Asset allocation strategies for mutual funds: evaluating performance, risk and return
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cham
Palgrave Macmillan
[2021]
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xxix, 462 Seiten Illustrationen |
| ISBN: | 9783030761271 |
Internformat
MARC
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| 650 | 4 | |a Capital Markets | |
| 650 | 4 | |a Bank marketing | |
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| 650 | 4 | |a Capital market | |
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Datensatz im Suchindex
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| adam_text | Contents 1 What Is a Mutual Fund? 1 2 3 4 What Is a Mutual Fundi Prospectus Time Value of Mutual FundInvestment Mutual Funds Advantages and Disadvantages 4.1 Mutual Fund Benefits 4.2 Mutual Fund Disadvantages 5 How to Buy and Sell Mutual Funds 6 Depositary Bank 7 Fund Structures 8 Classification of Funds by Types of Asset Class or Underlying Investments 8.1 Equity Funds 8.2 Fixed-Income or Bond Funds 8.3 Money Market Funds 8.4 Mixed or Balanced Funds 8.5 Alternative Funds and Socially Responsible Funds 8.6 Pension Funds 9 Fund Fees 10 Regulation and Operation 10.1 The U.S. Market 10.2 European Union I 1 4 9 10 11 12 13 14 15 19 19 21 22 22 23 24 24 32 33 35 xiii
xiv 2 CONTENTS 11 Share Classes 12 Tax Considerations References 39 40 42 Performance 43 43 46 49 49 51 52 53 59 60 67 72 75 86 89 94 94 95 96 97 97 98 ИЗ П6 1 2 3 Introduction Previous Findings in Academic Literature Baseline Metrics of Fund Performance 3.1 Equilibrium Models 3.2 Return Base Measures 3.3 Descriptive Statistics of the Sample 3.4 Risk Adjusted Performance Measures 4 Risk Factor Performance Measures 4.1 Unconditional Factor Models 4.2 Empirical Results 4.3 Conditional Factor Models 4.4 Empirical Results 5 Market Timing 6 The Style-Based Analysis 7 Determinants of Fund Performance 7.1 Fund Size 7.2 Age 7.3 Fees 7.4 Flows 7.5 Past Performance 7.6 Empirical Analysis 8 Performance-Decomposition Methodology 9 Estimating Bond Fund Alphas 10 Correlation Analysis Across Various Performance Measures 11 Style-Based Portfolio Formation 11.1 Results for Style-Based Portfolios References 3 Size 1 2 3 Introduction Previous Findings in Academic Literature Methodology and Empirical Results 3.1 Time-Series Portfolio Approach 122 136 137 144 151 151 155 162 165
CONTENTS 3.2 3.3 Relationship Between Fund Size and Performance: Model Specification in Regression Analysis Relationship Between Fund Size and Performance: Empirical Results References 4 Active Management 1 Introduction 2 Previous Findings in Academic Literature 3 Active Management Measures 3.1 Active Share 3.2 Tracking Error 3.3 Measure of Active Management Based on R2 3.4 Industry Concentration Index 4 Portfolio Sorted by the Two Dimensions of Active Management: Active Share vs. Tracking Error 5 Mutual Fund’s R2 as Predictor of Performance 6 Fund Portfolio Performance Based on Sorting by Lagged R 7 Predicting Fund Performance Measured by Alpha with W-Squared 8 Fund Performance in a Multivariate Regression Over the Two Dimensions of Active Management References 5 Flows 1 Introduction 2 Flows and Fund Characteristics (Other Than Performance) in Academic Literature 3 Mutual Fund Flows and Performance in Academic Literature 4 Methodology and Empirical Results 4.1 Flow Computation 4.2 Flow and Return: Multivariate Approach 4.3 Performance of Flow Portfolios References XV 173 176 187 191 191 192 195 195 197 200 204 205 207 209 213 216 223 225 225 227 232 237 237 237 254 264
xvi CONTENTS 6 Persistence 1 2 3 Introduction Previous Findings in Literature Methodology and Empirical Results 3.1 Ranked Portfolios Approach 3.2 Longer-Term Persistence in Mutual Fund Portfolios 3.3 Contingency Tables 3.4 Cross-Sectional Regression 3.5 BOND Mutual Fund 3.6 Performance Persistence Over Different Holding Periods References 7 Volatility 1 Introduction 2 Previous Findings in Literature 3 Methodology and Empirical Results 3.1 The Performance of Low and High Volatility Mutual Funds 3.2 How Long Does Volatility Persist as a Predictor of Future Fund Performance1 3.3 Past Volatility Predicts Future Performance? 3.4 Persistence in Fund Volatility References 8 Diversification 1 2 3 Introduction Previous Findings in Literature Methodology and Empirical Results 3.1 The Art and Science of Diversification 3.2 Diversification in Practice: NaiveDiversification 3.3 Return and Volatility 3.4 Skewness and Kurtasis 3.5 Downside Risk Statistics 3.6 Correlation Statistics 3.7 Measures of Concentration 3.8 Mean-Variance Diversification 269 269 272 279 279 287 290 299 300 305 309 317 317 318 323 323 329 335 339 343 347 347 351 355 355 355 357 369 375 396 401 406
CONTENTS 3.9 9 Investor Portfolios Relative to Benchmark Portfolios xvii References 412 423 Rating 427 1 Introduction—Background on Morningstar’s Star Rating 2 Previous Findings in Academic Literature 3 Methodology and Empirical Results 3.1 Morningstar Stars Attribution 3.2 Measuring the Persistence of Ratings 3.3 The Europerformance/Edhec Ratting Methodology 3.4 Dummy Variable Regression Analysis 3.5 Timing and Measurement of Fund Flows 3.6 Frequency of Star Rating Change Events 3.7 Summary Statistics for Funds Characteristics and Star Ratings 3.8 Event Study Method for Calculating Abnormal Flow 3.9 Assessment of the Economic Significance of Flow Response to Star Rating Changes References Index 427 430 431 431 432 433 433 435 437 437 447 450 451 453
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| adam_txt |
Contents 1 What Is a Mutual Fund? 1 2 3 4 What Is a Mutual Fundi Prospectus Time Value of Mutual FundInvestment Mutual Funds Advantages and Disadvantages 4.1 Mutual Fund Benefits 4.2 Mutual Fund Disadvantages 5 How to Buy and Sell Mutual Funds 6 Depositary Bank 7 Fund Structures 8 Classification of Funds by Types of Asset Class or Underlying Investments 8.1 Equity Funds 8.2 Fixed-Income or Bond Funds 8.3 Money Market Funds 8.4 Mixed or Balanced Funds 8.5 Alternative Funds and Socially Responsible Funds 8.6 Pension Funds 9 Fund Fees 10 Regulation and Operation 10.1 The U.S. Market 10.2 European Union I 1 4 9 10 11 12 13 14 15 19 19 21 22 22 23 24 24 32 33 35 xiii
xiv 2 CONTENTS 11 Share Classes 12 Tax Considerations References 39 40 42 Performance 43 43 46 49 49 51 52 53 59 60 67 72 75 86 89 94 94 95 96 97 97 98 ИЗ П6 1 2 3 Introduction Previous Findings in Academic Literature Baseline Metrics of Fund Performance 3.1 Equilibrium Models 3.2 Return Base Measures 3.3 Descriptive Statistics of the Sample 3.4 Risk Adjusted Performance Measures 4 Risk Factor Performance Measures 4.1 Unconditional Factor Models 4.2 Empirical Results 4.3 Conditional Factor Models 4.4 Empirical Results 5 Market Timing 6 The Style-Based Analysis 7 Determinants of Fund Performance 7.1 Fund Size 7.2 Age 7.3 Fees 7.4 Flows 7.5 Past Performance 7.6 Empirical Analysis 8 Performance-Decomposition Methodology 9 Estimating Bond Fund Alphas 10 Correlation Analysis Across Various Performance Measures 11 Style-Based Portfolio Formation 11.1 Results for Style-Based Portfolios References 3 Size 1 2 3 Introduction Previous Findings in Academic Literature Methodology and Empirical Results 3.1 Time-Series Portfolio Approach 122 136 137 144 151 151 155 162 165
CONTENTS 3.2 3.3 Relationship Between Fund Size and Performance: Model Specification in Regression Analysis Relationship Between Fund Size and Performance: Empirical Results References 4 Active Management 1 Introduction 2 Previous Findings in Academic Literature 3 Active Management Measures 3.1 Active Share 3.2 Tracking Error 3.3 Measure of Active Management Based on R2 3.4 Industry Concentration Index 4 Portfolio Sorted by the Two Dimensions of Active Management: Active Share vs. Tracking Error 5 Mutual Fund’s R2 as Predictor of Performance 6 Fund Portfolio Performance Based on Sorting by Lagged R" 7 Predicting Fund Performance Measured by Alpha with W-Squared 8 Fund Performance in a Multivariate Regression Over the Two Dimensions of Active Management References 5 Flows 1 Introduction 2 Flows and Fund Characteristics (Other Than Performance) in Academic Literature 3 Mutual Fund Flows and Performance in Academic Literature 4 Methodology and Empirical Results 4.1 Flow Computation 4.2 Flow and Return: Multivariate Approach 4.3 Performance of Flow Portfolios References XV 173 176 187 191 191 192 195 195 197 200 204 205 207 209 213 216 223 225 225 227 232 237 237 237 254 264
xvi CONTENTS 6 Persistence 1 2 3 Introduction Previous Findings in Literature Methodology and Empirical Results 3.1 Ranked Portfolios Approach 3.2 Longer-Term Persistence in Mutual Fund Portfolios 3.3 Contingency Tables 3.4 Cross-Sectional Regression 3.5 BOND Mutual Fund 3.6 Performance Persistence Over Different Holding Periods References 7 Volatility 1 Introduction 2 Previous Findings in Literature 3 Methodology and Empirical Results 3.1 The Performance of Low and High Volatility Mutual Funds 3.2 How Long Does Volatility Persist as a Predictor of Future Fund Performance1 3.3 Past Volatility Predicts Future Performance? 3.4 Persistence in Fund Volatility References 8 Diversification 1 2 3 Introduction Previous Findings in Literature Methodology and Empirical Results 3.1 The Art and Science of Diversification 3.2 Diversification in Practice: NaiveDiversification 3.3 Return and Volatility 3.4 Skewness and Kurtasis 3.5 Downside Risk Statistics 3.6 Correlation Statistics 3.7 Measures of Concentration 3.8 Mean-Variance Diversification 269 269 272 279 279 287 290 299 300 305 309 317 317 318 323 323 329 335 339 343 347 347 351 355 355 355 357 369 375 396 401 406
CONTENTS 3.9 9 Investor Portfolios Relative to Benchmark Portfolios xvii References 412 423 Rating 427 1 Introduction—Background on Morningstar’s Star Rating 2 Previous Findings in Academic Literature 3 Methodology and Empirical Results 3.1 Morningstar Stars Attribution 3.2 Measuring the Persistence of Ratings 3.3 The Europerformance/Edhec Ratting Methodology 3.4 Dummy Variable Regression Analysis 3.5 Timing and Measurement of Fund Flows 3.6 Frequency of Star Rating Change Events 3.7 Summary Statistics for Funds Characteristics and Star Ratings 3.8 Event Study Method for Calculating Abnormal Flow 3.9 Assessment of the Economic Significance of Flow Response to Star Rating Changes References Index 427 430 431 431 432 433 433 435 437 437 447 450 451 453 |
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| isbn | 9783030761271 |
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| spelling | Galloppo, Giuseppe Verfasser (DE-588)1242181415 aut Asset allocation strategies for mutual funds evaluating performance, risk and return Giuseppe Galloppo Cham Palgrave Macmillan [2021] xxix, 462 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Financial Services Business Finance Capital Markets Bank marketing Business enterprises—Finance Capital market Erscheint auch als Online-Ausgabe 978-3-030-76128-8 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032876675&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Galloppo, Giuseppe Asset allocation strategies for mutual funds evaluating performance, risk and return Financial Services Business Finance Capital Markets Bank marketing Business enterprises—Finance Capital market |
| title | Asset allocation strategies for mutual funds evaluating performance, risk and return |
| title_auth | Asset allocation strategies for mutual funds evaluating performance, risk and return |
| title_exact_search | Asset allocation strategies for mutual funds evaluating performance, risk and return |
| title_exact_search_txtP | Asset allocation strategies for mutual funds evaluating performance, risk and return |
| title_full | Asset allocation strategies for mutual funds evaluating performance, risk and return Giuseppe Galloppo |
| title_fullStr | Asset allocation strategies for mutual funds evaluating performance, risk and return Giuseppe Galloppo |
| title_full_unstemmed | Asset allocation strategies for mutual funds evaluating performance, risk and return Giuseppe Galloppo |
| title_short | Asset allocation strategies for mutual funds |
| title_sort | asset allocation strategies for mutual funds evaluating performance risk and return |
| title_sub | evaluating performance, risk and return |
| topic | Financial Services Business Finance Capital Markets Bank marketing Business enterprises—Finance Capital market |
| topic_facet | Financial Services Business Finance Capital Markets Bank marketing Business enterprises—Finance Capital market |
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