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This paper applies specific quantitative methods to demonstrate a general theoretical model for measuring strategic performance. The theoretical concepts are universal and measurable for all types of strategic activity by applying the methodology through alternative quantitative analytical...
Persistent link: https://www.econbiz.de/10013118148
We use portfolio holdings to show that mutual funds preferentially trade stocks according to the stocks' sentiment betas. Stocks with high sentiment betas are more responsive to investor sentiment and increase (decrease) in value as sentiment increases (decreases). Sentiment-based trades may be...
Persistent link: https://www.econbiz.de/10013090429
In this article we examine the risk factors that help explain long/short equity (LSE) mutual fund performance. We show that for most LSE mutual funds, 50%-80% of their returns can be explained using common factors such as capitalization, book-to-value ratio, dividend yield, and volatility. The...
Persistent link: https://www.econbiz.de/10013057772
This paper illustrates how qualitative analysis can be incorporated into quantitative risk measurement in order to construct an expected distribution of hedge fund returns that explicitly allows for market, residual and tail risk. We show how the combination of statistical criteria with...
Persistent link: https://www.econbiz.de/10013148250
The paper investigates the degree to which the domestic equity mutual fund is diversified, and attempts to determine the extent to which any undiversified idiosyncratic risk, i.e. unsystematic or company specific risk is associated with the average fund returns. The sample consists of mutual...
Persistent link: https://www.econbiz.de/10013148961
Even though correlations between different economies' stock markets have empirically increased over time, it would have been advantageously to invest in developing countries' stock markets such as the Indian stock market, instead of investing in the US-stock market when considering the overall...
Persistent link: https://www.econbiz.de/10009539880
GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...
Persistent link: https://www.econbiz.de/10013405318
This paper analyses the financial and economic conditions of the companies in the portfolios of Italian private equity funds. Information from an ad hoc survey of Italian asset management companies, combined with accounting data for 2008 drawn from the Central Credit Register, is used to develop...
Persistent link: https://www.econbiz.de/10013111276