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Risk, return and market timing : a conditional performance benchmarking model

Dhar, Joyit; Sinha, Ram Pratap - In: The IUP journal of financial risk management : IJFRM 13 (2016) 2, pp. 7-20

Persistent link: https://www.econbiz.de/10011537981

Risk, Return and Market Timing : A Conditional Performance Benchmarking Model

Sinha, Ram Pratap - 2017

The traditional approach of portfolio benchmarking was developed by Markowitz (1952) with his Mean-Variance (M-V) model …

Persistent link: https://www.econbiz.de/10012965233

Mutual funds' performance and relative strength of factor exposures

Chauhan, Gaurav Singh - In: Managerial finance 49 (2023) 7, pp. 1202-1220

Persistent link: https://www.econbiz.de/10014311548

An examination of ex ante fund performance : identifying indicators of future performance

Clare, Andrew D.; Clare, Mariana - In: The journal of asset management 20 (2019) 3, pp. 175-195

Persistent link: https://www.econbiz.de/10012059790

Fundamental analysis, technical analysis, and mutual fund performance

Lee, Cheng F. - 2024

Persistent link: https://www.econbiz.de/10015049999

Measuring Luck in Mutual Fund Performance : Evidence from False Discovery Ratio Method

Tang, Ya; Liu, YU-Jane; Yang, Yi - 2011

This paper studies the real mutual fund performance accounting for the presences of lucky funds. We quantify the impact of luck with an innovative measure built on False Discovery Rate (FDR). These FDR measures compute the number and the proportion of fund with truly positive and negative...

Persistent link: https://www.econbiz.de/10014176700

Drawdown risk in mutual funds performance

Kumaran, Sunitha - In: Journal of finance and investment analysis 2 (2013) 2, pp. 89-106

To many people, the terror of falling share prices is often significant, often more so than the pleasure of gains. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have several tools to measure downside volatility,...

Persistent link: https://www.econbiz.de/10009746020

Equity fund performance : can momentum be explained by the pricing of idiosyncratic volatility?

Liu, Bin; Di Iorio, Amalia; De Silva, Ashton - In: Studies in economics and finance 33 (2016) 3, pp. 359-376

Persistent link: https://www.econbiz.de/10011722529

Overselling winners and losers : how mutual fund managers' trading behavior affects asset prices

An, Li; Argyle, Bronson - In: Journal of financial markets 55 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10014543783

Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices

Buffa, Andrea M - 2018

benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and …

Persistent link: https://www.econbiz.de/10012910534