Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/41364
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dc.contributor.authorHunter, Daviden_US
dc.contributor.authorKandel, Eugeneen_US
dc.contributor.authorKandel, Shmuelen_US
dc.contributor.authorWermers, Russen_US
dc.date.accessioned2010-10-19en_US
dc.date.accessioned2010-10-28T14:42:33Z-
dc.date.available2010-10-28T14:42:33Z-
dc.date.issued2009en_US
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_US
dc.language.isoengen_US
dc.publisher|aCentre for Financial Research |cCologneen_US
dc.relation.ispartofseries|aCFR working paper |x10-02en_US
dc.subject.ddc330en_US
dc.subject.stwInvestmentfondsen_US
dc.subject.stwWertpapieranalyseen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwRisikoen_US
dc.subject.stwBeta-Faktoren_US
dc.subject.stwKorrelationen_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titleEndogenous benchmarksen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn636990613en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfrwps:1002-

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