The Resource Mutual Fund Performance and Performance Persistence : The Impact of Fund Flows and Manager Changes, by Peter Lückoff, (electronic resource)

Mutual Fund Performance and Performance Persistence : The Impact of Fund Flows and Manager Changes, by Peter Lückoff, (electronic resource)

Label
Mutual Fund Performance and Performance Persistence : The Impact of Fund Flows and Manager Changes
Title
Mutual Fund Performance and Performance Persistence
Title remainder
The Impact of Fund Flows and Manager Changes
Statement of responsibility
by Peter Lückoff
Creator
Author
Author
Subject
Language
  • eng
  • eng
Summary
Superior investment performance is the ultimate objective of mutual fund investors. However, past fund performance is no reliable indicator of future performance. Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels. These results have important implications for investors, investment management companies and even regulators
Member of
http://library.link/vocab/creatorName
Lückoff, Peter
Dewey number
  • 332.14
  • 332.6327
Dissertation note
Thesis (doctoral)--Justus-Liebig-Universität Giessen, 2010.
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
7VuyVifmZE0
Language note
English
LC call number
HF5681.T3
Literary form
non fiction
Nature of contents
dictionaries
Series statement
Geld - Banken - Börsen
http://library.link/vocab/subjectName
  • Tax accounting
  • Finance
  • Business Taxation/Tax Law
  • Finance, general
Label
Mutual Fund Performance and Performance Persistence : The Impact of Fund Flows and Manager Changes, by Peter Lückoff, (electronic resource)
Instantiates
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
  • Foreword; Preface; Contents; List of Tables; List of Figures; Introduction; Motivation and Relevance; Objective and Structure; Part I Delegated Portfolio Management; 1 Institutional Setting; 1.1 Role of Mutual Funds; 1.2 Objectives of Investors; Professional Management; Diversification; Liquidity; Additional Services; 1.3 Investment Strategies; 1.3.1 Return Predictability and Equilibrium Considerations; 1.3.2 Active versus Passive Investing; 1.3.3 Specific Investment Strategies; 1.3.3.1 Indexing and Enhanced Indexing; 1.3.3.2 Fundamental Indexing; 1.3.3.3 Active Long-Only Strategies
  • 1.3.3.4 Active Long-Short Strategies1.3.3.5 Activist Investors; 1.4 Organizational Design; 1.4.1 Open-End Funds; 1.4.2 Exchange-Traded Funds; 1.4.3 Retail Structured Products; 1.4.4 Closed-End Funds; 1.4.5 Hedge Funds; 1.4.6 Comparison of Different Structures; 1.5 Discussion; 2 Agency Conflicts; 2.1 Potential Conflicts of Interest; 2.1.1 Investors and Portfolio Managers 2.1.1.1 Career Concerns and Tournaments Tournament Behavior; Strategic Interaction and Family Tournaments; Further Empirical Evidence and Statistical Issues; 2.1.1.2 Herding; 2.1.2 Investors and Investment Management Companies
  • 2.1.2.1 Distribution Channels and Advertisement Brokers and Financial AdvisorsAdvertising Performance; Changing Names and Pretending Innovation; 2.1.2.2 Fund Families and "Star" Managers Strategically Boosting Fund Performance; Side-by-Side Management; Strategically Starting, Merging and Closing Funds; 2.1.2.3 Benchmark Gaming and Performance Manipulation Benchmark Gaming; Portfolio Pumping; Window Dressing; 2.1.3 Costs and Potential Third-Party Benefits; 2.1.3.1 Costs; 2.1.3.2 Directed Brokerage and Soft Dollars; 2.1.3.3 Market Timing and Late Trading Market Timing; Late Trading
  • 2.1.4 Discussion2.2 Potential Solutions for Reducing Agency Conflicts; 2.2.1 Investment Strategy and Instruments; 2.2.2 External Governance 2.2.2.1 Transparency and Competition; 2.2.2.2 Market-Based Control; 2.2.3 Internal Governance; 2.2.3.1 Fund Board; 2.2.3.2 Manager Changes; 2.2.3.3 Optimal Fund Size; 2.2.4 Incentive Contracts and Ownership Structures; 2.2.4.1 Performance-Based Compensation; 2.2.4.2 Ownership Structures; 2.2.5 Discussion; Part II Investment Performance; 3 Performance Measurement; 3.1 Choice of the Correct Performance Measure; 3.1.1 Asset Class and Investment Strategy
  • 3.1.2 Existing Portfolio3.1.3 Chronological Focus; 3.1.4 Institutional Setting; 3.2 Ratio-Based Performance Evaluation; 3.2.1 Information Ratio and Sharpe Ratio; 3.2.2 Treynor Ratio; 3.2.3 Ratios for Non-Normally Distributed Returns; 3.3 Risk-Based Performance Evaluation; 3.3.1 Jensen Model; 3.3.1.1 Benchmark Problem; 3.3.1.2 Time Variability; 3.3.1.3 Statistical Problems; 3.3.2 Multifactor Models; 3.3.2.1 Fama-French Model: Size and Value Effect; 3.3.2.2 Carhart Model: Momentum Effect; 3.3.2.3 Construction of Factor-Mimicking Portfolios
  • 3.3.3 Timing Models and Conditional Performance Evaluation
Dimensions
unknown
Edition
1st ed.
Extent
1 online resource (603 p.)
Form of item
online
Isbn
9783834965271
Media category
computer
Media type code
  • c
Other control number
10.1007/978-3-8349-6527-1
Specific material designation
remote
System control number
  • (CKB)2670000000064853
  • (EBL)750150
  • (OCoLC)708565874
  • (SSID)ssj0000638841
  • (PQKBManifestationID)11439597
  • (PQKBTitleCode)TC0000638841
  • (PQKBWorkID)10598356
  • (PQKB)10340350
  • (DE-He213)978-3-8349-6527-1
  • (MiAaPQ)EBC750150
  • (EXLCZ)992670000000064853
Label
Mutual Fund Performance and Performance Persistence : The Impact of Fund Flows and Manager Changes, by Peter Lückoff, (electronic resource)
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
  • Foreword; Preface; Contents; List of Tables; List of Figures; Introduction; Motivation and Relevance; Objective and Structure; Part I Delegated Portfolio Management; 1 Institutional Setting; 1.1 Role of Mutual Funds; 1.2 Objectives of Investors; Professional Management; Diversification; Liquidity; Additional Services; 1.3 Investment Strategies; 1.3.1 Return Predictability and Equilibrium Considerations; 1.3.2 Active versus Passive Investing; 1.3.3 Specific Investment Strategies; 1.3.3.1 Indexing and Enhanced Indexing; 1.3.3.2 Fundamental Indexing; 1.3.3.3 Active Long-Only Strategies
  • 1.3.3.4 Active Long-Short Strategies1.3.3.5 Activist Investors; 1.4 Organizational Design; 1.4.1 Open-End Funds; 1.4.2 Exchange-Traded Funds; 1.4.3 Retail Structured Products; 1.4.4 Closed-End Funds; 1.4.5 Hedge Funds; 1.4.6 Comparison of Different Structures; 1.5 Discussion; 2 Agency Conflicts; 2.1 Potential Conflicts of Interest; 2.1.1 Investors and Portfolio Managers 2.1.1.1 Career Concerns and Tournaments Tournament Behavior; Strategic Interaction and Family Tournaments; Further Empirical Evidence and Statistical Issues; 2.1.1.2 Herding; 2.1.2 Investors and Investment Management Companies
  • 2.1.2.1 Distribution Channels and Advertisement Brokers and Financial AdvisorsAdvertising Performance; Changing Names and Pretending Innovation; 2.1.2.2 Fund Families and "Star" Managers Strategically Boosting Fund Performance; Side-by-Side Management; Strategically Starting, Merging and Closing Funds; 2.1.2.3 Benchmark Gaming and Performance Manipulation Benchmark Gaming; Portfolio Pumping; Window Dressing; 2.1.3 Costs and Potential Third-Party Benefits; 2.1.3.1 Costs; 2.1.3.2 Directed Brokerage and Soft Dollars; 2.1.3.3 Market Timing and Late Trading Market Timing; Late Trading
  • 2.1.4 Discussion2.2 Potential Solutions for Reducing Agency Conflicts; 2.2.1 Investment Strategy and Instruments; 2.2.2 External Governance 2.2.2.1 Transparency and Competition; 2.2.2.2 Market-Based Control; 2.2.3 Internal Governance; 2.2.3.1 Fund Board; 2.2.3.2 Manager Changes; 2.2.3.3 Optimal Fund Size; 2.2.4 Incentive Contracts and Ownership Structures; 2.2.4.1 Performance-Based Compensation; 2.2.4.2 Ownership Structures; 2.2.5 Discussion; Part II Investment Performance; 3 Performance Measurement; 3.1 Choice of the Correct Performance Measure; 3.1.1 Asset Class and Investment Strategy
  • 3.1.2 Existing Portfolio3.1.3 Chronological Focus; 3.1.4 Institutional Setting; 3.2 Ratio-Based Performance Evaluation; 3.2.1 Information Ratio and Sharpe Ratio; 3.2.2 Treynor Ratio; 3.2.3 Ratios for Non-Normally Distributed Returns; 3.3 Risk-Based Performance Evaluation; 3.3.1 Jensen Model; 3.3.1.1 Benchmark Problem; 3.3.1.2 Time Variability; 3.3.1.3 Statistical Problems; 3.3.2 Multifactor Models; 3.3.2.1 Fama-French Model: Size and Value Effect; 3.3.2.2 Carhart Model: Momentum Effect; 3.3.2.3 Construction of Factor-Mimicking Portfolios
  • 3.3.3 Timing Models and Conditional Performance Evaluation
Dimensions
unknown
Edition
1st ed.
Extent
1 online resource (603 p.)
Form of item
online
Isbn
9783834965271
Media category
computer
Media type code
  • c
Other control number
10.1007/978-3-8349-6527-1
Specific material designation
remote
System control number
  • (CKB)2670000000064853
  • (EBL)750150
  • (OCoLC)708565874
  • (SSID)ssj0000638841
  • (PQKBManifestationID)11439597
  • (PQKBTitleCode)TC0000638841
  • (PQKBWorkID)10598356
  • (PQKB)10340350
  • (DE-He213)978-3-8349-6527-1
  • (MiAaPQ)EBC750150
  • (EXLCZ)992670000000064853

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