英国研究生教学ppt 机构投资的绩效Word文件下载.docx
- 文档编号:18083038
- 上传时间:2022-12-13
- 格式:DOCX
- 页数:8
- 大小:21.73KB
英国研究生教学ppt 机构投资的绩效Word文件下载.docx
《英国研究生教学ppt 机构投资的绩效Word文件下载.docx》由会员分享,可在线阅读,更多相关《英国研究生教学ppt 机构投资的绩效Word文件下载.docx(8页珍藏版)》请在冰豆网上搜索。
Obviously,inaggregate,themarketperformsinlinewiththemarket.Index-trackerfundsperforminlinewiththemarket.Theaggregatemarketminusindex-trackerfundsmustthereforeperforminlinewiththemarket.Activelymanagedfundsaretheaggregatemarketminusindex-trackers.Soactivelymanagedportfolios,inaggregate,mustperforminlinewiththemarket.
Ifsomeactivelymanagedportfoliosoutperformothersmustunder-perform.Thissuggeststhat,onaverage,activelymanagedfundsperforminlinewiththemarketbeforetheircostsareconsidered.Whencostsaretakenintoaccountactivelymanagedfunds,onaverage,couldbeexpectedtounder-performthemarket.
Theconclusionseemstobethatindividualinvestorsshouldinvestinindex-trackerfundsratherthanwastemoneyonmanagementfeeswhilsttakingtheriskthattheirparticularmanagersarerelativelypoorperformers.
Somefundsdooutperformthestockmarket.Issuchout-performanceduepurelytochance,sincechancewouldgenerateout-performersaswellasunder-performers,orisinvestmentmanagementskillinvolved?
Ifskillwereinvolved,itwouldbeexpectedthatthereispersistenceinrelativeperformance;
inparticularmorefundswouldshowcontinuedout-performancethanwouldbeexpectedonthebasisofchance.
Ifrelativeperformanceofactivelymanagedfundsarisesfromchanceratherthanskill,theimplicationremainsthatretailinvestorsshouldchooseindex-trackerfunds.
Ifanypersistenceinout-performanceweretheresultofinvestmentmanagementskill,onemoreconditionshouldbemetbeforeindividualinvestorschooseactivelymanagedfunds;
Thereshouldbemeansofascertainingwhichinvestmentmanagersdemonstratetheskillthatleadstopersistentout-performance.
Furthermorethetechniquesforascertainingwhichmanagershaveskillshouldbeeasytouse,andshouldgivepreciseresults(itisoflittleusetoanindividualinvestorifthetechniquemerelychangesa50:
50chanceofcorrectlychoosingtoa55:
45chanceofcorrectlychoosing).
Thereisalsotheriskthatifeveryoneidentifiestheout-performers,somuchmoneywouldbeswitchedtotheout-performersthattheyareunabletocontinuetheout-performance.
EMPIRICALEVIDENCEONPERFORMANCE
THEEVIDENCEAIMSTOANSWERTHEQUESTIONS:
1.DOFUNDS,ONAVERAGE,BEATTHESTOCKMARKET?
2.DoestherelativePERFORMANCEOFFUNDSPERSIST?
3.ISPERSISTENCEPREDICTABLE?
DOFUNDS,ONAVERAGE,BEATTHESTOCKMARKET?
RETURNSARENOTTHEONLYDIMENSIONOFPERFORMANCE.rISKMUSTALSOBECONSIDERED.hIGHRETURNSWITHHIGHRISKARENOTNECESSARILYBETTERTHANLOWRETURNSWITHLOWRISK.
oNEAPPROACHISTOCOMPAREFUNDRETURNSWITHABENCHMARKRETURN,WHICHISADJUSTEDFORRISK.
Jensen’sAlpha
ThisderivesabenchmarkrateofreturnusingtheSecuritiesMarketLinefromtheCapitalAssetPricingModel.
Thesecuritiesmarketlineprovidesatheoreticalrateofreturncomprisingtwocomponents.
Thefirstcomponentisarisk-freerateofreturn(e.G.theinterestonbankdeposits),thesecondcomponentisarewardforacceptingrisk.
therewardforacceptingriskistheproductoftheportfoliobeta(thebetaoftheportfoliobeingevaluated)andthemarketexcessreturn.
Themarketexcessreturnisthedifferencebetweenthereturnonastockindexportfolio,andthereturnonrisk-freeassets.
Rb=Rf+p(Rm-Rf)
Rbistheexpectedrateofreturnontheassessedportfolio,Rmisthereturnonthestockindexportfolio,Rfistherisk-freerateofreturn,andpisthebetaoftheportfoliobeingassessed.
Byusingthebetaoftheportfoliounderassessment,comparisonoftheobservedandexpectedreturnsprovidesarisk-adjustedevaluation.
ThedifferentialreturnisexpressedasRp-Rb.Ifthisispositivetherealisedreturnonthefundbeingevaluatedexceedsthebenchmarkrateofreturnandthefundisviewedasout-performing.Converselyanegativevalueindicatesunder-performance.
Rp-RbisoftenreferredtoasJensen’salpha.
studiesoffundperformancehaveusedmeansofriskadjustment,suchasthejensenmeasure.thisensuresthatrisk,aswellasreturn,isconsidered.
evidencefromempiricalresearch
Therehavebeennumerousstudiesoftheperformanceofmutualfunds.Performanceismeasuredintermsoftotalreturn;
thatisdividendyieldpluscapitalgains.
Generallythesestudieshavefoundthat
(1)onaveragefundsunder-performstockindices,
(2)fundswithlowchargesandlowportfolioturnovertendtooutperformthosewithhighchargesandhighturnovers.
(3)pastrelativeperformanceisnotagoodguidetofuturerelativeperformance(i.e.thereislittlepersistence).
Studiesthathavefoundthatactively-managedfunds,onaverage,failtooutperformstockindicesinclude:
Friend,Brown,HermanandVickers(1962),Sharpe(1966),Jensen(1968),Firth(1978),Malkiel(1988),
Ippolito(1989),Elton,Gruber,DasandHlavka(1993),Blake,EltonandGruber(1993),Malkiel(1995),Daniel,Grinblatt,TitmanandWermers(1997),Wermers(2000),Shukla(2004).
somestudiesindicatethatfundmanagershavepoorinvestmentskills.Volkman(1999)investigatedthestockselectionandmarkettimingabilitiesofU.S.mutualfundmanagers.Itwasfoundthat,onaverage,therewasnoabilitytoidentifyunder-pricedshares.Attemptstotimethemarketwerefoundtohave,onaverage,negativeeffectsonperformance.
BlakeandTimmermann(2005)examinedtheperformanceofUK-basedinternational-equitypensionfundsovertheperiod1991-1997bydecomposingperformanceintostockselectionandmarket-timingelements.Theyfoundthatbothelementsusuallymadenegativecontributionstoperformance.
ThelossesfrompoorstockselectionwereseenaspossiblyresultingfrominformationasymmetriesbetweenU.K.andoverseasinvestmentmanagerswherebyinvestorshaveaninformationadvantagewheninvestingintheirowncountry.Correspondinglythereisarelativedisadvantagewheninvestinginacountryotherthanone’sown.
HERDING
Dasgupta,PratandVerardo(2006)investigatedthepurchasesandsalesofUSinstitutionalinvestorsduringtheperiod1983to2004.Theydistinguishedstocksaccordingtothepersistenceofbuyingandselling.Iftherehadbeennetbuyingforeachofthemostrecentfivequartersavalueof5wasassigned,netbuyingineachofthemostrecentfourquartersgaveapersistencevalueof4,netsellingineachofthepreviousthreequartersproducedavalueof–3,andsoforth.
Itwasfoundthatthemostpersistentlysoldstocksweresubsequentlythebestperformers,andthemostpersistentlyboughtstocksturnedouttobetheworstperformers.
Theresearchersalsofoundherdingtobepresentamongsttheinstitutionalfundmanagers.Thesefindingsareconsistentwiththeviewthatherdbuyingbyinstitutionscausesoverpricing,andsubsequentpoorreturns.
Herdingwithrespecttosalespushespricesdowntounjustifiablylowlevels,andtheunder-pricingprovidessubsequenthighreturnsasfundamentalvaluesarerestored.
Jiang,YaoandYu(2007)publishedastudyindicatingthattherecouldbemarket-timingabilitydependinguponhowperformancewasmeasured.
CHARGESANDTURNOVER
manystudiessuggestthatfundswithhighexpensestendtoprovideinvestorswithlowreturns(elton,gruber,dasandhlavka1993,Reichenstein1999;
Indro,Jiang,HuandLee1999;
Bogle1998;
Carhart1997);
butONEstudYpointStheotherway(Shukla2004).
evidenceshowsthathighstockturnover(hencehighbrokeragecosts)causeslownetreturns(ELTON,GRUBER,DASANDHLAVKA1993;
Carhart1997).
Bogle(2002)comparedtheperformanceofhigh-costU.S.mutualfunds(topquartile,1.8%p.a.)againsttheperformanceoflow-costmutualfunds(bottomquartile,0.6%p.a.)over1991-2001.
HEfoundthatthelowcostfundsoutperformedthehigh-costfundsbymorethanthecostdifferential(by2.2%p.a.).
Thelow-costfundsalsoexhibitedlowerriskthanthehighcostfunds.Thestronglyperforminglow-costfundsincludedindex-trackerfunds.
sURVIVORSHIPBIAS
Therelativeadvantageofindex-trackerfundswasenhancedbytheabsenceof
front-endfeesandbythefactthatmanypoorlyperformingactively-managedfundshadbeenwithdrawnormergedintootherfundswiththeeffectthatsomeweakfundswereremovedfromthedatawhenaverageperformancewascalculated.
Malkiel(1995)andElton,GruberandBlake(1996)suggestthatmanystudieshaveoverstatedthetrueperformanceofACTIVELY-MANAGEDmutualfundsbecauseofsurvivorshipbias.
MostdatasetsusedhaveincludedrecordsofallSURVIVINGmutualfunds.Mutualfundsthatweretakenoffthemarketduetopoorperformance(orweremergedwith
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- 英国研究生教学ppt 机构投资的绩效 英国 研究生 教学 ppt 机构 投资 绩效