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http://hdl.handle.net/11701/7065
Полная запись метаданных
Поле DC | Значение | Язык |
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dc.contributor.author | Bukhvalova, Barbara A. | - |
dc.date.accessioned | 2017-08-20T16:10:23Z | - |
dc.date.available | 2017-08-20T16:10:23Z | - |
dc.date.issued | 2017-06 | - |
dc.identifier.other | 10.21638/11701/spbu18.2017.202 | - |
dc.identifier.uri | http://hdl.handle.net/11701/7065 | - |
dc.description.abstract | Alpha is a key indicator of mutual fund performance. It is equal to fund’s risk-adjusted return in excess of a benchmark index. We find that Norwegian mutual fund investors cannot always rely on alpha based on the fund-selected benchmark index, to differentiate fund quality. Many managers appear to pick benchmarks strategically and/or adjust their portfolios in a way that maximizes alpha. Our analysis sharpens previous studies of the US data, where only a few alternative benchmarks were considered based on a coarse classification of fund investment objectives and not on actual fund-selected benchmarks. The results are economically important. Compared to the best-fit alpha, alpha relative to the benchmark that best describes fund returns, alpha of an average equity fund appears to be 0,45% higher per year. Among equity funds that “exaggerate” their alpha, the number is 1,83%. We also find that the best-fit alpha, and not the fund’s official alpha, has a strong statistical association with fund closing decisions. Taken together, we find these results to be strong circumstantial evidence of strategic benchmark picking. | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | St Petersburg State University | en_GB |
dc.relation.ispartofseries | Russian Management Journal;Volume 15; Issue 2 | - |
dc.subject | mutual funds | en_GB |
dc.subject | benchmarks | en_GB |
dc.subject | managerial incentives | en_GB |
dc.title | Mutual Fund Managers: Real or Make-Belief Performance . | en_GB |
dc.type | Article | en_GB |
Располагается в коллекциях: | Issue 2 |
Файлы этого ресурса:
Файл | Описание | Размер | Формат | |
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02-Bukhvalova.pdf | 160,34 kB | Adobe PDF | Просмотреть/Открыть |
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