• Medientyp: E-Book
  • Titel: Holdings-Based Fund Performance Measures : Estimation and Inference
  • Beteiligte: Ferson, Wayne E. [VerfasserIn]; Wang, Junbo L. [Sonstige Person, Familie und Körperschaft]
  • Erschienen: [S.l.]: SSRN, [2018]
  • Umfang: 1 Online-Ressource (105 p)
  • Sprache: Englisch
  • DOI: 10.2139/ssrn.3188321
  • Identifikator:
  • Entstehung:
  • Anmerkungen: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 18, 2018 erstellt
  • Beschreibung: This paper introduces a panel regression framework for holdings-based investment performance measures. Fixed effects decompose performance into time series and cross-sectional predictive ability. Time-series predictive ability is the traditional focus, but cross-sectional ability strongly influences classical measures. A large component of the cross-sectional ability is “buy-and-hold drift,” where buy-and-hold weights drift towards higher alpha stocks. Controlling for this, we find that the time-series predictive ability of the typical equity mutual fund is insignificant or even negative before costs, and the cross-sectional predictive ability is typically no better than a buy-and-hold strategy
  • Zugangsstatus: Freier Zugang