Timing Decisions and the Behavior of Mutual Fund Systematic Risk

The alpha and omega of fund of hedge fund added value

“…As a result, there is no need to specify an arbitrary window size, as is the case for regressions with rolling windows. Building on the growing literature (see Bogue, 1973;Sunder, 1980;Alexander et al, 1982;Annaert and van Campenhout, 2002; Swinkels and Van der Sluis, 2 One could include a structural break analysis (see Meligkotsidou and Vrontos, 2008) to consider several strategic allocations, but such an analysis is beyond the scope of this paper and left for further research.…”

Testing Capm using Markov Switching Model: The Case of Coal Firms

“…Alexander et al (1982) conduct a study to investigate both theoretically and empirically the appropriateness of describing the systematic risk of mutual funds with a different model of non-stationary-a first-order Markov process using the data consisting of the monthly returns for 67 mutual funds over the period January 1965 through December 1973. It will be shown that even if fund managers do not actively engage in timing decisions, the systematic risk of mutual funds theoretically can be modeled as being non-stationary.…”

Die Verfahrensheterogenität in der Performance-Messung von Anlageportfolios

“…16 Bei Scholz (2003) werden verschiedene traditionelle Performance-Maße unter der Prämisse unterschiedlicher Soll-und Habenzinssätze konzipiert. Auch Schmidt-von Rhein (2004) Miller u. Gressis 1980;Alexander et al 1982;Kruschwitz 2007). Dadurch, dass Fondsmanager in der Regel das Ziel verfolgen, eine Performancesteigerung durch das Ausnutzen ihrer Timingfähigkeiten auszulösen, tritt u. U. eine Verzerrung des angewandten Performance-Maßes auf.…”