Direkt zur Hauptnavigation springen Direkt zum Inhalt springen
info(at)avldigital.remove-this.de
Deutsch English
Letzte Suchanfragen

Ergebnisse für *

Zeige Ergebnisse 1 bis 7 von 7.

  1. Dynamic indexing and allocation
    do they dominate simple static indexing?
    Autor*in: McCarthy, Joseph E.; Tower, Edward
    Erschienen: September 13, 2020
    Verlag:  Economic Research Initiatives @ Duke (ERID), Durham, NC

    Andrew Lo in his book, Adaptive Markets, advocates an investment product that he names a “dynamic index.” He has facilitated the operation of a variant of this dynamic indexation, “dynamic allocation,” by founding a company, AlphaSimplex. Another... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    Andrew Lo in his book, Adaptive Markets, advocates an investment product that he names a “dynamic index.” He has facilitated the operation of a variant of this dynamic indexation, “dynamic allocation,” by founding a company, AlphaSimplex. Another dynamic investment is GMO’s Benchmark Free Allocation fund. We assess the role for dynamic investing with the AlphaSimplex funds and the GMO fund. The dynamic funds have higher expense ratios and turnover than static index funds do. Do the strategies of these funds add value, and if so is dynamic investing magical enough to overcome these hurdles? Do dynamic investments dominate a simple portfolio of static index funds with similar style rebalanced regularly whether risk adjusted or not and with or without differential expenses stripped away? We also clarify the interpretation of the Fama-French multi-factor models, generalize them, and discover the equivalence between the Fama-French and Sharpe (1992) approaches to mutual fund assessment. On average AphaSimplex funds underreturn portfolios of Vanguard index funds with the same style by 2.54 % age points per year. Some of that is because of expense ratios. Gross of expense ratios the average underreturn is 1.51 % age points/year

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: ERID working paper ; number 300
    Schlagworte: Mutual funds; index investing; dynamic indexing; alpha
    Umfang: 1 Online-Ressource (circa 23 Seiten)
  2. Hedge fund performance under misspecified models
    Autor*in: Ardia, David; Barras, Laurent; Gagliardini, Patrick; Scaillet, Olivier
    Erschienen: 2020
    Verlag:  Swiss Finance Institute, Geneva

    We develop a new approach for evaluating performance across hedge funds. Our approach allows for performance comparisons between models that are misspecified – a common feature given the numerous factors that drive hedge fund returns. The empirical... mehr

    Zugang:
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 544
    Fernleihe:
    keine Fernleihe

     

    We develop a new approach for evaluating performance across hedge funds. Our approach allows for performance comparisons between models that are misspecified – a common feature given the numerous factors that drive hedge fund returns. The empirical results show that the standard models used in previous work omit similar factors because they (i) perform exactly like the CAPM, and (ii) produce large and positive alphas. In contrast, we observe a large and statistically significant decrease in performance with a new model formed with alternative factors that capture variance, correlation, liquidity, betting-against-beta, carry, and time-series momentum strategies. Overall, the results suggest that the average returns of hedge funds are largely explained by mechanical trading strategies

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Auflage/Ausgabe: This version: July 27, 2020
    Schriftenreihe: Research paper series / Swiss Finance Institute ; no 20, 82
    Swiss Finance Institute Research Paper ; No. 20-82
    Schlagworte: Hedge funds; performance; model misspecification; large panel
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (circa 48 Seiten)
  3. How much does volatility influence stock market returns?
    empirical evidence from india
    Autor*in: Saraf, Malvika; Kayal, Parthajit
    Erschienen: February
    Verlag:  Madras School of Economics, Chennai, India

    Zugang:
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    Keine Rechte
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working paper / Madras School of Economics ; 215 (2022)
    Schlagworte: Volatility anomaly; investing; alpha; emerging markets; relativebeta
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  4. Alpha-Softie
    Wie MANN einer wird ; Ein absolut seriöser Männer-Ratgeber
    Autor*in: van Daxx, Carola
    Erschienen: 2015
    Verlag:  Neopubli, Berlin

    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Deutsch
    Medientyp: Buch (Monographie)
    Format: Druck
    ISBN: 9783741808104; 3741808105
    Weitere Identifier:
    9783741808104
    DDC Klassifikation: Literaturen germanischer Sprachen; Deutsche Literatur (830)
    Weitere Schlagworte: Alleskönner; Alphatier; Eierlegendewollmilchsau; Emanzipation; Frauen; Machos; Softie; alpha; mann; weichei
    Umfang: 307 Seiten, Illustrationen, 19 cm x 12.5 cm, 363 g
  5. Application of volatility-managed portfolios in the context of a volatility index
    Autor*in: Subramanian, Abhishek; Kayal, Parthajit
    Erschienen: August 2023
    Verlag:  Madras School of Economics, Chennai, India

    Zugang:
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    Keine Rechte
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working paper / Madras School of Economics ; 242 (2023)
    Schlagworte: Volatility managed portfolio; Volatility index; Momentum; risk,return; mean-variance; Fama-French factor; alpha; AppraisalRatio
    Umfang: 1 Online-Ressource (circa 25 Seiten)
  6. Where have all the alphas gone?
    a meta-analysis of hedge fund performance
    Autor*in: Yang, Fan; Havránek, Tomáš; Havránková, Zuzana; Novák, Jiri
    Erschienen: 08 April 2024
    Verlag:  Centre for Economic Policy Research, London

    Zugang:
    Verlag (Deutschlandweit zugänglich)
    Verlag (Deutschlandweit zugänglich)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

    Standort:
    Bibliotheks-und Informationssystem der Carl von Ossietzky Universität Oldenburg (BIS)
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; DP18979
    Schlagworte: Hedge funds; alpha; fees; meta-analysis; model uncertainty
    Umfang: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  7. Where have all the alphas gone?
    a meta-analysis of hedge fund performance
    Autor*in: Yang, Fan; Havránek, Tomáš; Havránková, Zuzana; Novák, Jiri
    Erschienen: [2024]
    Verlag:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    We examine the factors influencing published estimates of hedge fund performance. Using a sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the "alphas") collected from 74 studies, we document a strong downward... mehr

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 167
    Fernleihe:
    keine Fernleihe

     

    We examine the factors influencing published estimates of hedge fund performance. Using a sample of 1,019 intercept terms from regressions of hedge fund returns on risk factors (the "alphas") collected from 74 studies, we document a strong downward trend in the reported alphas. The trend persists even after controlling for heterogeneity in hedge fund characteristics and research design choices in the underlying studies. Estimates of current performance implied by best practice methodology are close to zero across all common hedge fund strategies. Additionally, our data allow us to estimate the mean management and performance fees charged by hedge funds. We also document how reported performance estimates vary with hedge fund and study characteristics. Overall, our findings indicate that, while hedge funds historically generated positive value for investors, their ability to do so has diminished substantially.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: IES working paper ; 2024, 15
    Schlagworte: hedge funds; alpha; fees; meta-analysis; model uncertainty
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen