Download or read book Transaction cost Expenditures and the Relative Performance of Mutual Funds written by John M. R. Chalmers and published by . This book was released on 1999 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Transaction Cost Expenditures and the Relative Performance of Mutual Funds written by John Chalmers and published by . This book was released on 2008 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We directly estimate annual trading costs for a sample of equity mutual funds and find that these costs are large and exhibit substantial cross sectional variation. Trading costs average 0.78% of fund assets per year and have an inter-quartile range of 0.59%. Trading costs, like expense ratios, are negatively related to fund returns and we find no evidence that on average trading costs are recovered in higher gross fund returns. We find that our direct estimates of trading costs have more explanatory power for fund returns than turnover. Finally, trading costs are associated with investment objectives. However, variation in trading costs within investment objectives is greater than the variation across objectives.
Download or read book Assessing Mutual Fund Expenses and Transaction Costs written by John A. Haslem and published by . This book was released on 2016 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a first-step mutual funds study that provides analysis and disclosure of the elements of a newly defined total expense ratio, which includes the regulatory expense ratio, brokerage commissions, and implicit trading costs. Three structures are provided that identify whether a particular fund's total expense ratio is relatively reasonable or excessive relative to each of two benchmark funds. The concepts of expense effectiveness and breakeven rate of return are employed in this process. Mutual fund brokerage commissions and implicit trading costs vary significantly among various types and styles of domestic equity funds, and when summed they are not infrequently larger than a fund's regulatory expense ratio. This is true in the current study for Vanguard 500 Index Fund. The continuing bad news is that disclosure of brokerage commissions and implicit trading costs remains effectively hidden and completely hidden, respectively, from fund shareholders. This must change and this study provides an approach for doing so.
Download or read book Stochastic Dominance written by Haim Levy and published by Springer. This book was released on 2015-10-31 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: This fully updated third edition is devoted to the analysis of various Stochastic Dominance (SD) decision rules. It discusses the pros and cons of each of the alternate SD rules, the application of these rules to various research areas like statistics, agriculture, medicine, measuring income inequality and the poverty level in various countries, and of course, to investment decision-making under uncertainty. The book features changes and additions to the various chapters, and also includes two completely new chapters. One deals with asymptotic SD and the relation between FSD and the maximum geometric mean (MGM) rule (or the maximum growth portfolio). The other new chapter discusses bivariate SD rules where the individual’s utility is determined not only by his own wealth, but also by his standing relative to his peer group. Stochastic Dominance: Investment Decision Making under Uncertainty, 3rd Ed. covers the following basic issues: the SD approach, asymptotic SD rules, the mean-variance (MV) approach, as well as the non-expected utility approach. The non-expected utility approach focuses on Regret Theory (RT) and mainly on prospect theory (PT) and its modified version, cumulative prospect theory (CPT) which assumes S-shape preferences. In addition to these issues the book suggests a new stochastic dominance rule called the Markowitz stochastic dominance (MSD) rule corresponding to all reverse-S-shape preferences. It also discusses the concept of the multivariate expected utility and analyzed in more detail the bivariate expected utility case. From the reviews of the second edition: "This book is an economics book about stochastic dominance. ... is certainly a valuable reference for graduate students interested in decision making under uncertainty. It investigates and compares different approaches and presents many examples. Moreover, empirical studies and experimental results play an important role in this book, which makes it interesting to read." (Nicole Bäuerle, Mathematical Reviews, Issue 2007 d)
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 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 Quantitative Financial Economics written by Keith Cuthbertson and published by John Wiley & Sons. This book was released on 2005-05-05 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets. It provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. Emphasis is placed on theory, testing and explaining ‘real-world’ issues. The new edition will include: Updated charts and cases studies. New companion website allowing students to put theory into practice and to test their knowledge through questions and answers. Chapters on Monte Carlo simulation, bootstrapping and market microstructure.
Download or read book Common Sense on Mutual Funds written by John C. Bogle and published by John Wiley & Sons. This book was released on 1999 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: "A critical look at the mutual fund industry and how we invest, and ... a compelling course for change."--Jacket.
Download or read book Is Investor Rationality Time Varying written by Shimon Kogan and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide new empirical evidence suggesting that the marginal investor in mutual funds behaves differently across market conditions. If the marginal investor allocates capital across mutual funds rationally, then the relative performance of funds should be unpredictable. We find however that relative fund performance is predictable after periods of high market returns but not after periods of low market returns. The asymmetric predictability in performance we document cannot be explained by time-varying differences in transaction costs or style exposures between funds, or by sample selection. Consistent with the hypothesis that the asymmetric predictability in performance may be driven by unsophisticated investors' mistakes when allocating capital, we document that performance predictability is more pronounced for funds that cater to retail investors than for funds that cater to institutional investors.
Download or read book Chasing the Same Signals written by Brian R. Brown and published by John Wiley & Sons. This book was released on 2012-11-27 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: Conventional wisdom suggests that markets are efficient, random walks and that stock prices rise and fall with the fundamentals of the company. How then have black-box traders prospered and how do they exploit market inefficiencies? Are their strategies on their last legs or will they adapt to the new landscape amidst the global financial crisis? Chasing the Same Signals is a unique chronicle of the black-box industry's rise to prominence and their influence on the market place. This is not a story about what signals they chase, but rather a story on how they chase and compete for the same signals
Download or read book Investment Performance Measurement written by Philip Lawton, CIPM and published by John Wiley & Sons. This book was released on 2009-04-28 with total page 997 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment Performance Measurement Over the past two decades, the importance of measuring, presenting, and evaluating investment performance results has dramatically increased. With the growth of capital market data services, the development of quantitative analytical techniques, and the widespread acceptance of Global Investment Performance Standards (GIPS®), this discipline has emerged as a central component of effective asset management and, thanks in part to the Certificate in Investment Performance Measurement (CIPM) program, has become a recognized area of specialization for investment professionals. That's why Investment Performance Measurement: Evaluating and Presenting Results the second essential title in the CFA Institute Investment Perspectives series has been created. CFA Institute has a long tradition of publishing content from industry thought leaders, and now this new collection offers unparalleled guidance to those working in the rapidly evolving field of investment management. Drawing from the Research Foundation of CFA Institute, the Financial Analysts Journal, CFA Institute Conference Proceedings Quarterly, CFA Magazine, and the CIPM curriculum, this reliable resource taps into the vast store of knowledge of some of today's most prominent thought leaders from industry professionals to respected academics who have focused on investment performance evaluation for a majority of their careers. Divided into five comprehensive parts, this timely volume opens with an extensive overview of performance measurement, attribution, and appraisal. Here, you'll become familiar with everything from the algebra of time-weighted and money-weighted rates of return to the objectives and techniques of performance appraisal. After this informative introduction, Investment Performance Measurement moves on to: Provide a solid understanding of the theoretical grounds for benchmarking and the trade-offs encountered during practice in Part II: Performance Measurement Describe the different aspects of attribution analysis as well as the determinants of portfolio performance in Part III: Performance Attribution Address everything from hedge fund risks and returns to fund management changes and equity style shifts in Part IV: Performance Appraisal Recount the history and explain the provisions of the GIPS standards with attention paid to the many practical issues that arise in the course of its implementation in Part V: Global Investment Performance Standards Filled with invaluable insights from more than fifty experienced contributors, this practical guide will enhance your understanding of investment performance measurement and put you in a better position to present and evaluate results in the most effective way possible.
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 Handbook of Financial Engineering written by Constantin Zopounidis and published by Springer Science & Business Media. This book was released on 2010-07-25 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.
Download or read book Mutual Funds written by John A. Haslem and published by John Wiley & Sons. This book was released on 2009-11-02 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: An authoritative, must-read guide to making more informed decisions about mutual funds Providing a balance of theory and application, this authoritative book will enable you to evaluate the various performance and risk attributes of mutual funds. It covers a broad range of topics, including understanding the advantages and disadvantages of mutual funds, evaluating stock/bond allocations within fund portfolios, assessing fund diversification risk, measuring fund returns and risk, and making fund buy/sell decisions. While informative chapters combine clear summaries of existing research with practical guidelines for mutual fund analysis, step-by-step decision checklists guide you through the selection of various mutual funds. Puts the risks and rewards of mutual fund investing in perspective Skillfully examines how to select and evaluate the best mutual funds Outlines mutual fund service advantages and disadvantages Discusses the long- and short-term effectiveness of mutual funds Covering major theoretical and management issues in mutual fund analysis and portfolio management, this book is an authoritative guide.
Download or read book SECURITY ANALYSIS AND PORTFOLIO MANAGEMENT written by SAMUEL THOMAS and published by PHI Learning Pvt. Ltd.. This book was released on 2014-01-01 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book on Security Analysis and Portfolio Management is a comprehensive source of information and analysis for students and practitioners. The distinguishing feature of the book is the detailed coverage of the regulatory environment, which consists of the current and updated rules and regulations, tax-environment and the practice of investment in the securities market in India. The book has been written keeping in mind the potential investor and an average student. It addresses all their doubts and concerns and makes them informed about the money market. This well organised, lucidly written text covers various aspects of the portfolio management, ranging from analysis to revision and then performance evaluation of the portfolio. Also discusses in detail the securities market, derivatives and risk evaluation that helps in understanding the trading system better and making quality investment decisions. Besides explaining the theoretical concepts of portfolio management, the book provides a detailed analysis of the latest development in the securities trading. It is meant to be a ‘single window book’ covering the SAPM syllabus of almost all the Indian Universities and institutes conducting MBA/PGDM or MCom programmes. The book will be equally useful for the students of ICAI, ICWAI as well as for investment courses conducted by NSE. Key Features • Easy to understand by the readers even if they have not been exposed to higher mathematics.• Vast coverage of the SAPM topics.• Several worked-out problems in relevant chapters to aid and assist students and teacher alike.• Detailed discussion on Indian stock and share market in context to the country’s current scenario.
Download or read book The Mutual Fund as a Firm written by Mercer Eaton Bullard and published by . This book was released on 2005 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Selected Topics in Bond Portfolio Management written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 1997-06-15 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: The bond market is one of the largest and most important financial markets in the world. For professional investors, building and managing a portfolio of bonds to achieve above-market returns is a continual challenge. In Selected Topics in Bond Portfolio Management, leading experts discuss state-of-the-art strategies for managing indexed, corporate, high-yield, municipal, and global bond portfolios. Each chapter includes questions and answers to enhance the reader's understanding.
