Essays on the performance of actively managed mutual funds:
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VI, 128 S. graph. Darst. |
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| adam_text | Titel: Essays on the performance of actively managed mutual funds
Autor: Herrmann, Ulf
Jahr: 2013
Contents
I. Introduction.........................................................................................................................1
1. Motivation and research questions...............................................................................1
2. Research objectives......................................................................................................4
II. Short-term persistence in hybrid mutual fund performance: The role of style-shifting
abilities..............................................................................................................................11
1. Introduction and literature..........................................................................................12
2. Methodology and performance measures..................................................................15
3. Data and summary statistics.......................................................................................19
4. Simulation analysis....................................................................................................24
5. Empirical results.........................................................................................................30
5.1 Performance of hybrid mutual funds................................................................30
5.2 Performance persistence...................................................................................34
6. Summary and conclusion...........................................................................................42
Appendix A: Extended C-sector and C-maturity models..........................................44
Appendix B: Asset composition of hybrid mutual fund subsamples.........................47
Appendix C: Performance measures based on multifactor TM models....................48
Appendix D: Performance measures based on multifactor HM models....................50
Appendix E: Changes in style exposures due to Lehman Brothers collapse.............53
III. Does style-shifting activity predict performance? Evidence from hybrid mutual funds.. 59
1. Introduction and literature..........................................................................................60
2. Empirical models and measures of active management............................................62
3. Empirical data............................................................................................................64
4. Fund characteristics and activity as performance predictor.......................................68
4.1 Fund characteristics and determinants of style-shifting activity......................68
4.2 Relation between current activity and future performance...............................73
4.3 Economic value of predicting fund performance based on activity.................79
5. Summary and Conclusion..........................................................................................85
Appendix A: Main results for an alternative definition of style-shifting activity......88
Appendix B: Average characteristics of fund portfolios............................................90
IV. Does shifting in country exposures add value? A closer look at European equity
funds..................................................................................................................................95
1. Introduction and literature..........................................................................................96
2. Measures of active management................................................................................99
3. Data and summary statistics.....................................................................................101
4. Country-shifting activity as performance predictor.................................................105
4.1 Cross-sectional regressions.............................................................................107
4.2 Economic relevance in predicting performance based on activity.................109
5. Summary and conclusion.........................................................................................115
Appendix A: Logistic transformed R-squared as performance predictor................117
Appendix B: Portfolios sorted on tracking error and fund performance (alpha).....121
V. Conclusion.......................................................................................................................127
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| indexdate | 2024-07-10T00:39:35Z |
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| language | English |
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| spelling | Herrmann, Ulf Verfasser (DE-588)1036631621 aut Essays on the performance of actively managed mutual funds vorgelegt von Ulf Herrmann 2013 VI, 128 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Erlangen-Nürnberg, Univ., Diss., 2013 Investmentfonds (DE-588)4114047-3 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4113937-9 Hochschulschrift gnd-content Investmentfonds (DE-588)4114047-3 s b DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026076353&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Herrmann, Ulf Essays on the performance of actively managed mutual funds Investmentfonds (DE-588)4114047-3 gnd |
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| title | Essays on the performance of actively managed mutual funds |
| title_auth | Essays on the performance of actively managed mutual funds |
| title_exact_search | Essays on the performance of actively managed mutual funds |
| title_full | Essays on the performance of actively managed mutual funds vorgelegt von Ulf Herrmann |
| title_fullStr | Essays on the performance of actively managed mutual funds vorgelegt von Ulf Herrmann |
| title_full_unstemmed | Essays on the performance of actively managed mutual funds vorgelegt von Ulf Herrmann |
| title_short | Essays on the performance of actively managed mutual funds |
| title_sort | essays on the performance of actively managed mutual funds |
| topic | Investmentfonds (DE-588)4114047-3 gnd |
| topic_facet | Investmentfonds Aufsatzsammlung Hochschulschrift |
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