Asset Allocation Strategies for Mutual Funds

Evaluating Performance, Risk and Return
1. Auflage 2021
ISBN: 978-3-030-76130-1
Verlag: Springer International Publishing

Buch, Englisch, 462 Seiten, Format (B × H): 148 mm x 210 mm, Gewicht: 630 g

This book offers an overview of the best-working strategies in the field of equity and fixed income mutual fund-based portfolio management. This timely research considers different market conditions, such as global financial crises, across various geographical regions such as the USA and Europe. Combining academic and practical findings, the author presents a practitioner perspective on mutual fund-based portfolio strategies, appealing not only to finance scholars but also professionals within the asset management industry. This book synthesizes a large part of the academic research to date on the mutual fund industry by drawing from the most widely cited academic journals. The author makes a systematic use of numerical examples to facilitate the understanding of Investment themes organized around several important topics: size, diversification, flows, active management, volatility, performance persistence and rating.

Zielgruppe

Research

Autoren/Hrsg.

Galloppo, Giuseppe

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte

Inhaltsverzeichnis

1. Introduction

• What are mutual funds?
• Management companies and depositary banks
• Mutual fund types
• Mutual fund fees
• Regulations

2. Active Vs. Passive Management

• Active share measures
• Mutual funds R2 as a predictor of performance
• Active share and performance

3. Fund Size: Why is it Important?

• Fund Size
• Family Size

4. Performance Measures and Styles

• Return Metrics
• Risk Metrics
• Factor Models
• Where do alphas come from?
  
• Empirical examination of mutual fund investors' timing ability
• Improved forecasting of mutual fund alphas and betas
• Investment styles

5. Mutual Fund Flows

• Dumb money
• Smart money
• The determinants of fund flows of managed portfolios

6. Ratings

• Morningstar ratings
• Sustainability ratings

7. Diversification

• Portfolio building and mutual funds
• Return
• Risk

8. Persistence

• Persistence methods
• Short-term persistence
• Long-term persistence

9. Volatility

• Return and volatility
• Fund flows and volatility
• Volatility and mutual fund management skills

10. Conclusion

Über Autor(innen)

Giuseppe Galloppo is a Professor of Finance at Tuscia University of Viterbo and Research Fellow of the CEIS Foundation at the University of Rome Tor Vergata, Italy. Giuseppe has published scientific papers in several top academic journals. His research revolves around asset allocation, risk Management and the econometrics of financial markets. Additionally, he has worked as a member of several research teams including the CNR National Council of Research, the Statistical Information Commission, the ASEAN Observatory for the Italian Foreign Office Ministry.  He is a member of FINEST Network - Financial Intermediation Network of European Studies. In the Wealth Management Industry, he has been a Head of Research at the Multi Family Office, as well as a Quantitative Asset Allocation Manager.