Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 4 of 4 for “"Fund performance evaluation"”.
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Essay 1. Equity Style Identification. Essay 2. Equity Fund Performance Evaluation: The Importance of Fund Style. Essay 3. A Dynamic Model of Mutual Fund Managers' Investment Strategies
… the convex compensation structure encourages fund managers to utilize higher optimal skill level at any given point in time.
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Equity Style Indices and Liquidity in Europe
… role with respect to European stocks and mutual funds. First, a consistent set of European style indices is outlined from which risk factors like market excess return, size, valuation and momentum, but also novel idiosyncratic risk and systematic liquidity factors are derived. The daily 2002 to …
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Hedge Fund Performance and Derivative Hedging
… comprised of three essays which focus on hedge fund performance and derivative hedging. The first essay uses ETF returns as proxies for tradable risk factors in hedge fund performance evaluation and identifies contemporaneously relevant risk factors from the entire universe of ETFs. The model …
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The Evaluation of Domestic Socially Responsible Investment Equity Funds Performance in Australia
In this paper, I analyse the performance of Australian domestic equity Socially Responsible Investment Funds (SRIFs). I construct a sustainability index based on negative screens, and use this index to evaluate the performance of SRIFs by employing the Jensen (1968) CAPM, Fama–French (1993) …