Mutual Fund Performance and Performance Persistence 1st Edition by Peter Luckoff ISBN 3834927805 9783834927804 by Peter Lückoff 3834927805 instant download after payment.

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Product details:

ISBN 10: 3834927805 
ISBN 13: 9783834927804
Author: Peter Luckoff

Mutual Fund Performance and Performance Persistence 1st Table of contents:

• Chapter 1: Introduction to Mutual Funds and Performance Analysis

  • What are Mutual Funds? (Types, Structure, Regulation)
  • Importance of Performance Measurement for Investors and Regulators
  • Overview of the Mutual Fund Industry and its Growth
  • Key Questions: Do active managers outperform? Is performance persistent?
  • Structure of the Book and Contribution to the Literature

• Chapter 2: Traditional Measures of Mutual Fund Performance

  • Arithmetic and Geometric Returns
  • Risk-Adjusted Performance Measures:
    • Sharpe Ratio
    • Treynor Ratio
    • Jensen's Alpha
    • Sortino Ratio
  • Drawbacks and Limitations of Traditional Measures

• Chapter 3: Advanced Performance Measurement Methodologies

  • Fama-French Three-Factor Model
  • Carhart Four-Factor Model
  • Multi-Factor Models (e.g., Pastor-Stambaugh liquidity factor)
  • Conditional Performance Evaluation Models
  • Value-Added vs. Benchmark Performance
  • Issues with Data Biases (Survivorship bias, backfill bias)

• Chapter 4: Evidence on Mutual Fund Performance: Do Funds Outperform?

  • Review of Empirical Literature on Aggregate Fund Performance vs. Benchmarks
  • Studies on Gross vs. Net Returns (Impact of Fees and Expenses)
  • Analysis by Fund Category, Investment Style, and Size
  • The "Efficient Markets Hypothesis" and Active Management

• Chapter 5: The Concept of Performance Persistence

  • Defining Performance Persistence (Strong vs. Weak Persistence)
  • Theoretical Arguments for and Against Persistence (Skill vs. Luck)
  • Sources of Persistence (e.g., Managerial Skill, Information Advantage, Market Segmentation, Flow-Performance Relationship)

• Chapter 6: Methodologies for Testing Performance Persistence

  • Non-Parametric Tests (e.g., Contingency Tables, Rank Correlations)
  • Parametric Tests (e.g., Regression-based approaches, Markov chain models)
  • Addressing Methodological Challenges (e.g., short horizons, data biases, statistical power)

• Chapter 7: Empirical Evidence on Mutual Fund Performance Persistence

  • Review of Early Studies and Their Findings
  • More Recent Evidence from Different Markets and Time Periods
  • Persistence in Different Fund Types (Equity, Fixed Income, International)
  • Short-Term vs. Long-Term Persistence
  • The Role of Fund Characteristics (Size, Age, Fees)

• Chapter 8: Factors Influencing Performance and Persistence

  • Manager Characteristics (Experience, Education, Turnover)
  • Fund Characteristics (Expense Ratios, Turnover Ratios, Fund Flows)
  • Market Conditions and Economic Regimes
  • Information Asymmetries and Trading Costs
  • Behavioral Biases of Fund Managers

• Chapter 9: Investor Behavior and Performance Persistence

  • The Flow-Performance Relationship (Investor chasing past returns)
  • Rational vs. Irrational Investor Behavior
  • Impact of Fund Closures and Mergers
  • Implications for Financial Advice and Portfolio Construction

• Chapter 10: Policy Implications and Future Research Directions

  • Implications for Financial Regulation and Disclosure
  • Advice for Individual Investors
  • Future Avenues for Research (e.g., Machine Learning in Performance Prediction, ESG Investing and Performance)

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Tags: Peter Luckoff, Mutual, Performance