考文垂大学 商科课程 机构投资 课件3.docx

1、考文垂大学 商科课程 机构投资 课件3PERFORMANCE OF INSTITUTIONAL INVESTMENTSOne issue facing retail investors who are looking to buy an institutional investment is whether to invest in an actively managed fund or in an index-tracker fund. If markets were efficient actively managed funds cannot be expected to consist

2、ently outperform the market and so it is pointless to pay their management fees. If markets were efficient, individual investors should invest in low-cost index-tracker funds. However the evidence from behavioural finance and studies of market anomalies throw doubt on the efficient market hypothesis

3、. If markets are not informationally efficient, should investors choose to invest in actively managed funds on the grounds that it is possible to outperform the market?Malkiel (2003a) argued that even if market efficiency is not accepted, retail investors should still choose index-tracker funds. One

4、 point is that investment out-performance and underperformance is a zero-sum game. If some investment managers out-perform the market, others must under-perform the market. Obviously, in aggregate, the market performs in line with the market. Index-tracker funds perform in line with the market. The

5、aggregate market minus index-tracker funds must therefore perform in line with the market. Actively managed funds are the aggregate market minus index-trackers. So actively managed portfolios, in aggregate, must perform in line with the market. If some actively managed portfolios outperform others m

6、ust under-perform. This suggests that, on average, actively managed funds perform in line with the market before their costs are considered. When costs are taken into account actively managed funds, on average, could be expected to under-perform the market. The conclusion seems to be that individual

7、 investors should invest in index-tracker funds rather than waste money on management fees whilst taking the risk that their particular managers are relatively poor performers. Some funds do outperform the stock market. Is such out-performance due purely to chance, since chance would generate out-pe

8、rformers as well as under-performers, or is investment management skill involved? If skill were involved, it would be expected that there is persistence in relative performance; in particular more funds would show continued out-performance than would be expected on the basis of chance. If relative p

9、erformance of actively managed funds arises from chance rather than skill, the implication remains that retail investors should choose index-tracker funds. If any persistence in out-performance were the result of investment management skill, one more condition should be met before individual investo

10、rs choose actively managed funds; There should be means of ascertaining which investment managers demonstrate the skill that leads to persistent out-performance. Furthermore the techniques for ascertaining which managers have skill should be easy to use, and should give precise results (it is of lit

11、tle use to an individual investor if the technique merely changes a 50:50 chance of correctly choosing to a 55:45 chance of correctly choosing). There is also the risk that if everyone identifies the out-performers, so much money would be switched to the out-performers that they are unable to contin

12、ue the out-performance. EMPIRICAL EVIDENCE ON PERFORMANCETHE EVIDENCE AIMS TO ANSWER THE QUESTIONS:1. DO FUNDS, ON AVERAGE, BEAT THE STOCK MARKET?2. Does the relative PERFORMANCE OF FUNDS PERSIST?3. IS PERSISTENCE PREDICTABLE?DO FUNDS, ON AVERAGE, BEAT THE STOCK MARKET?RETURNS ARE NOT THE ONLY DIMEN

13、SION OF PERFORMANCE. rISK MUST ALSO BE CONSIDERED. hIGH RETURNS WITH HIGH RISK ARE NOT NECESSARILY BETTER THAN LOW RETURNS WITH LOW RISK. oNE APPROACH IS TO COMPARE FUND RETURNS WITH A BENCHMARK RETURN, WHICH IS ADJUSTED FOR RISK.Jensens AlphaThis derives a benchmark rate of return using the Securit

14、ies Market Line from the Capital Asset Pricing Model. The securities market line provides a theoretical rate of return comprising two components. The first component is a risk-free rate of return (e.G. the interest on bank deposits), the second component is a reward for accepting risk. the reward fo

15、r accepting risk is the product of the portfolio beta (the beta of the portfolio being evaluated) and the market excess return. The market excess return is the difference between the return on a stock index portfolio, and the return on risk-free assets. Rb = Rf + p( Rm - Rf ) Rb is the expected rate

16、 of return on the assessed portfolio, Rm is the return on the stock index portfolio, Rf is the risk-free rate of return, and p is the beta of the portfolio being assessed. By using the beta of the portfolio under assessment, comparison of the observed and expected returns provides a risk-adjusted ev

17、aluation. The differential return is expressed as Rp - Rb. If this is positive the realised return on the fund being evaluated exceeds the benchmark rate of return and the fund is viewed as out-performing. Conversely a negative value indicates under-performance. Rp - Rb is often referred to as Jense

18、ns alpha. studies of fund performance have used means of risk adjustment, such as the jensen measure. this ensures that risk, as well as return, is considered.evidence from empirical researchThere have been numerous studies of the performance of mutual funds. Performance is measured in terms of tota

19、l return; that is dividend yield plus capital gains. Generally these studies have found that (1) on average funds under-perform stock indices, (2) funds with low charges and low portfolio turnover tend to outperform those with high charges and high turnovers.(3) past relative performance is not a go

20、od guide to future relative performance (i.e. there is little persistence).Studies that have found that actively-managed funds, on average, fail to outperform stock indices include: Friend, Brown, Herman and Vickers (1962) , Sharpe (1966) , Jensen (1968), Firth (1978), Malkiel (1988) ,Ippolito (1989

21、) , Elton, Gruber, Das and Hlavka (1993) , Blake, Elton and Gruber (1993),Malkiel (1995), Daniel, Grinblatt, Titman and Wermers (1997) , Wermers (2000), Shukla (2004).some studies indicate that fund managers have poor investment skills. Volkman (1999) investigated the stock selection and market timi

22、ng abilities of U.S. mutual fund managers. It was found that, on average, there was no ability to identify under-priced shares. Attempts to time the market were found to have, on average, negative effects on performance. Blake and Timmermann (2005) examined the performance of UK-based international-

23、equity pension funds over the period 1991-1997 by decomposing performance into stock selection and market-timing elements. They found that both elements usually made negative contributions to performance. The losses from poor stock selection were seen as possibly resulting from information asymmetri

24、es between U.K. and overseas investment managers whereby investors have an information advantage when investing in their own country. Correspondingly there is a relative disadvantage when investing in a country other than ones own. Dasgupta, Prat and Verardo (2006) investigated the purchases and sal

25、es of US institutional investors during the period 1983 to 2004. They distinguished stocks according to the persistence of buying and selling. If there had been net buying for each of the most recent five quarters a value of 5 was assigned, net buying in each of the most recent four quarters gave a

26、persistence value of 4, net selling in each of the previous three quarters produced a value of 3, and so forth. It was found that the most persistently sold stocks were subsequently the best performers, and the most persistently bought stocks turned out to be the worst performers. The researchers al

27、so found herding to be present amongst the institutional fund managers. These findings are consistent with the view that herd buying by institutions causes overpricing, and subsequent poor returns. Herding with respect to sales pushes prices down to unjustifiably low levels, and the under-pricing pr

28、ovides subsequent high returns as fundamental values are restored.Jiang, Yao and Yu (2007) published a study indicating that there could be market-timing ability depending upon how performance was measured.many studies suggest that funds with high expenses tend to provide investors with low returns

29、(elton, gruber, das and hlavka 1993, Reichenstein 1999; Indro, Jiang, Hu and Lee 1999; Bogle 1998; Carhart 1997); but ONE studY pointS the other way (Shukla 2004). evidence shows that high stock turnover (hence high brokerage costs) causes low net returns (ELTON, GRUBER, DAS AND HLAVKA 1993;Carhart

30、1997). Bogle (2002) compared the performance of high-cost U.S. mutual funds (top quartile, 1.8% p.a.) against the performance of low-cost mutual funds (bottom quartile, 0.6% p.a.) over 1991-2001.HE found that the low cost funds outperformed the high-cost funds by more than the cost differential (by

31、2.2% p.a.). The low-cost funds also exhibited lower risk than the high cost funds. The strongly performing low-cost funds included index-tracker funds.The relative advantage of index-tracker funds was enhanced by the absence offront-end fees and by the fact that many poorly performing actively-manag

32、ed funds had been withdrawn or merged into other funds with the effect that some weak funds were removed from the data when average performance was calculated.Malkiel (1995) and Elton, Gruber and Blake (1996) suggest that many studies have overstated the true performance of ACTIVELY-MANAGED mutual funds because of survivorship bias. Most data sets used have included records of all SURVIVING mutual funds. Mutual funds that were taken off the market due to poor performance (or were merged with other funds in order to bury their poor records) do not appea