Showing 1 - 10 of 1,523
Persistent link: https://www.econbiz.de/10010498736
investor groups contribute to the negative performance externality from large outflows. Investment funds, as holders of mutual …-sophisticated ones, are the main receivers. These differences are due to investment funds reacting more strongly on past performance and …
Persistent link: https://www.econbiz.de/10013435221
Persistent link: https://www.econbiz.de/10010529040
Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen's alpha, based on … the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by …-Fisher expansion and on the extreme value theory. Moreover, we construct a performance index similar to the Sharpe ratio using these …
Persistent link: https://www.econbiz.de/10010299556
The mutual funds' returns, inter alia, are dependent on fund managers' performance. This makes human capital efficiency … very central for consistent risk-adjusted performance. The persistence in performance becomes more critical during periods … evaluate the performance of equity funds in massively impacted Latin American countries. These equity funds, with 95% of their …
Persistent link: https://www.econbiz.de/10013205800
Neben den klassischen Performancemaßen, wie der Sharpe-Ratio, der Treynor-Ratio und dem Jensen-Alpha wurden in den letzten Jahrzehnten weiterführende Ansätze für die Analyse und Bewertung vonKapitalanlagen entwickelt. Die moderneren Performancemaße verlangen keine Konstanz derRisikomaße...
Persistent link: https://www.econbiz.de/10005866098
Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen’s alpha, based on … the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by …-Fisher expansion and on the extreme value theory. Moreover, we construct a performance index similar to the Sharpe ratio using these …
Persistent link: https://www.econbiz.de/10003910120
Neben den klassischen Performancemaßen, wie der Sharpe-Ratio, der Treynor-Ratio und dem Jensen-Alpha wurden in den letzten Jahrzehnten weiterführende Ansätze für die Analyse und Bewertung von Kapitalanlagen entwickelt. Die moderneren Performancemaße verlangen keine Konstanz der Risikomaße...
Persistent link: https://www.econbiz.de/10010308388
adds a third criterion to the wealth maximization process, namely social performance, in addition to the conventional risk … the psychic benefit of investing in companies with a high social performance rating. The benefit of the social performance … performance rating. The research suggests that the SRI investor may exhibit a risk profile unlike that of the traditional investor …
Persistent link: https://www.econbiz.de/10013130581
portfolio risk. We explore potential agency problems in TDFs by examining their return performance and flow-performance relation …) plans with automatic enrollment. We show that the under-performance is driven by TDFs that have a fund-of-fund structure and … constituent funds with high expense ratios or poor performance within the fund family. Additionally, we discover an absence of …
Persistent link: https://www.econbiz.de/10013133823