Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/41364 
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dc.contributor.authorHunter, Daviden
dc.contributor.authorKandel, Eugeneen
dc.contributor.authorKandel, Shmuelen
dc.contributor.authorWermers, Russen
dc.date.accessioned2010-10-19-
dc.date.accessioned2010-10-28T14:42:33Z-
dc.date.available2010-10-28T14:42:33Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/41364-
dc.description.abstractThis 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.isoengen
dc.publisher|aUniversity of Cologne, Centre for Financial Research (CFR) |cCologneen
dc.relation.ispartofseries|aCFR working paper |x10-02en
dc.subject.ddc330en
dc.subject.stwInvestmentfondsen
dc.subject.stwWertpapieranalyseen
dc.subject.stwKapitalertragen
dc.subject.stwRisikoen
dc.subject.stwBeta-Faktoren
dc.subject.stwKorrelationen
dc.subject.stwSchätzungen
dc.subject.stwUSAen
dc.titleEndogenous benchmarks-
dc.type|aWorking Paperen
dc.identifier.ppn636990613en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfrwps:1002en

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