Estimating Short Run Persistence In Mutual Fund Performance PDF Download
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Author | : Jenke ter Horst |
Publisher | : |
Total Pages | : |
Release | : 2006 |
Genre | : |
ISBN | : |
Download Estimating Short-Run Persistence in Mutual Fund Performance Book in PDF, ePub and Kindle
This paper analyzes the properties of a number of estimators that can be used to estimate short-run persistence in mutual fund returns. When data for different funds are pooled, it is advisable to correct for cross-sectional differences in expected returns. However, these adjustments may induce biases in the estimated persistence coefficients and thus lead to spurious persistence. Theoretical derivations, combined with a Monte Carlo study, show that these biases cannot be neglected for the samples that are typically used in applied work. The short-run persistence is estiamted in two samples of US open-end mutual funds using quarterly returns for 1987-1994. An important conclusion is that the results are quite sensitive to the estimation method that is employed.
Author | : s P. B. Bollen |
Publisher | : |
Total Pages | : |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Short-Term Persistence in Mutual Fund Performance Book in PDF, ePub and Kindle
We estimate parameters of standard stock selection and market timing models using daily mutual fund returns and quarterly measurement periods. We then rank funds quarterly by abnormal return and measure the performance of each decile the following quarter. The average abnormal return of the top decile in the post-ranking quarter is 39 basis points. The post-ranking abnormal return disappears when funds are evaluated over longer periods. These results suggest that superior performance is a short-lived phenomenon that is observable only when funds are evaluated several times a year.
Author | : Javier Vidal-García |
Publisher | : |
Total Pages | : 39 |
Release | : 2015 |
Genre | : |
ISBN | : |
Download The Short-Term Persistence of International Mutual Fund Performance Book in PDF, ePub and Kindle
This paper examines the short term persistence in performance of equity mutual funds around the world between 1990 and 2013. Using a large survivorship bias-free sample for 35 countries, we document strong evidence of persistence in daily mutual fund returns over quarterly measurement periods. We rank countries by abnormal return and estimate the performance of each country the following quarter. We find statistically and economically significant performance persistence, although persistence is much more pronounced for the top and bottom countries. The post-ranking abnormal return disappears when performance is examined over longer time periods. Thus, our results confirm that superior performance is a short-lived phenomenon.
Author | : Dunhong Jin |
Publisher | : International Monetary Fund |
Total Pages | : 46 |
Release | : 2019-11-01 |
Genre | : Business & Economics |
ISBN | : 1513519492 |
Download Swing Pricing and Fragility in Open-end Mutual Funds Book in PDF, ePub and Kindle
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.
Author | : Marno Verbeek |
Publisher | : |
Total Pages | : 40 |
Release | : 2006 |
Genre | : |
ISBN | : |
Download Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance Book in PDF, ePub and Kindle
Using monthly return data of more than 6,400 US equity mutual funds we investigate short-run performance persistence over the period 1984-2003. We sort funds into rank portfolios based on past performance, and evaluate the portfolios' out-of-sample performance. To cope with short ranking periods, we employ an empirical Bayes approach to measure past performance more efficiently. Our main finding is that when funds are sorted into decile portfolios based on 12-month ranking periods, the top decile of funds earns a statistically significant, abnormal return of 0.26 percent per month. This effect persists beyond load fees, and is mainly concentrated in relatively young, small cap/growth funds.
Author | : Evangelos Benos |
Publisher | : |
Total Pages | : 31 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Short Term Persistence in Mutual Fund Market Timing and Stock Selection Abilities Book in PDF, ePub and Kindle
Using daily return data from 448 actively managed mutual funds over a recent 9-year period, we look for persistence, over two consecutive quarters, in the ability of funds to select individual stocks and time the market. That is, we decompose overall fund performance into excess returns resulting from stock selection and timing abilities and we separately test for persistence in each ability. We find persistence in the ability to time the market only among well performing funds and in the ability to select stocks only among the very best and worst performers. The existing literature patterns appear only when funds are ranked by their overall performance, which includes stock selection, market timing and fees. With respect to overall performance, there is persistence among most poorly performing and only the top well performing funds. Furthermore, the profitability of a winner-picking strategy depends on the rebalancing frequency and potentially the size of the investment. Small investors cannot profit, whereas large investors can take advantage of the class A share fee structure and realize positive abnormal returns by annually rebalancing their portfolios.
Author | : Andreas Fagereng |
Publisher | : International Monetary Fund |
Total Pages | : 69 |
Release | : 2018-07-27 |
Genre | : Business & Economics |
ISBN | : 1484370066 |
Download Heterogeneity and Persistence in Returns to Wealth Book in PDF, ePub and Kindle
We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway’s administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their financial assets (a standard deviation of 14%) and on their net worth (a standard deviation of 8%). Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth: moving from the 10th to the 90th percentile of the financial wealth distribution increases the return by 3 percentage points - and by 17 percentage points when the same exercise is performed for the return to net worth. Fourth, wealth returns exhibit substantial persistence over time. We argue that while this persistence partly reflects stable differences in risk exposure and assets scale, it also reflects persistent heterogeneity in sophistication and financial information, as well as entrepreneurial talent. Finally, wealth returns are (mildly) correlated across generations. We discuss the implications of these findings for several strands of the wealth inequality debate.
Author | : Jon A. Christopherson |
Publisher | : McGraw Hill Professional |
Total Pages | : 14 |
Release | : 2009-05-15 |
Genre | : Business & Economics |
ISBN | : 0071733183 |
Download Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation Book in PDF, ePub and Kindle
Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performance. The authors highlight common mechanical problems involved in building benchmarks and clearly illustrate the resulting fallouts. The failure to choose the right investing performance benchmarks often leads to bad decisions or inaction and, inevitably, lost profits. In this book you will discover a foundation for benchmark construction and discuss methods for all different asset classes and investment styles.
Author | : Roy Henriksson |
Publisher | : |
Total Pages | : 0 |
Release | : 2023-07-18 |
Genre | : Business & Economics |
ISBN | : 9781021216878 |
Download On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills Book in PDF, ePub and Kindle
Author | : Peter Lückoff |
Publisher | : Springer Science & Business Media |
Total Pages | : 604 |
Release | : 2011-01-13 |
Genre | : Business & Economics |
ISBN | : 3834927805 |
Download Mutual Fund Performance and Performance Persistence Book in PDF, ePub and Kindle
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.