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Do Mutual Funds Perform When it Matters Most to Investors? U.S. Mutual Fund Performance and Risk in Recessions and Expansions

Kosowski, Robert L. - 2011

This paper shows that the stylized fact of average mutual fund underperformance documented in the literature stems from expansion periods when funds have statistically significant negative risk-adjusted performance and not recession periods when risk-adjusted fund performance is positive. These...

Persistent link: https://www.econbiz.de/10013121165

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative …

Persistent link: https://www.econbiz.de/10009535779

US Sector Rotation with Five-Factor Fama-French Alphas

Sarwar, G - 2017

portfolios than the three factor model, but that significant alphas are still present in all the sectors at some point in time …

Persistent link: https://www.econbiz.de/10012954123

Quantitative forecast model for the application of the Black-Litterman approach

Becker, Franziska; Gürtler, Marc - 2008 - This Version: 2010-11-10

The estimation of expected security returns is one of the major tasks for the practical implementation of the Markowitz portfolio optimization. Against this background, in 1992 Black and Litterman developed an approach based on (theoretically established) expected equili-brium returns which...

Persistent link: https://www.econbiz.de/10009487257

Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM

Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011

. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …

Persistent link: https://www.econbiz.de/10009009611

Is ESG a Systematic Risk Factor for US Equity Mutual Funds?

Jin, Ick - 2021

Although the environmental, social, and governance (ESG) has gained increasing attention among investors, the extent to which ESG is compensated systematically in the market remains to be investigated. On the outperformance of responsible investing (RI) which incorporates ESG into investment...

Persistent link: https://www.econbiz.de/10013252157

US Sector Rotation with Five-Factor Fama-French Alphas

Sarwar, G - 2017

portfolios than the three factor model, but that significant alphas are still present in all the sectors at some point in time …

Persistent link: https://www.econbiz.de/10012942790

Mean-Variance Market Timing the U.S. Stock Market

Pezzo, Luca; Wang, Lei; Zirek, Duygu - 2021

While recently the after-cost profits of many anomalies are close to zero, investing according to the Mean-Variance (MV) criterion has never been so rewarding. The Global Minimum Variance Portfolio is the simplest option to profitably gain exposure to the market by timing stock covariances....

Persistent link: https://www.econbiz.de/10013231728

Model-based business cycle and financial cycle decomposition for Europe and the U.S.

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2016

panel of economic and financial time series of four large developed economies. Our model is flexible and allows for the …

Persistent link: https://www.econbiz.de/10011520505

Structural Breaks in U.S. Macroeconomic Time Series : A Bayesian Model Averaging Approach

Check, Adam - 2018

-war macroeconomic time series. There is substantial model uncertainty associated with such models, including uncertainty related to lag … procedure performs very well in Monte Carlo simulations calibrated to match relevant macroeconomic time series. We then apply …

Persistent link: https://www.econbiz.de/10012908055