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0answers
26 views

What is the difference between a three month return and a quarterly return?

I am looking at VGENX, and this product has first-quarter and three-month returns of 7.8% and 20.3%, respectively, according to zacks.com. I take it as the three month return is calculated taking into ...
0
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0answers
63 views

Assumptions of the One-Fund Theorem

What are the assumptions of the One-Fund Theorem? (You can look it up here for example: https://www.math.washington.edu/~burke/crs/408/fin-proj/mark1.pdf ) Is the assumption that the market offers ...
5
votes
2answers
87 views

How to find funds with long history to use in backtest?

Is there a way (website/code) to find funds/etfs for a given asset class and how much data history is available (yahoo finance or other) ? It could be as simple as a list of funds by asset class and ...
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1answer
65 views

How can I compare two mutual funds' performance with a sparse set of data?

I want to compare the performance of two mutual funds. The only data I have is annual returns for the past 7 years. So I have 7 observations for Fund 1 and 7 observations for Fund 2. In addition, I ...
2
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1answer
130 views

Online database of ETF & Mutual Fund Fees?

Is there any online data source of ETF and/or mutual fund fees? Free or paid is fine, although hopefully there's something out there cheaper than Bloomberg
1
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0answers
223 views

How to calculate global exposure via commitment approach for FX swaps?

How would you calculate global exposure for FX swaps using the commitment approach? In particular, would you take into account both legs? CESR guidelines (CESR/10-788) defines that the exposure for ...
1
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0answers
64 views

Jensen's alpha with timing activities

Why is Jensen’s Alpha not an appropriate measure of performance anymore, if the fund manager is a perfect market timer as stated for example in the Treynor-Mazuy-model or the Henriksson-Merton-model?
1
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2answers
110 views

Where to get master list of mutual funds?

I cant seem to find a straight answer anywhere on Google for this. I would like to create a master list of all known mutual funds and their ticker symbol. Is it possible to get this data from ...
1
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1answer
140 views

Calculating returns for a mutual fund with dividends

I'd like to calculate returns for a given mutual fund (in this case, PRWCX from troweprice). When I look at their published performance, it says the Calendar Year Total Returns for 2013 is 22.43% but ...
1
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0answers
77 views

Understanding Price Elasticities in Discrete Choice Models (Derivative)

I'am in the midst of a paper on mutual fund product differentiation by Li and Qiu. Here, the authors model the utility an investor derives from investing in a mutual fund using a Discrete Choice Model ...
2
votes
1answer
3k views

How to distinguish total return and absolute return funds in the KIID

I hope this question is on-topic. It is not relally a quant question but it is a question that quants in risk management in asset management firms have to answer: In the KIID (key investor ...
2
votes
1answer
57 views

The role of micro credit in finance

The concept of micro credit has been around for a while. Recall that Muhammad Yunus together with Grameen Bank were awarded the Nobel price in this context. I don't have references at hand but I ...
3
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2answers
188 views

Effects of Fund manager reputation, track record, and skill on funds returns and capital flows

I am compiling a list of all studies that examine the effects of fund manager reputation, track record and skill on fund returns and capital flows across both mutual funds and hedge funds. The purpose ...
6
votes
2answers
5k views

Difference between S&P 500 index and S&P 500 Total Return index?

There's the standard S&P 500 index (SPX) and the rarer used S&P 500 Total Return index (SPTR). If you compare graphs, you'll find that the latter grows faster. Supposedly, SPTR assumes ...
3
votes
1answer
190 views

Single Most Important Fact about a Fund - Interview Question [closed]

I recently attended an interview to work as a software developer in an Asset Management company. I was asked by the interviewer: What is the most important piece of information that should be ...
2
votes
0answers
130 views

Is there such a thing as “sell-off risk” in bond funds?

Popular yet generally academically-grounded commentators such as Annette Thau and Larry Swedroe have claimed that there is the possibility for "sell-off risk" in bond funds. By this they apparently ...