Value At Risk Methodology For Measuring Performance Of Mutual Funds PDF Download
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| Author | : Anu Sahi |
| Publisher | : |
| Total Pages | : 16 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Value at Risk Methodology for Measuring Performance of Mutual Funds Book in PDF, ePub and Kindle
Mutual fund performance is an unending area of interest both for academicians as well as fund managers for the simple reason as it is a product meant for retail investor. A set of performance measures like Sharpe ratio, Jensen's Alpha are widely used measures. But in today's volatile market environment investor's mind is inundated with one major question i.e. what is maximum downside risk, if investment is made in mutual funds. Performance measures that consider both upward and downwards volatility might not be very useful for investors. Rather performance measures that consider risk by taking into account only losses, such as Value-at-Risk (VaR), is more appropriate technique to evaluate the performance. In the present study, standard VaR (Value at Risk) has been used to analyze the performance of public and private sector mutual funds. The present study uses Historical simulation, Normal VaR and Modified VaR techniques for calculating value at risk.
| 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 | : Anurag Pahuja |
| Publisher | : |
| Total Pages | : 29 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
Download Different Risk Adjusted Performance Measures for Equity Mutual Funds Book in PDF, ePub and Kindle
Traditional measures of performance evaluation are in vogue since long, however, Value at Risk (VaR) approaches are making their place in portfolio management industry from the last ten years. Value at Risk (VaR) approach focuses on the downside volatility of portfolio, thus making the investor clear about the maximum possible loss on his portfolio. In today's highly volatile environment, an investor is concerned more about the downside risk rather upward swing in the portfolio. He would hesitate to invest in a portfolio having more downward risk. Present paper makes an attempt to compare both the traditional and VaR performance measures and explore whether differences exist in ranking of funds using both the approaches. Results indicated that Sharpe ratio and Normal VaR results are same when used independently, while there is difference in results using Treynor and Jensen's Alpha.
| Author | : Raj S. Dhankar |
| Publisher | : Springer Nature |
| Total Pages | : 323 |
| Release | : 2019-10-24 |
| Genre | : Business & Economics |
| ISBN | : 8132239504 |
Download Risk-Return Relationship and Portfolio Management Book in PDF, ePub and Kindle
This book covers all aspects of modern finance relating to portfolio theory and risk–return relationship, offering a comprehensive guide to the importance, measurement and application of the risk–return hypothesis in portfolio management. It is divided into five parts: Part I discusses the valuation of capital assets and presents various techniques and models used in this context. Part II then addresses market efficiency and capital market models, particularly focusing on measuring market efficiency, which is a crucial factor in making correct investment decisions. It also analyzes the major capital market models like CAPM and APT to determine to what extent they are suitable for use in developing economies. Part III highlights the significance of risk–return analysis as a prerequisite for investment decisions, while Part IV examines the selection and performance appraisals of portfolios against the backdrop of the risk–return relationship. It also examines new tools such as the value-at-risk application for mutual funds and the applications of the price-to-earnings ratio in portfolio performance measurement. Lastly, Part V explores contemporary issues in finance, including the relevance of Islamic finance in the increasingly volatile global financial system.
| Author | : John Haslem |
| Publisher | : John Wiley & Sons |
| Total Pages | : 592 |
| Release | : 2009-02-09 |
| Genre | : Business & Economics |
| ISBN | : 1405142030 |
Download Mutual Funds Book in PDF, ePub and Kindle
This authoritative book enables readers to evaluate the variousperformance and risk attributes of mutual funds, while also servingas a comprehensive resource for students, academics, and generalinvestors alike. Avoiding the less useful descriptive approach tofund selection, this book employs a balanced approach includingboth technique and application. The chapters combine clearsummaries of existing research with practical guidelines for mutualfund analysis. Enables readers to analyze mutual funds by evaluating a fund'svarious performance and risk attributes. Includes templates, which provide an efficient, sound approachto fund analysis, interpretation of results, buy/sell decisions,and the timing of decisions. Combines clear summaries of existing research with practicalguidelines for mutual fund analysis.
| Author | : George O. Aragon |
| Publisher | : Now Publishers Inc |
| Total Pages | : 123 |
| Release | : 2008 |
| Genre | : Financial risk management |
| ISBN | : 1601980825 |
Download Portfolio Performance Evaluation Book in PDF, ePub and Kindle
This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.
| Author | : Bruce J. Feibel |
| Publisher | : John Wiley & Sons |
| Total Pages | : 371 |
| Release | : 2003-02-04 |
| Genre | : Business & Economics |
| ISBN | : 0471268496 |
Download Investment Performance Measurement Book in PDF, ePub and Kindle
Many investment books include a chapter or two on investment performance measurement or focus on a single aspect, but only one book addresses the breadth of the field. Investment Performance Measurement is a comprehensive guide that covers the subjects of performance and risk calculation, attribution, presentation, and interpretation. This information-packed book covers a wide range of related topics, including calculation of the returns earned by portfolios; measurement of the risks taken to earn these returns; measurement of the risk and return efficiency of the portfolio and other indicators of manager skill; and much more. By reviewing both the concepts of performance measurement and examples of how they are used, readers will gain the insight necessary to understand and evaluate the management of investment funds. Investment Performance Measurement makes extensive use of fully worked examples that supplement formulas and is a perfect companion to professional courses and seminars for analysts. Bruce J. Feibel, CFA, is Product Manager at Eagle Investment Systems, an investment management software provider located in Newton, Massachusetts. He is responsible for overseeing the development of Eagle's investment performance measurement, attribution, and AIMR/GIPS compliance software. Prior to joining Eagle, Mr. Feibel was a principal at State Street Global Advisors. He earned his BS in accounting from the University of Florida.
| Author | : Gregory Elmiger |
| Publisher | : John Wiley & Sons |
| Total Pages | : 271 |
| Release | : 2003-04-21 |
| Genre | : Business & Economics |
| ISBN | : 0471453560 |
Download RiskGrade Your Investments Book in PDF, ePub and Kindle
Praise for RiskGrade Your Investments "In the same way that the introduction of RiskMetrics raised the level of the discussion (and sometimes debate) regarding market risk measurement and management at large financial institutions, the introduction of RiskGrades and this book represent a major step in the understanding and application of risk measurement and management techniques by individual investors." -Charles Smithson, Managing Partner, Rutter Associates, and author of Managing Financial Risk What Others Are Saying About RiskGrades.com Forbes' best of the web 2002: "Savvy analysis, all free." "A new and impressive Web-based service that promises to offer a clue to the question of how risky is your portfolio. RiskMetrics has been measuring portfolio risk for big financial institutions since 1994 and now sheds some light on investor risk. RiskGrades helps investors combine risk and return to make proper investment decisions." -BusinessWeek "Owning a high percentage of company stock in a retirement plan--any more than 20 percent--is one of the riskiest propositions in investing, and yet employees almost never measure this risk objectively or reduce their positions. . . . It is easy to approximate investment risk. A useful tool for measuring risk is available through RiskMetrics Group's www.riskgrades.com, a service that will measure the volatility and return of single securities or whole portfolios against all asset classes and international regions." -Financial Times "Without divining what exactly a fund owns, the system simply distills risk down to the likelihood of finding a severe change in its value on a given day. . . . Running a few notable funds through the rating bath can be a useful check on what an investor is putting on the line for a given dollar of investment gains." -Barron's "Mathematicians and economists use complex computer programs to examine the effects of different shocks on different portfolios. Such tests have been used for several years by professionals who manage multimillion-dollar investment funds. But RiskMetrics, a spinoff of J.P. Morgan Chase, is now providing similar tools for individual investors. RiskMetrics runs a Web site, www.riskgrades.com, which investors can use free of charge. The Web site allows investors to stress-test individual stocks and mutual funds as well as portfolios." -The Wall Street Journal
| Author | : William Bain |
| Publisher | : Woodhead Publishing |
| Total Pages | : 226 |
| Release | : 1996-02-28 |
| Genre | : Business & Economics |
| ISBN | : 9781855731950 |
Download Investment Performance Measurement Book in PDF, ePub and Kindle
This book is split into four distinct sections to provide a complete account of investment performance measurement. The first section examines the development of the concept of performance measurement with the evolution of benchmarks and the increasing sophistication of performance analysis. The practical implications of performance measurement are tackled in the second section, with particular emphasis on the calculations that can be used to derive a rate of return for a fund and risk is also examined in detail. The third section covers the performance measurement of pension funds over the last 25 years and the lessons that can be learned about the investment performance and measurement process. The final section considers the future prospects for performance measurement and proposes potential future directions for the measurement of investment performance.
| Author | : V. Terraza |
| Publisher | : Springer |
| Total Pages | : 275 |
| Release | : 2013-05-20 |
| Genre | : Business & Economics |
| ISBN | : 1137273615 |
Download Understanding Investment Funds Book in PDF, ePub and Kindle
In light of recent financial crises, the role of investment funds is a recurring subject for discussion. Traditional methods must be adapted with the objective to strengthen scientific knowledge of investment funds. This book provides new insights, ideas and empirical evidence to improve tools and methods for fund performance analysis.
