- Out-of-Stock
The Fund Synthetic Index: An Alternative Benchmark for Mutual Funds [extrait BMI 114]
- Write a review
€50.00
Tax included
Version numérique PDF
This paper combines the use of portfolio holdings data and Principal Component Analysis to create synthetic fund indexes. Synthetic funds are funds portfolios which aim to duplicate a fund market in order to represent alternative benchmarks to compare the performance of investment funds. Our weight-based measure has several advantages. Using the principal Component Approach, it avoids biases in linear weighting scheme of portfolios, reducing the dimensionality of the data and keeping the representatively of financial markets. Synthetic Fund Indexes permit to better compare fund markets when structural information of returns is used, means-based measures face a bias if managers can trade between observation dates. The new measures avoid this interim trading bias. We use our benchmark to provide insights about performance in a sample of equity investment funds of 5 countries. By constructing indexes from data collected in different time periods, some conclusions are drawn about the consistency of our results.Auteurs :Terraza Virginie
Extrait de la revue BMI 114
BMI114-1105068
New
Thank you for the reviews ! Your comment is submitted
16 other products in the same category:
Availability: Out of stock
Sommaire
Articles
- Capital Protected notes for Loss Averse Investors: a Counterintuitive Result
- The Cost of Accuracy in the Least Squares Monte Carlo Approach
- Success of Shareholder Activism: the French Case
Focus On
- Dividend Policy
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- Comparing the Value Relevance of Earnings and Book Value in IFRS and GAAP Standards
- Credit Risk Evaluation: The Econometric vs the Structural Approach
- The Fund Synthetic Index: An Alternative Benchmark for Mutual Funds
- Corporate Governance and Performance of French Listed Companies
Focus On
- Symmetric vs. Downside Risk Measures in Portfolio Decisions
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- Capital Protected notes for Loss Averse Investors: a Counterintuitive Result
- The Cost of Accuracy in the Least Squares Monte Carlo Approach
- Success of Shareholder Activism: the French Case
Focus On
- Dividend Policy
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- Comparing the Value Relevance of Earnings and Book Value in IFRS and GAAP Standards
- Credit Risk Evaluation: The Econometric vs the Structural Approach
- The Fund Synthetic Index: An Alternative Benchmark for Mutual Funds
- Corporate Governance and Performance of French Listed Companies
Focus On
- Symmetric vs. Downside Risk Measures in Portfolio Decisions
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- Capital Protected notes for Loss Averse Investors: a Counterintuitive Result
- The Cost of Accuracy in the Least Squares Monte Carlo Approach
- Success of Shareholder Activism: the French Case
Focus On
- Dividend Policy
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock