Fund Management- Chapter6. Brokerage Transactions For Mutual Funds
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(2) Fund Management. Primary Responsibilities of Mutual Fund Traders (cont.) . Broker-dealer selection may depend on successful services such as Providing. search services (i.e., finding the other side of a trade). Providing. anonymity for large orders. Providing. research services to support successful investment decisions. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 2. Fund Management. Other Functions of Mutual Fund Traders . Providing market information to managers and analysts Performing cloning of a master fund to multiple similar versions Maintaining an appropriate level of cash in a fund while trading Performing compliance checks on proposed/executed trades Interfacing with the back office to ensure proper settlement (includes communicating with the broker, fund accounting, and custodian bank). Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 3.
(3) Fund Management. Fiduciary Responsibilities of a Fund Trader: Best Execution . Trader＇s primary responsibility is to seek “best execution＂ Not. precisely defined by the SEC; entails balancing a number of factors . . Doesn＇t require trading at lowest commission or lowest price Shouldn＇t be judged by focusing only on individual trades. Fund＇s. board of directors must make periodic assessment of execution quality made by the fund＇s traders. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 4. Fund Management. Fiduciary Responsibilities of a Fund Trader: Best Execution (cont.) . Execution quality can be evaluated using sophisticated analytical models Abel/Noser. compares “cost＂ of trades for a fund to the Abel/Noser universe. Plexus. compares the “cost＂ of trades for a fund to the “expected cost＂. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 5.
(4) Fund Management. Fiduciary Responsibilities of a Fund Trader: Specific Issues . Use of a broker affiliated with a fund. . Use of soft dollars. . Allocation of trades among sister funds. . Interfund trades. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 6. Fund Management. Chapter 7. Marketing of Mutual Funds Department. of Finance, NTU Prof. Shean-Bii Chiu 2003/11/11.
(5) Fund Management. Distribution of Mutual Funds . Critical factors for increasing or retaining customers Performance Distribution. => focus of chapter 7. Service. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 8. Fund Management. Distribution of Mutual Funds (cont.) . Main distribution channels for mutual funds Intermediary:. funds purchased through a third party. such as a . Broker: dealer, bank, insurance company, financial planner, or registered investment adviser. Direct:. purchased from the fund sponsor or through a fund supermarket Retirement: includes . 401(k) and other defined contribution plans plus Individual retirement accounts. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 9.
(6) Fund Management. The Intermediary Channel: Broker-Dealers . Full-service BDs were among the first purveyors of mutual funds Overall, BDs comprise ~65% of intermediary market for mutual funds May. sell proprietary or independent funds Are normally compensated for mutual funds sales and advice through . Sales commissions (loads) paid by the investor Annual distribution charges (12b-1 fees) paid directly by the fund. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 10. Fund Management. The Intermediary Channel: Broker-Dealers (cont.) . Example of sales and service model Note. competition for shelf space at BDs MF sponsor’s website • Provides restricted access info for RRs. Investor. Broker-dealer’s registered rep. • Ongoing relationship with investor. • Meets with and has relationship with registered rep.. • May deal with in-house or numerous independent fund wholesalers • Monitors and recommends mutual funds as appropriate. MF sponsor’s wholesaler. Mutual fund family. • Provides to RR: fund marketing materials, sales strategies, seminar support, fund info re: asset allocation strategies, etc. • Backed by a phone bank, etc. at the sponsor to answer ?s and send requested material. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 11.
(7) Fund Management. The Intermediary Channel: Commercial Banks and Insurance Companies . Commercial banks Initially. prohibited from sponsoring or underwriting mutual funds by Glass-Steagall (repealed in late 1999) Now banks can distribute third-party funds and establish their own funds Different competitive challenges for large versus small banks Overall, manage ~30% of fund assets, primarily money market Approximately 6–7% of annual mutual fund sales are through banks Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 12. Fund Management. The Intermediary Channel: Commercial Banks and Insurance Companies (cont.) . Insurance companies Distribute . funds and variable annuity products. VAs are one of the fastest growing mutual fund products VAs are tax driven; after-tax contributions then grow taxdeferred. Many. insurance companies now own mutual fund managers. Overall,. manage ~7% of fund assets. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 13.
(8) Fund Management. The Intermediary Channel: RIAs and Financial Planners . . RIAs (Registered Investment Advisers) . Rose to prominence in late 1980s–90s as more customers chose to pay for advice on an annual basis versus through traditional commissions. . May be independent or affiliated with larger firms. Financial planners . Often offer a broader range of services than RIAs, including estate planning and tax advice. . Although many charge an annual fee based on percentage of a client＇s assets (as do RIAs), some financial planners are commission-based. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 14. Fund Management. The Intermediary Channel: RIAs and Financial Planners (cont.) . Both are viewed as independent from specific funds Tend. to focus on the no-load fund universe or. Tend. to purchase funds through a no-transaction fee supermarket arrangement. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 15.
(9) Fund Management. Intermediary versus Direct Channel: Key Drivers of Early Fund Asset Growth $ Billion 140. Direct sales of new money market funds. 120 100. Market corrects. 80. Brokers drive sales of equity funds. 60 40. Postwar economy booms. 20. Money Market Funds. Stock and Bond Funds 1980. 1975. 1970. 1965. 1960. 1955. 1950. 1945. 1940. 0 Source: Investment Company Institute (ICI). Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 16. Fund Management. The Direct Channel: Direct Marketers . Became popular in 1970s with advent and sales of money market funds Promote lower-cost fund sales with limited guidance (versus intermediary) Some . Some . promote “no-load＂ funds. Pure no-load funds: have no load and no 12b-1 fee No-load funds: have no load and 12b-1 fee <25 bp. promote lowered annual fees. May cap fees at a specified level or create funds with low fees for certain investors (e.g., those with longtime and/or larger accounts). Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 17.
(10) Fund Management. The Direct Channel: Direct Marketers (cont.) . Promote convenience of services available Started. with extensive phone centers, walk-in offices, or investor centers Internet created another sales and service model . Investor’s appetite for advice has challenged the channel Internet. has helped to provide site for interactive tools and general DIY investment planning Perhaps partly responsible for decline in pure direct channel sales. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 18. Fund Management. Mutual Fund Supermarket . How it works Fund/fund. sponsor pays annual fee (25–35 bp) to operator of supermarket Operator “displays” and advertises funds and effects transactions with buyers . . Schwab was first operator in 1992; together with Fidelity, dominates the market Provide a consolidated statement of holdings to customers. Direct. buyers are individuals, but investment advisers also “shop” there. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 19.
(11) Fund Management. Mutual Fund Supermarket (cont.) . Pros for fund sponsor Do. not have to build own distribution network All shareholder services provided at low cost Can gather assets quickly through good performance . Cons for fund sponsor Give. up control of customers Give up a portion of future revenues Assets are more dependent on short-term performance Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. Mutual Fund Supermarket Assets. 20. Fund Management. $ Billion $500 $400 $300 $200 $100 $0 1992 1993. 1994 1995 1996 1997. 1998 1999 2000. Source: Assets were estimated using information available on Schwab and Fidelity supermarket accounts. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 21.
(12) Fund Management. Cross-Channel Trends: Open Architecture . . Provides investors (in any distribution channel) to centralized access to products from many fund sponsors Has prompted increased spending on fund advertising that focuses on “Value-added＂. services such as advice. Overall. brand Top performance (this type of ad is heavily regulated by SEC and NASD) Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 22. Fund Management. Cross-Channel Trends: Open Architecture (cont.) . Has led to creation of account aggregation (AA) Investors. can view all their online accounts at other institutions on the AA provider＇s website AA providers can strengthen their relationship with client by providing analytical tools and marketing targeted products and services Success will depend on investors＇ comfort with giving all their account information to one financial provider Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 23.
(13) Fund Management. Cross-Channel Trends: Advice . . Proliferation of investment choices has led to explosion in investment information => created a growing demand for advice High net-worth advice . Often for investors with >$1 million in investable financial assets Advice may come in the form of products responsive to personal needs . Mutual fund wraps—discretionary management of a portfolio of mutual funds Separate accounts—un-pooled portfolio of securities run by a professional manager; personalized and tax-sensitive. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 24. Fund Management. Cross-Channel Trends: Advice (cont.) . Smaller account advice Not. cost effective to offer high levels of customized, personalized service Advice may come in the form of one fund solutions and Internet-based tools . . One fund solutions include: asset allocation funds, lifestyle funds Internet-based tools offer semi-customized solutions based on inputs about investment goals, time frames, risk tolerances, etc.. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 25.
(14) Fund Management. Cross-Channel Trends: Needs-Based Marketing . . Seeks to meet particular needs with specific products and services . Focuses on very common needs. . Extension of advice-oriented products and services. College planning . Internet tools help calculate sum needed to meet a goal within a time frame. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 26. Fund Management. Cross-Channel Trends: Needs-Based Marketing (cont.) . College planning (cont.) . Various tax-advantaged options exist to assist with education saving . . . . UTMA/UGMA (custodial) accounts allow income and capital gains to be taxed at the minor’s tax rate versus the donor-custodian Education IRAs allow certain limited contributions to grow tax-free until a child reaches 18; specified distributions are also tax-free Section 529 plans allow states to offer specified college savings plans; specified distributions are excluded from federal tax; donors may contribute a lump sum up to $50,000 without being subject to gift taxes. Wealth transfers . Programs to assist in estate planning New products intended to facilitate charitable giving. Copyright © Houghton Mifflin Company. All rights reserved. Prof. SheanShean-Bii Chiu 2003/11/11. 27.
(15) Fund Management. Supplement. Style Analysis Department. of Finance, NTU Prof. Shean-Bii Chiu 2003/11/11. Fund Management. Reducing the Dimensionality Of the Investment Task . Hundreds of thousands securities Bonds Stocks Derivatives Currencies. . etc.. Need to identify a relatively small number of key factors. 2003/11/11. Prof. SheanShean-Bii Chiu. 29.
(16) Fund Management. Factor Models Bond models Equity factor models Multi-country equity models Asset class models Derivative risk models . 30. Prof. SheanShean-Bii Chiu. 2003/11/11. Fund Management. A generic linear factor model ～. ～. ～. ～. ～. R i = bi1 F 1 + bi 2 F 2 + ... + bin F n + e i ～. F j ==factor factorjj. bij = sensitivity of Rj to factor j = sensitivity of Rj to factor j ～. e i ==non-factor non-factorcomponent componentof ofreturn return. 2003/11/11. Prof. SheanShean-Bii Chiu. 31.
(17) Fund Management. Terminology . Factor Sensitivities (b＇s) Exposures Factor. loadings. Style. . Non-factor Component idiosyncratic security-specific selection. return. 2003/11/11. 32. Prof. SheanShean-Bii Chiu. Fund Management. The Effects Of Diversification . Factor-related risk Exposures. averaged Risk depends on exposures and factor covariance matrix . Risk is averaged, not reduced Non-factor. related risk Depends on squared exposures Risk is reduced as average exposure decrease 2003/11/11. Prof. SheanShean-Bii Chiu. 33.
(18) Fund Management. Possible Criteria For Evaluation Of a Factor Model Out-of-sample performance Goodness of fit Low correlations among residuals Superior results with used as part of a decision process . 2003/11/11. Prof. SheanShean-Bii Chiu. 34. Fund Management. Portfolio Characteristics. 2003/11/11. Prof. SheanShean-Bii Chiu. 35.
(19) Fund Management. Performance Attribution. Rpt = bp1tF1t + … + bpntFnt + ept. 2003/11/11. 36. Prof. SheanShean-Bii Chiu. Fund Management. Comparative performance attribution Rpt = bp1tF1t + … + bpntFnt + ept RBt = bB1tF1t + … + bBntFnt + eBt. 2003/11/11. Prof. SheanShean-Bii Chiu. 37.
(20) Fund Management. Comparative performance attribution (cont.). Rpt － RBt = (bp1t － bB1t) F1t + (bp2t － bB2t) F2t … +( bpnt － bBnt ) Fnt + (ept － eBt ). 2003/11/11. 38. Prof. SheanShean-Bii Chiu. Fund Management. Comparative performance attribution (cont.). ept － eBt = (X1pt － X1Bt) e1t + (X2pt － X2Bt) e2t + …. 2003/11/11. Prof. SheanShean-Bii Chiu. 39.
(21) Fund Management. Asset Class Factor Models values sum to 1.0 bij ei is selection return ∑ bijFj is style return bi1… bin effective asset mix Prof. SheanShean-Bii Chiu. 2003/11/11. 40. Fund Management. Typical Asset Classes . Fixed Income Maturity Default. Risk Prepayment Options . Equity Value. / Growth Large / Small Foreign . Fixed / Equity Hedged. 2003/11/11. / Unhedged Prof. SheanShean-Bii Chiu. 41.
(22) Fund Management. Portfolio Composition-Based Approaches . Use a model to estimate exposures of each security to the underlying asset classes Portfolio exposures are value-weighted averages of security exposures Provides estimates of the portfolio at a given time Security exposures difficult to measure due to noise May be expensive. 2003/11/11. 42. Prof. SheanShean-Bii Chiu. Fund Management. Portfolio Return-Based Approaches Compare portfolio with asset classes returns to estimate exposures Can use historic returns on present portfolio or historic returns on portfolios held in the past Lower noise on portfolio returns may provide better estimates of exposures Usually expensive . 2003/11/11. Prof. SheanShean-Bii Chiu. 43.
(23) Fund Management. Central Analytic Tasks Specification of an appropriate factor Estimation of the relevant coefficients (b＇s) Estimation of factor risks, correlations and expected returns Estimation of residual risks and expected returns Design of appropriate optimization procedures . 2003/11/11. 44. Prof. SheanShean-Bii Chiu. Fund Management. A typical Top-Down Approach to Investment Management Select Asset Classes Determine an optimal Asset Allocation Map investment products to asset class exposures Allocate funds among investment products . obtain. desired asset allocation Add value (if possible) . Analyze performance. 2003/11/11. Prof. SheanShean-Bii Chiu. 45.
(24) Fund Management. Fidelity Magellan: Selection Return Statistics 0.39 1.16 0.34 2.63 99.6. Mean Selection Std Dev of selection Sharpe Ratio T-Statistic Selection Percentile. 46. Prof. SheanShean-Bii Chiu. 2003/11/11. Fund Management 88年 封閉型 科技類股票型 中小型股票型 特殊類股票型 上櫃股票型 債券股票平衡型 一般股票型 國外募集 Total. 基金數. 塑化. 紡織. 機電. 營建. 金融. OTC. 6 12 7 5 15 4 66 8 123. 27.66% 4.54% 17.76% 15.63% 4.07% 7.79% 17.11% 20.12% 13.51%. 1.18% 2.07% 1.05% 1.11% 0.01% 0.69% 0.80% 1.63% 0.99%. 24.54% 60.76% 35.31% 34.49% 23.69% 38.37% 44.33% 37.48% 37.36%. 2.85% 0.10% 0.41% 0.95% 0.01% 1.02% 1.83% 2.34% 0.10%. 6.32% 0.08% 0.32% 17.09% 3.46% 0.00% 1.52% 5.45% 4.11%. 25.91% 22.62% 34.59% 20.64% 67.39% 9.12% 26.21% 27.40% 29.50%. 88年 封閉型 科技類股票型 中小型股票型 特殊類股票型 上櫃股票型 債券股票平衡型 一般股票型 國外募集 Total. 30天RP 一個月定存 R-Square mean(ei). 2003/11/11. 10.33% 5.86% 7.80% 6.74% 0.89% 30.43% 5.41% 4.71% 9.64%. 1.20% 3.97% 2.75% 3.35% 0.49% 12.59% 2.80% 0.88% 3.88%. 82.93% 84.47% 77.61% 88.29% 83.09% 83.17% 84.76% 87.48% 83.47%. Prof. SheanShean-Bii Chiu. -0.14% 0.19% -0.14% -0.34% -0.05% -0.06% 0.01% -0.14% -0.08%. 47.
(25) Fund Management. 經濟榮枯與市場循環. 48. Prof. SheanShean-Bii Chiu. 2003/11/11. Fund Management. 美國20世紀主要股市空頭時期 The Major Bear Markets Of the Twentieth Century. 2003/11/11. Year. Duration (Months). Decline of Dow Jones Industrial Average. 1900 1903 1907 1912 1917 1919 1929 1937 1946 1966 1968 1973 1977 1981 1987. 12 12 10 25 13 21 34 56 37 8 18 24 15 16 2. 32% 38% 45% 24% 40% 46% 90% 52% 25% 27% 37% 47% 26% 25% 41%. Note: Smaller bear markets have occurred in addition to those cited, for example a 20% decline in 1990. Prof. SheanShean-Bii Chiu. 49.
(26) Fund Management. Fed 調息對股市之影響 Stock Price and Federal Reserve Action Changes in the Dow Jones Industrial average before and after the Federal Reserve Board eases monetary policy on two consecutive occasions. Most signals result from two consecutive reduction s in the discount rate. Values are averages, 1914 – 1991.. Time of signal. Based on data from Growth Fund Research, Inc.. 50. Prof. SheanShean-Bii Chiu. 2003/11/11. Fund Management. 股價乘數之歷史統計 Measures of Market Value Ratio. Average Value. Historic High. Historic Low. Price to Book Value (Assets minus Liabilities per share out standing). 1.6. 4.2 (1929). 0.5 (1932). Price to Earning (Price divided by earnings per share out standing). 14.1. 28.0 (1935). 6 (1979). Price to Dividend (Price divided by dividend per share out standing). 22.6. 38.4 (1987). 6 (1932). Based on the Dow Jones industrial average. Numbers in parenthesis indicate years of occurrence. Prof. SheanShean-Bii Chiu 2003/11/11. 51.
(27) Fund Management. 股價 / 股利比值之區間頻率統計 Frequency of Price/Dividend Ratios of the S&P 500 ( The historical average value is 23 ). Based on data from Growth Fund Research, Inc. Prof. SheanShean-Bii Chiu 2003/11/11. 52. Fund Management. 不同股價 / 股利比值區間一年後之報 酬率統計 The Probable consequence various price/divided ratios. The probability magnitude of gains and losses in the twelve months following various prices/divided ratios, 1971 through 1990.. Numbers in parenthesis represent negative values. Based on data from Growth Fund Research, Inc. Prof. SheanShean-Bii Chiu 2003/11/11. 53.
(28) Fund Management. 股價 / 股利與 S&P 指數之走勢 NINETY YEARS OF PRICE／DIVIDED RATIOS The price／divided ratios of the S&P 500 index compared to the value of the index throughout the twentieth century. 2003/11/11. 54. Prof. SheanShean-Bii Chiu. Fund Management. 入選 FORBES 榮譽基金之次年表現 Performance of Forbes “Honor Roll“ in a ten year period Performance of the open-ended domestic funds in the Honor Roll, 1981 through 1990. Represents the first year of performance after being nominated to the Honor Roll.. Numbers in parenthesis indicate frequency of appearance over a ten year period. 2003/11/11. Prof. SheanShean-Bii Chiu. 55.
(29) Fund Management. 攻擊型 vs. 防禦型基金 FUND PERFORMANCE IN UP AND DOWN MARKETS. 2003/11/11. Figures in parenthesis represent negative values Prof. SheanShean-Bii Chiu. 56. Fund Management. 市場循環與基金表現 THE COUNTER CYCLICAL MOVEMENT OF FUNDS An example of the individual cyclical movement of funds. 2003/11/11. Prof. SheanShean-Bii Chiu. 57.
(30) Fund Management. 在不同精確度下動態資產配置之附加價值 Risk and returns of an asset allocator’s portfolio ( switching allowed once a month ). *The value of perfect information has been compared to the value of a put option on the stock portfolio by Merton (1981). In a sense the goal of asset allocator is to create the same pattern but pay as little as possible for the put option. Prof. SheanShean-Bii Chiu 2003/11/11. 58. Fund Management. 買入持有 vs. 動態資產配置之報酬率分配 The distribution of returns on an asset allocator’s portfolio where correlation between Between a leading indicator and stock returns are 0.0 and 0.3. 2003/11/11. Prof. SheanShean-Bii Chiu. 59.
(31) Fund Management. 交易成本對動態資產配置 附加價值之影響 Effect of misestimation of correlation on value added by an asset allocator (monthly switching; 0.1% transaction cost ). True Correlation. Value Added When Estimated Correlation is: 0 0.1 0.2 0.3 0.4 0.5. 0.0 0.1 0.2 0.3 0.4. 0.0 0.0 0.0 0.0 0.0. -1.3 0.2 1.8 3.3 4.9. -3.1 0.5 2.4 5.3 8.1. -3.8 -1.1 2.2 5.5 8.4. -4.7 -0.8 2.0 5.7 8.8. -4.0 -1.2 2.2 5.4 8.2 60. Prof. SheanShean-Bii Chiu. 2003/11/11. Fund Management. 信賴度估計誤差對動態資產配置 報酬率之影響 Effect of transaction costs on the value added by an asset allocator (monthly switching) Correlation Between the Leading Indicator and Stock Returns 0.0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0 2003/11/11. Value Added by an Asset Allocator When Transsaction Costs Are 0.0% 0.1% 1.0% 0 0.5 3 5.9 9.3 13 16.2 19.4 23.2 27.3 31.3 Prof. SheanShean-Bii Chiu. 0 0.2 2.4 5.5 8.8 11.9 15.6 19.2 22.6 26.4 30.7. 0 0 0.1 1.2 3.4 6.4 9.5 12.9 16.8 20 23.4 61.
(32) Fund Management. 預期股票風險溢酬與投資報酬率 之關係 Stocks / Bills Premium* and Subsequent Performance Stocks vs. Bills 1951-1989. Premium # No. Range Obs. > 10 8-9.9 6-7.9 5-5.9 4-4.9 2-3.9 <2. 10 64 102 64 107 96 25 468. Avg. Subsequent Excess Return 1 mo. 2.5% 1.9 0.5 0.7 0.4 (0.1) (1.8) 0.5. 2003/11/11. 3 mo. 6.8% 4.8 2.0 1.6 1.8 (1.4) (1.7) 1.5. Probability of Postive Excess Return 12 mo. 26.1% 16.7 6.1 4.8 2.7 2.8 (6.9) 5.7. Prof. SheanShean-Bii Chiu. 1 mo. 80% 66 57 61 60 48 32 57. 3 mo. 80% 78 63 70 64 42 36 61. 12 mo. 100% 89 63 67 62 60 40 66 62. Fund Management. 績效指標. 2003/11/11. Prof. SheanShean-Bii Chiu. 63.
(33) Fund Management . Sharpe 指標. . Treynor 指標. 64. Prof. SheanShean-Bii Chiu. 2003/11/11. Fund Management . Jensen 指標. . Information Ratio指標. ∑ (R n. Ip = 2003/11/11. t =1. pt. σ (R. − Rmt ) (4). pt − Rmt. ). Prof. SheanShean-Bii Chiu. 65.
(34) Fund Management . Treynor & Mazuy (5). . Chang & Lewellwn (6). 2003/11/11. 66. Prof. SheanShean-Bii Chiu. Fund Management . Henriksson (5). 2003/11/11. Prof. SheanShean-Bii Chiu. 67.
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