Methods for mutual fund portfolio evaluation: an application to the Swedish market
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Göteborg
Nationalekonomiska Inst.
1997
|
| Schriftenreihe: | Ekonomiska studier
74 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 164, XII S. graph. Darst. |
| ISBN: | 9188514331 |
Internformat
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Datensatz im Suchindex
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|---|---|
| adam_text | Table of Contents
1 INTRODUCTION 1
2 DESCRIPTIVE ANALYSIS OF SWEDISH MUTUAL FUND
HOLDINGS 7
2.1 INTRODUCTION 7
2.2 A BACKGROUND OF THE SWEDISH MUTUAL FUND MARKET 9
2.2.1 A Brief History of the Swedish Mutual Fund Industry 9
2.2.2 A Brief Presentation of the Legislation for the Management of Allemans
fund Portfolios 11
2.3 SAMPLE DATA 12
2.4 DIVERSIFICATION 14
2.5 CORRELATION AMONG PORTFOLIOS 15
2.6 A TENDENCY TO MARKET TIMING 19
2.7 CONCLUSIONS 20
3 MEASURES OF PORTFOLIO PERFORMANCE A REVIEW 23
3.1 INTRODUCTION 23
3.2 THE CLASSICAL MEASURES OF PORTFOLIO PERFORMANCE 24
3.3 THE VALIDITY OF JENSEN S MEASURE OF PORTFOLIO
PRFORMANCE 29
3.4 A REVIEW OF THE EMPIRICAL STUDIES 38
3.5 A DECOMPOSITION OF THE OVERALL MEASURE OF ORTFOLIO
PERFORMANCE; MARKET TIMING AND SELECTIVITY 42
3.6 EVENT STUDY MEASURES OF PORTFOLIO PERFORMANCE 45
3.7 PERSISTENCE OF PORTFOLIO PERFORMANCE 46
3.8 FURTHER RESEARCH TOPICS ON THE MUTUAL FUND MARKET 47
4 TEST OF ZERO PERFORMANCE FOR PASSIVE PORTFOLIO
STRATEGIES 51
4.1 INTRODUCTION 51
4.2 THE VALIDITY OF JENSEN S MEASURE AND THE ZERO
PERFORMANCE TEST 55
4.3 ZERO PERFORMANCE TEST 60
4.4 DATA SELECTION AND TEST DESIGN 65
4.5 THE RESULTS FROM THE ZERO PERFORMANCE TESTS 68
4.6 AN ANALYSIS OF THE SIZE EFFECT 74
4.7 FURTHER RESULTS OF THE ZERO PERFORMANCE
TESTS 77
4.8 CONCLUSIONS 83
5 THE PERFORMANCE AND MEAN VARIANCE EFFICIENCY
OF THE SWEDISH MUTUAL FUND PORTFOLIOS: A
GENERAL EVALUATION 87
5.1 INTRODUCTION 87
5.2 MEASURE OF PORTFOLIO EFFICIENCY 90
5.3 PORTFOLIO PERFORMANCE VERSUS PORTFOLIO EFFICIENCY 94
5.4 ESTIMATION OF THE PERFORMANCE AND EFFICIENCY OF THE
SWEDISH MUTUAL FUNDS 98
5.5 MARKET TIMING VERSUS SELECTIVITY AMONG THE SWEDISH
MUTUAL FUND MANAGERS 105
5.6 PERSISTENCE OF PORTFOLIO PERFORMANCE 113
5.7 CONCLUSIONS 117
6 SURVIVORSHIP BIAS IN THE EVENT STUDY MEASURES OF
PORTFOLIO PERFORMANCE 121
6.1 INTRODUCTION 121
6.2 THEORETICAL BACKGROUND 123
6.3 ESTIMATION OF THE PORTFOLIO CHANGE MODEL (PCM) 130
6.4 EVIDENCE OF SURVIVORSHIP
BIAS 135
6.5 CORRECTING FOR POSSIBLE SOURCES OF SURVIVORSHIP BIAS 142
6.6 TEST OF VARIABLE MARKET RISK 148
6.7 COMPARISON OF THE RESULTS FROM U.S. AND SWEDEN 149
6.8 CONCLUSIONS 150
APPENDDC6A 155
APPENDIX 6B 157
7 SUMMARY AND CONCLUSIONS 159
BIBLIOGRAPHY
|
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| discipline | Wirtschaftswissenschaften |
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| genre_facet | Hochschulschrift |
| geographic | Schweden Schweden (DE-588)4077258-5 gnd |
| geographic_facet | Schweden |
| id | DE-604.BV011855771 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:17:30Z |
| institution | BVB |
| isbn | 9188514331 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008008191 |
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| physical | 164, XII S. graph. Darst. |
| publishDate | 1997 |
| publishDateSearch | 1997 |
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| publisher | Nationalekonomiska Inst. |
| record_format | marc |
| series | Ekonomiska studier |
| series2 | Ekonomiska studier |
| spelling | Zamanian, Max Verfasser aut Methods for mutual fund portfolio evaluation an application to the Swedish market Max Zamanian Göteborg Nationalekonomiska Inst. 1997 164, XII S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Ekonomiska studier 74 Zugl.: Göteborg, Univ., Diss., 1997 Mutual funds Sweden Portfolio management Sweden Investmentfonds (DE-588)4114047-3 gnd rswk-swf Offener Investmentfonds (DE-588)4305480-8 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Schweden Schweden (DE-588)4077258-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Schweden (DE-588)4077258-5 g Investmentfonds (DE-588)4114047-3 s Portfoliomanagement (DE-588)4115601-8 s DE-604 Offener Investmentfonds (DE-588)4305480-8 s Ekonomiska studier 74 (DE-604)BV000011510 74 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008008191&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Zamanian, Max Methods for mutual fund portfolio evaluation an application to the Swedish market Ekonomiska studier Mutual funds Sweden Portfolio management Sweden Investmentfonds (DE-588)4114047-3 gnd Offener Investmentfonds (DE-588)4305480-8 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4114047-3 (DE-588)4305480-8 (DE-588)4115601-8 (DE-588)4077258-5 (DE-588)4113937-9 |
| title | Methods for mutual fund portfolio evaluation an application to the Swedish market |
| title_auth | Methods for mutual fund portfolio evaluation an application to the Swedish market |
| title_exact_search | Methods for mutual fund portfolio evaluation an application to the Swedish market |
| title_full | Methods for mutual fund portfolio evaluation an application to the Swedish market Max Zamanian |
| title_fullStr | Methods for mutual fund portfolio evaluation an application to the Swedish market Max Zamanian |
| title_full_unstemmed | Methods for mutual fund portfolio evaluation an application to the Swedish market Max Zamanian |
| title_short | Methods for mutual fund portfolio evaluation |
| title_sort | methods for mutual fund portfolio evaluation an application to the swedish market |
| title_sub | an application to the Swedish market |
| topic | Mutual funds Sweden Portfolio management Sweden Investmentfonds (DE-588)4114047-3 gnd Offener Investmentfonds (DE-588)4305480-8 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Mutual funds Sweden Portfolio management Sweden Investmentfonds Offener Investmentfonds Portfoliomanagement Schweden Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008008191&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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