Download or read book The performance Analysis of German Mutual Funds investing in Small Cap Companies written by Maximilian Wegener and published by GRIN Verlag. This book was released on 2014-10-23 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Thesis (M.A.) from the year 2014 in the subject Business economics - Investment and Finance, grade: 7.5, Maastricht University, language: English, abstract: The following study examines the performance of mutual funds investing in small cap companies in the period from 1990 until 2013. Therefore, funds investing in small companies in Germany are tested on their ability to deliver risk-adjusted abnormal returns. The returns are risk-adjusted according to Fama French (1996) three-factor model, Carhart four-factor model and the liquidity adjusted five-factor model of Pastor and Stambaugh (2003). A separate examination of the internet crisis 2000 until 2003 and the financial crisis period 2008 until 2013 is done, to assess the ability of fund managers in isolation to examine their results in situations when their skills are most needed. On average, I conclude that fund managers, investing in the small capitalization segment in Germany, are not able to outperform the market even before fees.
Download or read book The Long Run Performance of German Stock Mutual Funds written by Olaf Grewe and published by . This book was released on 2004 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the risk-adjusted performance of open-end mutual funds which invest mainly in German stocks. After briefly discussing the institutional environment in which these funds operate, we focus on the benchmark problem and the risk adjustment problem. Our data set includes all German funds sold to the public in 1972, our performance analysis covers the time period 1973 to 1998. In our empirical analysis, we first look at the rates of return of individual funds and at the unweighted average rates of return of all funds in our sample. When we apply the Sharpe and Jensen measure to the latter time series in the traditional way, the funds underperform the appropriate benchmarks by approximately 1.5% per year, which is significant both from the statistical and the economic perspective. Applying the Sharpe and the Jensen measure in the traditional way creates a bias from the perspective of long-term investors, because the analysis is based on the arithmetic, not the geometric mean return. To avoid this bias we look, in a second step, at the returns of investors who risk adjust their fund investments ex-ante by borrowing or lending with the objective, that the future risk of his levered portfolio matches that of the chosen benchmark. When we again apply the Sharpe and the Jensen measure to the unweighted average rates of return, the underperformance is reduced by 40%. For large funds, on the average, the underperformance is less than for small funds. When we look at the value-weighted means of individual fund returns, the underperformance nearly disappears.
Download or read book Empirical Analysis of Mutual Funds investing in German Equity 1995 2015 written by Carsten Fritz and published by GRIN Verlag. This book was released on 2016-10-21 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2016 in the subject Economics - Finance, grade: 1,3, University of Regensburg (Centre of Finance), language: English, abstract: Financial markets are as complex as ever due to an accelerating development in the last decades. Especially evaluations of mutual fund performance have been a subject of interest since the introduction of financial services. In this thesis, a study on the performance of mutual funds investing in German equity from July 1995 to June 2015 is conducted. The aim is to find out if fund managers have sufficient skill to generate risk adjusted return in order to cover the cost imposed on the investors. Another purpose is to provide investors with relevant results. Inter alia, Jensen one-factor, Fama and French three-factor and the Carhart four-factor model are used as different benchmark models for performance. Paired bootstrap simulations suggest that, net of cost, a small fraction of fund managers do have sufficient skill to cover cost. For the bottom ranked funds, there is statistical evidence that their poor performance is caused by bad management, rather than by bad luck. The results for gross returns show that there is an unneglectable fraction of fund managers with good performance not due to luck. Compared to net returns, there is stronger evidence of skill, negative as well as positive. Form an investor’s point of view it seems rather beneficial to invest in passively managed vehicles. High costs eat into the return, and they are the main reason why the majority of actively managed funds end up with sub-par performance.
Download or read book Investment Performance and Market Share written by Jan Pieter Krahnen and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Performance Evaluation of German Large Cap Mutual Funds Relative to Different Benchmarks in the German Market written by Shuguang Bai and published by . This book was released on 2011 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Performance of German Mutual Funds written by Tolkin Saidov and published by . This book was released on 2008 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this article is analyzing the performance of the mutual funds that invest solely in German stock market by using the seven different approaches of performance measures. These seven measures are the standard CAPM Jensen's alpha, the Sharpe's ratio, the Treynor's ratio, the Sortino ratio, the Fama's ratio, the Information ratio and Fama-French's three-factor model. The study investigates the performance measurement results and ranking of mutual funds for the period between January 2001 to December 2006. Moreover, the paper shows whether fund rankings according to the different measures are significantly correlated and whether the performance measures identify the same funds as the best and the worst performing funds over the sample period.
Download or read book Mutual Fund Performance written by Silvia Coran and published by . This book was released on 2016-09-15 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Cost Efficiency of German Mutual Fund Complexes written by Alexander Schaefer and published by . This book was released on 2014 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Results from frontier analysis show that German investment management companies are far from being cost e fficient. The average investment management company may be able to reduce its costs by 48% to 75% when compared with the best-practice company in the sample. The level of e fficiency even decreases over the sample period. These results are conservative estimates, since the design of the research allows for the calculation of upper bounds on cost effi ciency. Based on a set of consistency conditions, the results are qualitatively the same within and across the di fferent approaches. The results for explaining the nature of cost e fficiency indicate that investment management companies with higher average fund sizes and providers of institutional funds are cost e fficient whereas providers of real estate funds are less cost e fficient than providers of security funds.
Download or read book Investment Behaviour of German Equity Fund Managers written by Torsten Arnswald and published by . This book was released on 2001 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Statistics of Financial Markets written by Szymon Borak and published by Springer Science & Business Media. This book was released on 2013-01-11 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Practice makes perfect. Therefore the best method of mastering models is working with them. This book contains a large collection of exercises and solutions which will help explain the statistics of financial markets. These practical examples are carefully presented and provide computational solutions to specific problems, all of which are calculated using R and Matlab. This study additionally looks at the concept of corresponding Quantlets, the name given to these program codes and which follow the name scheme SFSxyz123. The book is divided into three main parts, in which option pricing, time series analysis and advanced quantitative statistical techniques in finance is thoroughly discussed. The authors have overall successfully created the ideal balance between theoretical presentation and practical challenges.
Download or read book European Mutual Funds written by Noyes Data Corporation and published by . This book was released on 1973 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Equity Home Bias Puzzle written by Ian Cooper and published by . This book was released on 2013 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: Home bias - the empirical phenomenon that investors assign anomalously high weights to their own domestic assets - has puzzled academics for decades: financial theory predicts that an internationally well diversified portfolio of stocks and short-term bonds can reduce risk significantly without affecting expected return. Although the globalization of international equity markets has increased international investments, equity portfolios remain severely home biased today, and no single explanation seems to solve the puzzle completely. In this paper, we first provide a thorough description of the equity home bias phenomenon by defining, discussing, and applying the competing measures and presenting some estimates of the costs of under-diversification. Second, we evaluate the explanations for the equity home bias proposed in the literature such as information asymmetries, behavioral aspects, barriers to foreign investment, and governance issues, and conclude that each explanation on its own falls short, suggesting that the equity home bias probably reflects a combination of factors. Lastly, we review the implications of international under-diversification for portfolio formation and the cost of capital of companies.
Download or read book Manager Selection written by Scott Stewart and published by . This book was released on 2015 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: Manager selection is a critical step in implementing any investment program. Investors hire portfolio managers to act as their agents, and portfolio managers are then expected to perform to the best of their abilities and in the investors' best interests. Investors must practice due diligence when selecting portfolio managers. They need to not only identify skillful managers, but also determine the appropriate weights to assign to those managers. This book is designed to help investors improve their ability to select managers. Achieving this goal includes reviewing techniques for hiring active, indexed, and alternative managers; highlighting strategies for setting portfolio manager weights and monitoring current managers; and considering the value of quantitative and qualitative methods for successful manager selection.
Download or read book The Handbook of Equity Style Management written by T. Daniel Coggin and published by John Wiley & Sons. This book was released on 2003-04-07 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: A fully updated guide to equity style management Pioneered by Nobel laureate William Sharpe, equity style management is derived from a correlation analysis of various equity style categories, such as value, growth, small cap, large cap and foreign stocks. In the Third Edition of The Handbook of Equity Style Management, twenty contributors from industry and academia help readers understand various equity style management issues, including equity style indices, different approaches to equity style measurement, foreign stock investing, tactical style management, behavioral aspects of equity style, and equity style benchmarks for manager selection and performance attribution. This updated edition gives readers the rationale behind equity style management, and shows how new strategies can be used to manage risk and improve returns.
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 The Smartest Portfolio You ll Ever Own written by Daniel R. Solin and published by Penguin Group. This book was released on 2012-09-04 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: Acclaimed and bestselling author Dan Solin shows you how to create a SuperSmart Portfolio that follows the same strategies used by the most sophisticated investment advisers in the world—but previously unavailable to most do-it-yourself investors. Providing the specific information and guidance lacking in most investment guides, Solin leaves nothing to chance in this accessible and thoughtful guide that will put you in control of your investment future.
Download or read book Alternative Investments A Primer for Investment Professionals written by Donald R. Chambers and published by CFA Institute Research Foundation. This book was released on 2018 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alternative Investments: A Primer for Investment Professionals provides an overview of alternative investments for institutional asset allocators and other overseers of portfolios containing both traditional and alternative assets. It is designed for those with substantial experience regarding traditional investments in stocks and bonds but limited familiarity regarding alternative assets, alternative strategies, and alternative portfolio management. The primer categorizes alternative assets into four groups: hedge funds, real assets, private equity, and structured products/derivatives. Real assets include vacant land, farmland, timber, infrastructure, intellectual property, commodities, and private real estate. For each group, the primer provides essential information about the characteristics, challenges, and purposes of these institutional-quality alternative assets in the context of a well-diversified institutional portfolio. Other topics addressed by this primer include tail risk, due diligence of the investment process and operations, measurement and management of risks and returns, setting return expectations, and portfolio construction. The primer concludes with a chapter on the case for investing in alternatives.
