faqs.org » Abstracts Index » Abstracts » Business

Measuring fund strategy and performance in changing economic conditions

Article Abstract:

The use of predetermined variables to represent public information and time-variation has produced new insights about asset pricing models, but the literature on mutual fund performance has not exploited these insights. This paper advocates conditional performance evaluation in which the relevant expectations are conditioned on public information variables. We modify several classical performance measures to this end and find that the predetermined variables are both statistically and economically significant. Conditioning on public information controls for biases in traditional market timing models and makes the average performance of the mutual funds in our sample look better. (Reprinted by permission of the publisher.)

Investment Offices, Investment Companies, Open-End Investment Funds, Performance, Measurement, Economics, Mutual funds, Information theory, Information theory in economics

---

The empirical implications of the Cox, Ingersoll, Ross theory of the term structure of interest rates

Article Abstract:

An analysis of the one-factor model of interest rate term structures developed by J. Cox, J. Ingersoll and S. Ross (and known as the CIR model) indicates that estimates can be accurately derived for short and long term zero coupons' interest rates, as well as interest rate variances over relatively short time lengths. The analysis applies the CIR model to U.S. Treasury note issuances from 1952 to 1983. The analysis suggests that there are neglected tax effects, due to the existence of residual points. A discussion of the research paper by Wayne E. Ferson notes that a four-factor model, as used by the research, will ensure a certain amount of accuracy when characterizing interest rate term structures.

Models, Conferences, meetings and seminars, Forecasts and trends, Securities, Interest rates, Criticism and interpretation, Interest rate futures, American Finance Association, Cox, J., Ingersoll, J., Ross, S.

---

The efficient use of conditioning information in portfolios

Article Abstract:

The authors offer solutions for mean variance optimization problems that arise with conditioning information. They note that such portfolios achieve the smallest variance for a given mean and provide solutions for risky assets with and without riskless asset.

United States, Stocks & Other Equity Securities, Statistical Data Included, Research, Portfolio management

Some parts © 2012 Advameg, Inc.