목차
Ⅰ. 서 론
Ⅱ. 성과측정에 관한 이론적 배경
Ⅲ. 펀드의 운영 및 평가방식
Ⅳ. 성과 측정방법의 비교분석
Ⅴ. 펀드 평가모형의 개발
Ⅵ. 결 론
Ⅱ. 성과측정에 관한 이론적 배경
Ⅲ. 펀드의 운영 및 평가방식
Ⅳ. 성과 측정방법의 비교분석
Ⅴ. 펀드 평가모형의 개발
Ⅵ. 결 론
본문내용
., "Distress Classification of Korean Firms", in Altman(ed.), Bank Credit Risk Management, Korea Institute of Finance,(1996),pp.381-410.
5. Carhart, "On Persistence in Mutual Fund Performance", Journal of Finance, (March 1997) v.52 n1, p.57(26)
6. Chang E.C., LewellenW.G.. Market Timing and Mutual Fund Investment Performance, The Journal of Business,(Jan. 1984), v.57, p.57-72 .
7. Droms W. G., WalkerD. A., "Mutual Fund Investment Performance", Quarterly Review of Economics and Finance, (Fall, 1996), v.36 n3, p.347(17).
8. Federal Reserve Bank of Atlanta, Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds versus Pension Funds, 2001,3.
9. Ferson W.E., Schadt, "Measuring Fund Strategy and Performance in changing Economic Conditions. Journal of Finance, (June 1996), v.51 n2, p.425(37).
10. Jensen, M., "The Performance of Mutual Funds in the Period 1945-1964", Journal of Finance (May 1968).
11. Jorion, P., Value at Risk: The New Benchmark Controlling Market Risk, McGraw-Hill, Chicago, 1997.
12. Morgan Guaranty Research, Introduction to RiskMetrics, Risk Management Services, Morgan Guaranty Trust Co., 1995.
13. Phelps Shawn, Detzel., The Nonpersistence of Mutual Fund Performance. Quarterly Journal of Business and Economics, (Spring 1997), v.36 n2, p.55(15).
14. Sharpe, W.F., "Mutual Fund Performance", Journal of Business (Jan. 1966).
15. Treynor, J. & F.Black, "How to use Security Analysis to Improve Portfolio Selection", Journal of Business(Jan. 1973).
A New Approach to Measuring Performance of Mutual Funds
Kim, Yoo-Man
The purpose of this paper is three folds. Firstly, we will examine various ways to measure investment performance of mutual funds. In particular, we will analyze closely some of the performance indexes that have been recently suggested by the Korean Association of Investment Trusts and other professional rating institutions. It is argued, however, that these measurement indexes are based upon essentially subjective or arbitrary set of criteria that lack the very essence of objectivity, a priori. Moreover, these performance indexes have ignored some or all of the fundamental issues that must be dealt with, such as aggregation problem and index problem.
Secondly, we will develop two models as alternatives for measuring investment performances of mutual funds. In our model, we will spell out objectively defined set of criteria that avoid subjective elements of the arbitrarily constructed performance indexes.
Thirdly, in order to account for specifically effects of foreign exchange rates in mutual funds' performances, an international model of measuring investment performance is provided. Consequently, any gains or losses from exchange rate fluctuations can now be properly reflected in the performance measure, while at the same time foreign exchange risks are explicitly accounted for in the risk measure of mutual funds.
Key Words :
mutual fund, CAPM, ordinal index, Sharpe index.
RVOL, Rating Institution,
5. Carhart, "On Persistence in Mutual Fund Performance", Journal of Finance, (March 1997) v.52 n1, p.57(26)
6. Chang E.C., LewellenW.G.. Market Timing and Mutual Fund Investment Performance, The Journal of Business,(Jan. 1984), v.57, p.57-72 .
7. Droms W. G., WalkerD. A., "Mutual Fund Investment Performance", Quarterly Review of Economics and Finance, (Fall, 1996), v.36 n3, p.347(17).
8. Federal Reserve Bank of Atlanta, Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds versus Pension Funds, 2001,3.
9. Ferson W.E., Schadt, "Measuring Fund Strategy and Performance in changing Economic Conditions. Journal of Finance, (June 1996), v.51 n2, p.425(37).
10. Jensen, M., "The Performance of Mutual Funds in the Period 1945-1964", Journal of Finance (May 1968).
11. Jorion, P., Value at Risk: The New Benchmark Controlling Market Risk, McGraw-Hill, Chicago, 1997.
12. Morgan Guaranty Research, Introduction to RiskMetrics, Risk Management Services, Morgan Guaranty Trust Co., 1995.
13. Phelps Shawn, Detzel., The Nonpersistence of Mutual Fund Performance. Quarterly Journal of Business and Economics, (Spring 1997), v.36 n2, p.55(15).
14. Sharpe, W.F., "Mutual Fund Performance", Journal of Business (Jan. 1966).
15. Treynor, J. & F.Black, "How to use Security Analysis to Improve Portfolio Selection", Journal of Business(Jan. 1973).
A New Approach to Measuring Performance of Mutual Funds
Kim, Yoo-Man
The purpose of this paper is three folds. Firstly, we will examine various ways to measure investment performance of mutual funds. In particular, we will analyze closely some of the performance indexes that have been recently suggested by the Korean Association of Investment Trusts and other professional rating institutions. It is argued, however, that these measurement indexes are based upon essentially subjective or arbitrary set of criteria that lack the very essence of objectivity, a priori. Moreover, these performance indexes have ignored some or all of the fundamental issues that must be dealt with, such as aggregation problem and index problem.
Secondly, we will develop two models as alternatives for measuring investment performances of mutual funds. In our model, we will spell out objectively defined set of criteria that avoid subjective elements of the arbitrarily constructed performance indexes.
Thirdly, in order to account for specifically effects of foreign exchange rates in mutual funds' performances, an international model of measuring investment performance is provided. Consequently, any gains or losses from exchange rate fluctuations can now be properly reflected in the performance measure, while at the same time foreign exchange risks are explicitly accounted for in the risk measure of mutual funds.
Key Words :
mutual fund, CAPM, ordinal index, Sharpe index.
RVOL, Rating Institution,
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