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Mutual Fund Selection: From Theory to Practice
The vast majority of investors in the capital market do so, at least in part, via mutual funds. In the US market alone, there are currently thousands of mutual funds to choose from. Thus, the task of mutual fund selection is of central importance. It is a notoriously difficult task, because the past return parameters are very noisy estimates of the future parameters. This book presents the state-of-the-art research in this field. It describes recent academic findings and translates them into practical guidelines for mutual fund selection, and will be of interest to researchers alongside professional investors and fund ranking agencies.

1146011488
Mutual Fund Selection: From Theory to Practice
The vast majority of investors in the capital market do so, at least in part, via mutual funds. In the US market alone, there are currently thousands of mutual funds to choose from. Thus, the task of mutual fund selection is of central importance. It is a notoriously difficult task, because the past return parameters are very noisy estimates of the future parameters. This book presents the state-of-the-art research in this field. It describes recent academic findings and translates them into practical guidelines for mutual fund selection, and will be of interest to researchers alongside professional investors and fund ranking agencies.

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Mutual Fund Selection: From Theory to Practice

Mutual Fund Selection: From Theory to Practice

Mutual Fund Selection: From Theory to Practice

Mutual Fund Selection: From Theory to Practice

Overview

The vast majority of investors in the capital market do so, at least in part, via mutual funds. In the US market alone, there are currently thousands of mutual funds to choose from. Thus, the task of mutual fund selection is of central importance. It is a notoriously difficult task, because the past return parameters are very noisy estimates of the future parameters. This book presents the state-of-the-art research in this field. It describes recent academic findings and translates them into practical guidelines for mutual fund selection, and will be of interest to researchers alongside professional investors and fund ranking agencies.

Product Details

ISBN-13: 9783031697579
Publisher: Springer Nature Switzerland
Publication date: 11/01/2024
Edition description: 2024
Pages: 123
Product dimensions: 5.83(w) x 8.27(h) x 0.00(d)

About the Author

Moshe (Shiki) Levy is the John Berg professor of finance at the Hebrew University Business School. His research interests include portfolio theory, decision-making under uncertainty, the evolution of preferences, social networks, social phase transitions, and econophysics. He is the recipient of the Journal of Investment Management Harry Markowitz award.

Richard Roll was most recently the Linde professor of Finance at the California Institute of Technology. He is also a professor emeritus at UCLA where he held the Joel Fried Chair at the Anderson School. He was a principal of Compensation Valuation and a board member of Western Asset Mortgage Capital Corp. He worked on the Minuteman missile and the Saturn moon rocket at the Boeing Corporation and founded mortgage securities research at Goldman Sachs. He is a founder of Roll and Ross Asset Management and has consulted for many US corporations, law firms, and government agencies. Roll has a BA in aeronautical engineering from Auburn University, an MBA from the University of Washington, and a PhD from the University of Chicago.

Table of Contents

Chapter 1: Introduction.- Chapter 2: Criteria for Mutual Fund Selection.- Chapter 3: Investment for Intermediate and Long Horizons.- Chapter 4: Estimating Future Performance – The Shrinkage Adjusted Sharpe Ratio.- Chapter 5: Active Versus Passive Investment.- Chapter 6: Target Date Funds, and How to Improve Them.- Chapter 7: The Role of Luck.

What People are Saying About This

From the Publisher

“The title of the book by Moshe Levy and Richard Roll is very apt indeed: Mutual Fund Selection: From Theory to Practice. It describes and analyzes the key measures that have been proposed to evaluate mutual fund performance, considers their usefulness for predicting future performance over long and short horizons and introduces a new measure — the Shrinkage-adjusted Sharpe Ratio — that may provide better predictions than the historic Sharpe Ratio. The book well describes previous theory and offers a new approach for those concerned with future performance. I found the book to be excellent and learned much from it.” (William F. Sharpe, STANCO 25 Professor of Finance, Emeritus, Graduate School of Business, Stanford University; Recipient of the Nobel Memorial Prize in Economic Sciences)

“Authored by two seasoned veterans of the data-rich world of financial research, this book should be required reading for anyone who invests in, manages, or markets mutual funds. We all stand to improve our investment processes by adopting the metrics they propose.” (Andrew W. Lo, Charles E. and Susan T. Harris Professor of Finance, MIT Sloan School of Management)

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