Constructing and Using Double-Adjusted Alphas to Analyze Mutual Fund Performance
نویسندگان
چکیده
منابع مشابه
Estimating the Dynamics of Mutual Fund Alphas and Betas
Consider an economy in which the underlying security returns follow a linear factor model with constant coefficients. While portfolios that invest in these securities will, in general, have a linear factor structure, it will be one with time-varying coefficients. However, under certain assumptions regarding the portfolio’s investment strategy, it is possible to estimate these time varying alpha...
متن کاملInternet Appendix to “False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas”
We use the bootstrap procedure proposed by Storey (2002) and Storey, Taylor, and Siegmund (2004) to estimate the proportion of zero-alpha funds in the population, 0. This resampling approach chooses from the data such that an estimate of the Mean Squared Error ( ) of b0 ( ) dened as (b0 ( ) 0) is minimized. First, we compute b0 ( ) using equation (5) of the paper across a range of values ( = 0...
متن کاملEvaluating Mutual Fund Performance
We study standard mutual fund performance measures, using simulated funds whose characteristics mimic actual funds. We find that performance measures used in previous mutual fund research have little ability to detect economically large magnitudes ~e.g., three percent per year! of abnormal fund performance, particularly if a fund’s style characteristics differ from those of the value-weighted m...
متن کاملStyle Dispersion and Mutual Fund Performance∗
We estimate investment style dispersions for individual actively managed equity mutual funds, which describe how widely fund investments are distributed around the core fund style along the dimensions of size, book-to-market, and momentum, respectively. We find that high style dispersions, especially that along the size dimension, are associated with superior fund performance, consistent with h...
متن کاملEmployment Networks and Mutual Fund Performance
This paper explores the role of social networks in the portfolio allocation decisions and performance of mutual fund managers. Using a novel dataset, I examine the past employment networks of both mutual fund managers and firm executives. I find that fund managers place larger bets and perform significantly better on firms when they are connected to a senior executive of that firm through overl...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2019
ISSN: 1556-5068
DOI: 10.2139/ssrn.3373598