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CFR Working Papers, Centre for Financial Research (CFR), Universität Köln >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/41364
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Hunter, David | | en_US |
| dc.contributor.author | | Kandel, Eugene | | en_US |
| dc.contributor.author | | Kandel, Shmuel | | en_US |
| dc.contributor.author | | Wermers, Russ | | en_US |
| dc.date.accessioned | | 2010-10-19 | | en_US |
| dc.date.accessioned | | 2010-10-28T14:42:33Z | | - |
| dc.date.available | | 2010-10-28T14:42:33Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/41364 | | - |
| dc.description.abstract | | This paper develops a new approach that controls for commonalities in actively managed investment fund returns when measuring their performance. It is well-known that many investment funds may systematically load on common priced factors omitted from popular models, exhibit similarities in their choices of specific stocks and industries, or vary their risk-loadings in a similar way over time. We propose a parsimonious model that uses the return on the group of mutual funds as a benchmark for each individual fund within that group. We demonstrate that this model substantially reduces the correlation between fund residuals from standard models used for equity and fixed-income funds, and improves the estimates of fund α's and β's from commonly used equity and fixed-income models. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Centre for Financial Research Cologne | | en_US |
| dc.relation.ispartofseries | | CFR working paper 10-02 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.stw | | Investmentfonds | | en_US |
| dc.subject.stw | | Wertpapieranalyse | | en_US |
| dc.subject.stw | | Kapitalertrag | | en_US |
| dc.subject.stw | | Risiko | | en_US |
| dc.subject.stw | | Beta-Faktor | | en_US |
| dc.subject.stw | | Korrelation | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | USA | | en_US |
| dc.title | | Endogenous benchmarks | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 636990613 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | CFR Working Papers, Centre for Financial Research (CFR), Universität Köln
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