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Questions tagged [mutual-fund]

The tag has no usage guidance.

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14 views

How can I run a credit quality breakdown of mutual funds that don't publish one?

I'm interested in using some mutual funds (specifically the Ivascyn-managed PIMCO Income Fund [PIMIX] and some other PIMCO funds) that don't publish a credit quality breakdown. This makes it ...
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1answer
47 views

Mutual Funds: NAV vs Price

When calculating the return of a mutual fund, do I look at the NAV(+dividends) or do mutual funds trade as different prices compared to their NAV like closed-end funds or ETFs?
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2answers
198 views

Pricing and hedging fund-linked derivatives

I am looking for info regarding pricing, and hedging (notably vega and delta) of derivatives on funds. Could you please confirm/complete the below information I believe I've understood so far, or ...
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3answers
108 views

Measuring alpha (Academia vs the Industry)

During academia, I learned to evaluate the performance of a portfolio by calculating alpha as the following: $\alpha_{i} = (R_{it}-R_{ft})-[\beta_i(R_{BMK_t}-R_{ft})]$ where $\alpha_i$ and $\beta_i$ ...
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3answers
214 views

Fund size and alpha

During my research I found that fund active returns (alpha), measured by Fama and French four factor model, decreases as the fund increases in size (asset under management). What are some reasons ...
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0answers
25 views

Emerging market debt local vs hard

In an environment where the dollar is appreciating in value, similar to the current environment. Is it better to invest in emerging market debt local currencies or emerging market debt hard currency (...
1
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1answer
85 views

How do I officially track the performance of my quant strategy? Do I need to be GIPS compliant for my performance to be legitimate?

I have a quant strategy that I want to implement in order to establish an official track record, but I'm not sure what I have to do. I have about $100k to set this thing up and would appreciate ...
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2answers
356 views

Calculating 10-year Sharpe ratio for a mutual fund in excel?

Probably a very simple question but here goes. I am looking to calculate the Sharpe ratio for some funds in excel (173 funds to be exact). The monthly returns I have are from January 2006 to December ...
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1answer
293 views

Calculating fund alpha using Fama-French 3 factor model?

My dissertation requires me to evaluate fund performance, and for that I need to find the alpha for each fund. I have 173 funds total. I have all the inputs for the 3-factor model, and I realise ...
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0answers
183 views

mutual fund type from Thomson Reuters Datastream‎?

I am trying to download returns of all US mutual funds from Thomson Reuters Datastream‎ to estimate excess return. In addition to return, I also need types of mutual investment strategy(growth, ...
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2answers
69 views

Disadvantages of large panel

I am currently researching if some fund characteristics such as (fund size, fund family size, capital flows, and fund age) explains fund performance measured (monthly alpha). Therefore, I am using a ...
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2answers
146 views

What is a good way to detect fund manager's active stock picks from his portfolio holdings?

There are a number of challenges. It is usually unclear what the managers' benchmark index is. The index may have 500 - 3000 stocks, but the manager can only hold 20-50, so that will naturally ...
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1answer
145 views

Modelling fund positioning using fund returns and linear regression

I want to measure the positioning of an active bond mutual fund vs. its benchmark via rolling linear regression of returns vs several factors. The intuition of using linear regression is that the ...
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1answer
106 views

Return correlations

Assume an equity fund sample shows returns negatively correlated with the S&P 500. Are we more inclined to say that a) these funds are invested outside the S&P 500, perhaps non-US stocks; b)...
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0answers
52 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 ...
7
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2answers
155 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 ...
1
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1answer
86 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 ...
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1answer
197 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
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0answers
623 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 ...
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0answers
99 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?
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2answers
190 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 Edgar'...
1
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1answer
201 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 ...
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0answers
129 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 ...
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1answer
6k 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
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1answer
68 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 ...
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2answers
251 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 ...
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3answers
22k 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
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1answer
237 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
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0answers
138 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 ...