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Fund Returns (fund + return)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting88%

Selected Abstracts

Identifying the Risk Structure of Mutual Fund Returns

EUROPEAN FINANCIAL MANAGEMENT, Issue 2 2001
Martin J. Gruber
First page of article [source]

Luck versus Skill in the Cross-Section of Mutual Fund Returns

THE JOURNAL OF FINANCE, Issue 5 2010
EUGENE F. FAMA
ABSTRACT The aggregate portfolio of actively managed U.S. equity mutual funds is close to the market portfolio, but the high costs of active management show up intact as lower returns to investors. Bootstrap simulations suggest that few funds produce benchmark-adjusted expected returns sufficient to cover their costs. If we add back the costs in fund expense ratios, there is evidence of inferior and superior performance (nonzero true ,) in the extreme tails of the cross-section of mutual fund , estimates. [source]

On the Use of Multifactor Models to Evaluate Mutual Fund Performance

FINANCIAL MANAGEMENT, Issue 1 2009
Joop Huij
We show that multifactor performance estimates for mutual funds suffer from systematic biases and argue that these biases are a result of miscalculating the factor premiums. Because the factor proxies are based on hypothetical stock portfolios and do not incorporate transaction costs, trade impact, and trading restrictions, the factor premiums are either over- or underestimated. We argue that factor proxies based on mutual fund returns rather than on stock returns provide better benchmarks to evaluate professional money managers. [source]

Security Concentration and Active Fund Management: Do Focused Funds Offer Superior Performance?

FINANCIAL REVIEW, Issue 1 2008
Travis Sapp
G11; G20 Abstract We examine gross fund returns based on the number of securities held and find no evidence that focused funds outperform diversified funds. After deducting expenses, focused funds significantly underperform. Controlling for various fund characteristics, fund performance is positively related to the fund's number of holdings both before and after expenses. We find evidence linking focused fund underperformance to agency and liquidity problems. Finally, the attrition rate of focused funds is higher than that of diversified funds. These results do not support the view that managers holding focused portfolios have superior stock-picking skills or that focused funds provide value to investors. [source]

The persistence in hedge fund performance: extended analysis

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 3 2009
Daniel P. J. Capocci
Abstract This study analyses and decomposes hedge fund returns to detect a systematic hedge fund selection criterion that enables investors to consistently and significantly outperform classical equities and bond indices over a full market cycle and over bullish and bearish market periods. The methodology used is adapted from Capocci and Hübner. The measures used include the returns, the volatility, the Sharpe score, the alpha, the beta, the skewness and the kurtosis. Measures incorporating the volatility display very strong ability to assist investors in creating alpha and consistently and significantly outperform classical indices. A sub-period analysis is performed to check the robustness of the results. Copyright © 2008 John Wiley & Sons, Ltd. [source]

Seasonality in Fund Performance: An Examination of the Portfolio Holdings and Trades of Investment Managers

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 7-8 2006
David R. Gallagher
Abstract:, This study examines the extent to which seasonal variation arises across calendar months in the performance of active Australian equity managers. While it is well documented that there is seasonality in equity market returns, it is unknown whether calendar month variation in managed fund performance exists. Employing a unique database of monthly stock holdings, we find evidence consistent with systematic variation in the risk-adjusted performance of active investment managers over the calendar year. Specifically, we find fund performance is higher in the months when corporate earnings are announced. We also document that the performance of fund managers is lower in the months preceding the tax year-end. Finally, we report evidence that investment manager performance is greater than normal in December, possibly due to both window dressing and the Christmas holiday effect. These findings have important implications for investors attempting to exploit anomalies in fund returns by timing their entry and exit points from active equity funds. [source]

Judging Fund Managers by the Company They Keep

THE JOURNAL OF FINANCE, Issue 3 2005
RANDOLPH B. COHEN
ABSTRACT We develop a performance evaluation approach in which a fund manager's skill is judged by the extent to which the manager's investment decisions resemble the decisions of managers with distinguished performance records. The proposed performance measures use historical returns and holdings of many funds to evaluate the performance of a single fund. Simulations demonstrate that our measures are particularly useful in ranking managers. In an application that relies on such ranking, our measures reveal strong predictability in the returns of U.S. equity funds. Our measures provide information about future fund returns that is not contained in the standard measures. [source]

A comparison of alternative approaches for determining the downside risk of hedge fund strategies

THE JOURNAL OF FUTURES MARKETS, Issue 3 2009
Daniel Giamouridis
In this study, we compare a number of different approaches for determining the Value at Risk (VaR) and Expected Shortfall (ES) of hedge fund investment strategies. We compute VaR and ES through both model-free and mean/variance and distribution model-based methods. Certain specifications of the models that we considered can technically address the typical characteristics of hedge fund returns such as autocorrelation, asymmetry, fat tails, and time-varying variances. We find that conditional mean/variance models coupled with appropriate assumptions on the empirical distribution can improve the prediction accuracy of VaR. In particular, we observed the highest prediction accuracy for the predictions of 1% VaR. We also find that the goodness of ES prediction models is primarily influenced by the distribution model rather than the mean/variance specification. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:244,269, 2009 [source]

Naïve Diversification in the Swedish Premium Pension Scheme: Experimental Evidence

APPLIED PSYCHOLOGY, Issue 3 2009
Ted Martin Hedesström
In the Swedish Premium Pension Scheme (PPS) all citizens in paid employment allocate part of their public pension savings to mutual funds. In so doing they tend to distribute their choices maximally across different stock fund categories. It is hypothesised that this reflects the naïve application of a variety-inducing diversification heuristic. The results of two experiments simulating choices of fund categories in the PPS support this hypothesis by showing that participating undergraduates chose stock funds investing in overlapping and non-overlapping markets or industries in a way demonstrating failure to take into account covariation among fund returns. Administrators of the PPS and similar defined-contribution pension plans should provide participants with comprehensive advice on how to diversify their investment. Dans le régime de retraite suédois (PPS), tous les citoyens ayant un emploi salarié allouent une part de l'épargne de leur retraite publique à des fonds d'investissements. Ce faisant, ils tendent majoritairement à répartir leurs choix dans différentes catégories de fonds. On a fait l'hypothèse que cela reflète l'application naïve d'une heuristique de la diversification. Les résultats de deux expérimentations simulant des choix entre différentes catégories de fonds pour le PPS confirment cette hypothèse : les sujets (étudiants) ont choisi des fonds en actions et devaient investir sur des marchés ou dans des branches industrielles relevant ou non du même secteur économique et cela d'une façon qui mettait en évidence leur incapacitéà prendre en considération le fait que le retour sur investissement de différents fonds pouvait être lié. Les administrateurs du PPS et de plans de pensions avec versements programmés devraient fournir aux participants des conseils avisés sur la façon de diversifier leur investissement. [source]