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Unmapped Holdings and the Performance Measurement of U.S. Equity Mutual Funds

dc.contributor.advisorWermers, Russellen_US
dc.contributor.authorHunter, David L.en_US
dc.description.abstractThis paper investigates a dataset that provides information about assets held by U.S. equity mutual funds, but are not U.S. equities (`unmapped holdings'). I show the widespread presence of these assets and investigate how they are used within mutual fund portfolios. I find that their effects are statistically significant upon both portfolio risk and return. They can either hedge or complement mapped asset returns. I show that predictability of mutual fund returns are reduced when unmapped holdings returns are controlled. Since unmapped holdings returns are not observable, I define an econometric technique that in chapter two that can control for their effect. This technique uses an average return (an `endogenous benchmark') to control for common but immeasurable or unobservable characteristics in a group of funds. I find that an `endogenous benchmark' alone produces estimates nearly as good as those using common risk factor regression models. By combining an endoge- nous bechmark with other risk factors in regression models, I find that estimates are improved.en_US
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dc.titleUnmapped Holdings and the Performance Measurement of U.S. Equity Mutual Fundsen_US
dc.contributor.publisherDigital Repository at the University of Marylanden_US
dc.contributor.publisherUniversity of Maryland (College Park, Md.)en_US
dc.contributor.departmentBusiness and Management: Financeen_US
dc.subject.pqcontrolledEconomics, Financeen_US
dc.subject.pquncontrolledEndogenous Benchmarksen_US
dc.subject.pquncontrolledMutual Fundsen_US
dc.subject.pquncontrolledPerformance Measurementen_US
dc.subject.pquncontrolledReturn Gapen_US
dc.subject.pquncontrolledUnmapped Holdingsen_US

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