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Více informací o knize Empirical Analysis of Mutual Funds investing in German Equity (1995-2015)

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Anotace knihy

Master's Thesis from the year 2016 in the subject Economics - Finance, grade: 1,3, University of Regensburg (Centre of Finance), language: English, abstract: Financial markets are as complex as ever due to an accelerating development in the last decades. Especially evaluations of mutual fund performance have been a subject of interest since the introduction of financial services. In this thesis, a study on the performance of mutual funds investing in German equity from July 1995 to June 2015 is conducted. The aim is to find out if fund managers have sufficient skill to generate risk adjusted return in order to cover the cost imposed on the investors. Another purpose is to provide investors with relevant results. Inter alia, Jensen one-factor, Fama and French three-factor and the Carhart four-factor model are used as different benchmark models for performance. Paired bootstrap simulations suggest that, net of cost, a small fraction of fund managers do have sufficient skill to cover cost. For the bottom ranked funds, there is statistical evidence that their poor performance is caused by bad management, rather than by bad luck. The results for gross returns show that there is an unneglectable fraction of fund managers with good performance not due to luck. Compared to net returns, there is stronger evidence of skill, negative as well as positive. Form an investor's point of view it seems rather beneficial to invest in passively managed vehicles. High costs eat into the return, and they are the main reason why the majority of actively managed funds end up with sub-par performance.

Parametry knihy

Zařazení knihy Knihy v angličtině Economics, finance, business & management Economics

• Plný název: Empirical Analysis of Mutual Funds investing in German Equity (1995-2015)
• Autor: Carsten Fritz
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 72
• EAN: 9783668325234
• ISBN: 3668325235
• ID: 15348473
• Nakladatelství: Grin Publishing
• Hmotnost: 104 g
• Rozměry: 210 × 148 × 4 mm
• Datum vydání: 28. October 2016

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