. Fischer and published by Academic Press. This book was released on 2012-12-31 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: Just how successful is that investment? Measuring portfolio performance requires evaluation (measuring portfolio results against benchmarks) and attribution (determining individual results of the portfolio's parts), In this book, a professor and an asset manager show readers how to use theories, applications, and real data to understand these tools. Unlike others, Fischer and Wermers teach readers how to pick the theories and applications that fit their specific needs. With material inspired by the recent financial crisis, Fischer and Wermers bring new clarity to defining investment success. - Gives readers the theories and the empirical tools to handle their own data - Features practice problems formerly from the CFA Program curriculum.

Download or read book Portfolio Theory and Performance Analysis written by Noel Amenc and published by John Wiley & Sons. This book was released on 2005-01-21 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: For many years asset management was considered to be a marginal activity, but today, it is central to the development of financial industry throughout the world. Asset management's transition from an "art and craft" to an industry has inevitably called integrated business models into question, favouring specialisation strategies based on cost optimisation and learning curve objectives. This book connects each of these major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory. In these bear market times, performance evaluation of portfolio managers is of central focus. This book will be one of very few on the market and is by a respected member of the profession. Allows the professionals, whether managers or investors, to take a step back and clearly separate true innovations from mere improvements to well-known, existing techniques Puts into context the importance of innovations with regard to the fundamental portfolio management questions, which are the evolution of the investment management process, risk analysis and performance measurement Takes the explicit or implicit assumptions contained in the promoted tools into account and, by so doing, evaluate the inherent interpretative or practical limits

Download or read book The Efficiency of Mutual Fund Families written by Carlos Sánchez González and published by Emerald Group Publishing. This book was released on 2018-04-13 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sánchez González develops an innovative model that considers different management stages of mutual fund companies, overcoming the traditional dispute between the different approaches used in banking and insurance research.

Download or read book Modern Portfolio Theory and Investment Analysis written by Edwin J. Elton and published by John Wiley & Sons. This book was released on 2009-11-16 with total page 748 pages. Available in PDF, EPUB and Kindle. Book excerpt: An update of a classic book in the field, Modern Portfolio Theory examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. It stresses the economic intuition behind the subject matter while presenting advanced concepts of investment analysis and portfolio management. Readers will also discover the strengths and weaknesses of modern portfolio theory as well as the latest breakthroughs.

Download or read book Investments Portfolio theory and asset pricing written by Edwin J. Elton and published by MIT Press. This book was released on 1999 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of articles in investment and portfolio management spans the thirty-five-year collaborative effort of two key figures in finance. Each of the nine sections begins with an overview that introduces the main contributions of the pieces and traces the development of the field. Each volume contains a foreword by Nobel laureate Harry Markowitz. Volume I presents the authors' groundbreaking work on estimating the inputs to portfolio optimization, including the analysis of alternative structures such as single and multi-index models in forecasting correlations; portfolio maximization under alternative specifications for return structures; the impact of CAPM and APT in the investment process; and taxes and portfolio composition. Volume II covers the authors' work on analysts' expectations; performance evaluation of managed portfolios, including commodity, stock, and bond portfolios; survivorship bias and performance persistence; debt markets; and immunization and efficiency.

Download or read book Asset Allocation Strategies for Mutual Funds written by Giuseppe Galloppo and published by Springer Nature. This book was released on 2021-07-24 with total page 485 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Performance of Mutual Funds written by G. Gregoriou and published by Springer. This book was released on 2015-12-04 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Fundamentals of Investments written by Gordon J. Alexander and published by Pearson Educación. This book was released on 2001 with total page 824 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction provides a clear framework for understanding and analyzing securities, and covers the major institutional features and theories of investing. While the book presents a thorough discussion of investments, the authors keep the material practical, relevant, and easy to understand. The latest developments in investments are brought to life through the use of tables, graphs, and illustrations that incorporate current market information and academic research. An international content deals directly with international securities and securities markets throughout the book--along with currency management and interest rate parity. Up-to-date "Money Matters" articles reflect the latest real-world developments and are provided throughout each chapter to give readers a sense of how practitioners deal with various investment issues and use techniques. Other coverage includes an array of investment tools--presented through discussions on stocks, bonds, and other securities such as options and futures. A guide to reviewing, forecasting, and monitoring--for individuals preparing to make investments or take the CFA exam.

Download or read book Data Analysis and Related Applications Volume 1 written by Konstantinos N. Zafeiris and published by John Wiley & Sons. This book was released on 2022-08-17 with total page 484 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Dynamic strategy and performance of german equity and bond mutual funds written by Nikola Jelicic and published by diplom.de. This book was released on 2010-03-30 with total page 101 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:Introduction: Measuring performance of fund managers is a topic equally interesting to practitioners and researchers. Most common performance measures rely on the assumption of constant risk during the entire evaluation period. The measure of risk is the beta from the Capital Asset Pricing Model (CAPM). In order to better assess a manager s investment ability, additional factors could be employed to capture the different sources of risk. The manager owes each portion of the achieved return to a certain risk factor. The risks a manager is running can be summed up to form his personal benchmark, which thus reflects the investment style. Still, the exposures to the included risk factors are assumed to be constant. The dynamics of the capital markets had not been captured by the prevailing performance measures before an approach that controlled for varying economic conditions was suggested. Models that are based on this approach deliver a beta conditional on the market state. The manager s exposure to the risk of the own benchmark was thus allowed to vary in time. Consequently, the search for indicators of the market states was launched and a model framework which could accommodate the chosen indicators as part of the benchmark had to be chosen. Two model frameworks emerged and a couple of indicators established themselves as standard. This study largely follows the approach of Ferson and Schadt. They introduced a linear model that can be perceived as a conditional version of the CAPM. The aim of this study is not only to obtain performance measures which result from the conditional models. Since the variation in the exposure to market risk is accounted for, one who employs conditional models gains insight into fund manager s trading. If the trading is reflected in changes of the beta, then inference on fund strategy is made possible even though information on the portfolio structure is not provided. The explanatory power of a conditional model depends on the researcher selecting a representative benchmark for the funds in the sample and indicators of economic conditions that fund managers rely on in reality. The structure of this paper is the following: chapter 2 builds the theoretical foundation of conditional models and presents their two forms; chapter 3 relates this study to previous literature in the area; chapter 4 employs conditional models to evaluate strategies and performance of German fund managers; chapter 5 sums up the [...]

Download or read book Handbook of the Economics of Finance SET Volumes 2A 2B written by George M. Constantinides and published by Newnes. This book was released on 2013-01-21 with total page 1732 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two-volume set of 23 articles authoritatively describes recent scholarship in corporate finance and asset pricing. Volume 1 concentrates on corporate finance, encompassing topics such as financial innovation and securitization, dynamic security design, and family firms. Volume 2 focuses on asset pricing with articles on market liquidity, credit derivatives, and asset pricing theory, among others. Both volumes present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek insightful perspectives and important details, they demonstrate how corporate finance studies have interpreted recent events and incorporated their lessons. - Covers core and newly-developing fields - Explains how the 2008 financial crises affected theoretical and empirical research - Exposes readers to a wide range of subjects described and analyzed by the best scholars

Download or read book Your Essential Guide to Quantitative Hedge Fund Investing written by Marat Molyboga and published by CRC Press. This book was released on 2023-07-18 with total page 317 pages. Available in PDF, EPUB and Kindle. Book excerpt: Your Essential Guide to Quantitative Hedge Fund Investing provides a conceptual framework for understanding effective hedge fund investment strategies. The book offers a mathematically rigorous exploration of different topics, framed in an easy to digest set of examples and analogies, including stories from some legendary hedge fund investors. Readers will be guided from the historical to the cutting edge, while building a framework of understanding that encompasses it all. Features Filled with novel examples and analogies from within and beyond the world of finance Suitable for practitioners and graduate-level students with a passion for understanding the complexities that lie behind the raw mechanics of quantitative hedge fund investment A unique insight from an author with experience of both the practical and academic spheres.

Download or read book Managing Fixed Income Portfolios written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 1997-06-15 with total page 572 pages. Available in PDF, EPUB and Kindle. Book excerpt: A contributed handbook on the complexities of portfolio management that includes the most up-to-date findings from leading practitioners in the fixed income securities market.

Download or read book Portfolio Performance Evaluation written by George O. Aragon and published by Now Publishers Inc. This book was released on 2008 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.

Download or read book Emerging Markets and the Global Economy written by Mohammed El Hedi Arouri and published by Academic Press. This book was released on 2013-12-26 with total page 927 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan - Concentrates on post-crisis roles of emerging markets in the global economy - Reports on key theoretical and technical developments in emerging financial markets - Forecasts future developments in linkages among developed and emerging economies