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https://hdl.handle.net/10419/41364
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hunter, David | en |
dc.contributor.author | Kandel, Eugene | en |
dc.contributor.author | Kandel, Shmuel | en |
dc.contributor.author | Wermers, Russ | en |
dc.date.accessioned | 2010-10-19 | - |
dc.date.accessioned | 2010-10-28T14:42:33Z | - |
dc.date.available | 2010-10-28T14:42:33Z | - |
dc.date.issued | 2009 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aUniversity of Cologne, Centre for Financial Research (CFR) |cCologne | en |
dc.relation.ispartofseries | |aCFR working paper |x10-02 | en |
dc.subject.ddc | 330 | en |
dc.subject.stw | Investmentfonds | en |
dc.subject.stw | Wertpapieranalyse | en |
dc.subject.stw | Kapitalertrag | en |
dc.subject.stw | Risiko | en |
dc.subject.stw | Beta-Faktor | en |
dc.subject.stw | Korrelation | en |
dc.subject.stw | Schätzung | en |
dc.subject.stw | USA | en |
dc.title | Endogenous benchmarks | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 636990613 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:cfrwps:1002 | en |
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