Πηγές υπερβάλλουσας απόδοσης στην ενεργητική διαχείριση χαρτοφυλακίων. Χρονικός συντονισμός ή Επιλογή μετοχών
Sources of excess return on active portfolio management. Market timing or Stock picking
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Abstract
The importance of mutual funds in financial markets has literally sky-rocketed over the
past years worldwide. This phenomenon that can be attributed to the crucial benefits that
mutual funds offer to individual investors as that they provide professional management
independently of the investor’s capital size. Also funds can exploit financial economies
of scale that individual investors cannot, and enable them to perform liquidity risk
sharing. As a result of this, the performance of portfolio managers has become an
important issue for financial economists. This paper surveys the most well-known riskadjusted
measures and several mutual fund performance evaluation models. These are
applied to examine the performance of actively managed American equity and balanced
mutual funds. Specifically, the Jensen’s Performance Index (1968), Treynor-Mazuy
(1966), Henriksson-Merton (1981) and Fama-French (1993) analyzed and computed.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για ΣτελέχηDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
68Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές