Unmapped Holdings and the Performance Measurement of U.S. Equity Mutual Funds
dc.contributor.advisor | Wermers, Russell | en_US |
dc.contributor.author | Hunter, David L. | en_US |
dc.contributor.department | Business and Management: Finance | en_US |
dc.contributor.publisher | Digital Repository at the University of Maryland | en_US |
dc.contributor.publisher | University of Maryland (College Park, Md.) | en_US |
dc.date.accessioned | 2009-07-02T05:51:08Z | |
dc.date.available | 2009-07-02T05:51:08Z | |
dc.date.issued | 2009 | en_US |
dc.description.abstract | This 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 |
dc.format.extent | 320475 bytes | |
dc.format.mimetype | application/pdf | |
dc.identifier.uri | http://hdl.handle.net/1903/9193 | |
dc.language.iso | en_US | |
dc.subject.pqcontrolled | Economics, Finance | en_US |
dc.subject.pquncontrolled | Endogenous Benchmarks | en_US |
dc.subject.pquncontrolled | Investments | en_US |
dc.subject.pquncontrolled | Mutual Funds | en_US |
dc.subject.pquncontrolled | Performance Measurement | en_US |
dc.subject.pquncontrolled | Return Gap | en_US |
dc.subject.pquncontrolled | Unmapped Holdings | en_US |
dc.title | Unmapped Holdings and the Performance Measurement of U.S. Equity Mutual Funds | en_US |
dc.type | Dissertation | en_US |
Files
Original bundle
1 - 1 of 1
Loading...
- Name:
- Hunter_umd_0117E_10296.pdf
- Size:
- 312.96 KB
- Format:
- Adobe Portable Document Format