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Benchmark-adjusted performance of US equity mutual funds and the issue of prospectus benchmarks
This study examines the impact of mismatch between prospectus benchmark and fund objectives on benchmark-adjusted fund performance and ranking in a sample of 1281 US equity mutual funds. All funds in our sample report S&P500 index as a prospectus benchmark, yet 2/3 of those are placed in the Morningstar category with risk and objectives different to those of the S&P500 index. We identify more appropriate ‘category benchmarks’ for those mismatched funds and obtain their benchmark-adjusted alphas using recent Angelidis et al. (J Bank Finance 37(5):1759–1776, 2013) methodology. We find that S&P500-adjusted alphas are higher than ‘category benchmark’-adjusted alphas in 61.2% of the cases. In terms of fund quartile rankings, 30% of winner funds lose that status when the prospectus benchmark is substituted with the one better matching their objectives. In the remaining performance quartiles, there is no clear advantage of using S&P 500 as a benchmark. Hence, the prospectus benchmark can mislead investors about fund’s relative performance and ranking, so any reference to performance in a fund’s prospectus should be treated with caution
Use of Active Peer Benchmarks in assessing UK mutual fund performance and performance persistence
The majority of UK style-specific mutual funds either report a broad market index as their prospectus benchmark or give no benchmark at all — a practice that may be a) strategic, or b) cultural and attributable to the lack of UK style-specific indices (e.g., mid-cap-growth, small-cap-value). The choice of a broad market index as a benchmark can bias the inferences of a fund’s performance and performance persistence. This study is the first to provide an alternative to style-specific indices in the UK, and suggests the use style-specific peer group benchmarks, following Hunter et al. (2014). Our sample comprises of 817 active UK long-only equity mutual funds allocated to nine Morningstar style categories (peer groups) during the period 1992–2016. We show that the funds with the most significant positive peer-group-adjusted alphas continued to perform well one year ahead, in terms of both parametric and non-parametric measures of persistence in performance. Moreover, persistence in performance is driven by both winner and loser funds. The results within each peer group are by and large consistent with these findings
UK equity mutual fund alphas make a comeback
In this study, we re-visit the performance of 887 active UK equity mutual funds using a new approach proposed by Angelidis, Giamouridis, and Tessaromatis. The authors argue that mutual funds stock selection is driven by the benchmark index, so if the benchmark generates alpha, there will be a bias in interpretation of manager's stock-picking ability. In their model, the alpha of a fund is adjusted by the benchmark's alpha. By applying this method, we eliminate bias inflicted by the persistently negative alphas of FTSE 100 Index in the period 1992-2013. We find that adjusted Fama-French and Carhat alphas of UK equity mutual funds are higher than those implied by the standard three- and four-factor models and are overall positive, contrary to most of the existing literature on UK fund performance. This result is consistent across funds' investment styles and robust to the use of FTSE Small Cap as benchmark for a sub-sample of small cap funds
Review of new trends in the literature on factor models and mutual fund performance
In this paper we provide critical review of recent developments in the mutual fund performance evaluation literature. The new literature centres around two main themes: enhancing explanatory power of the standard Fama-French-Carhart factor models by augmenting them with different factors and altering standard models to account for presence of non-zero alphas in passive indices used as fund benchmarks. The latter includes the literature providing solutions for scenarios in which those benchmarks do not match fund objectives. We find that in the plethora of suggested ‘missing’ factors, not one can be universally used to explain all anomalies or price all stocks. We also find that new models that adjust a fund's standard Carhart alpha for alpha of its benchmark or for commonalities in its peer–group, provide additional information on fund performance to that given by the standard models. Specifically, these models give account of fund's relative performance - to the benchmark or the peer-group, which is of use to investors
A comprehensive classification of galaxies in the SDSS: How to tell true from fake AGN?
We use the W_Ha versus [NII]/Ha (WHAN) diagram to provide a comprehensive
emission-line classification of SDSS galaxies. This classification is able to
cope with the large population of weak line galaxies that do not appear in
traditional diagrams due to a lack of some of the diagnostic lines. A further
advantage of the WHAN diagram is to allow the differentiation between two very
distinct classes that overlap in the LINER region of traditional diagnostic
diagrams. These are galaxies hosting a weakly active nucleus (wAGN) and
"retired galaxies" (RGs), i.e. galaxies that have stopped forming stars and are
ionized by their hot evolved low-mass stars. A useful criterion to distinguish
true from fake AGN (i.e. the RGs) is the ratio (\xi) of the
extinction-corrected L_Ha with respect to the Ha luminosity expected from
photoionization by stellar populations older than 100 Myr. This ratio follows a
markedly bimodal distribution, with a \xi >> 1 population composed by systems
undergoing star-formation and/or nuclear activity, and a peak at \xi ~ 1
corresponding to the prediction of the RG model. We base our classification
scheme on the equivalent width of Ha, an excellent observational proxy for \xi.
Based on the bimodal distribution of W_Ha, we set the division between wAGN and
RGs at W_Ha = 3 A. Five classes of galaxies are identified within the WHAN
diagram: (a) Pure star forming galaxies: log [NII]/Ha 3 A.
(b) Strong AGN (i.e., Seyferts): log [NII]/Ha > -0.4 and W_Ha > 6 A. (c) Weak
AGN: log [NII]/Ha > -0.4 and W_Ha between 3 and 6 A. (d) RGs: W_Ha < 3 A. (e)
Passive galaxies (actually, line-less galaxies): W_Ha and W_[NII] < 0.5 A. A
comparative analysis of star formation histories and of other properties in
these different classes of galaxies corroborates our proposed differentiation
between RGs and weak AGN in the LINER-like family. (Abridged)Comment: Accepted for publication in MNRA
Semi-empirical analysis of Sloan Digital Sky Survey galaxies III. How to distinguish AGN hosts
We consider the techniques to distinguish normal star forming (NSF) galaxies
and active galactic nuclei (AGN) hosts using optical spectra. The observational
data base is a set of 20000 galaxies extracted from the Sloan Digital Sky
Survey, for which we have determined the emission line intensities after
subtracting the stellar continuum obtained from spectral synthesis. Our
analysis is based on photoionization models computed using the stellar ionizing
radiation predicted by Starburst 99 and, for the AGNs, a broken power-law
spectrum. We explain why, among the four classical emission line diagnostic
diagrams, the [OIII]/Hb vs [NII]/Ha one works best. We show however, that none
of these diagrams is efficient in detecting AGNs in metal poor galaxies, should
such cases exist. We propose a new divisory line between ``pure'' NSF galaxies
and AGN hosts. We also show that a classification into NSF and AGN galaxies
using only [NII]/Ha is feasible and useful. Finally, we propose a new
classification diagram, the DEW diagram, plotting D_n(4000) vs
max(EW[OII],EW[NeIII]). This diagram can be used with optical spectra for
galaxies with redshifts up to z = 1.3, meaning an important progress over
classifications proposed up to now. Since the DEW diagram requires only a small
range in wavelength, it can also be used at even larger redshifts in suitable
atmospheric windows. It also has the advantage of not requiring stellar
synthesis analysis to subtract the stars and of allowing one to see ALL the
galaxies in the same diagram, including passive galaxies.Comment: 14 pages, 9 figures, accepted for publication in MNRAS (replaced on
august 3, 2006, eqs 6 and 7 corrected
The many faces of LINER-like galaxies: a WISE view
We use the SDSS and WISE surveys to investigate the real nature of galaxies
defined as LINERs in the BPT diagram. After establishing a mid-infrared colour
W2-W3 = 2.5 as the optimal separator between galaxies with and without star
formation, we investigate the loci of different galaxy classes in the W_{Ha}
versus W2-W3 space. We find that: (1) A large fraction of LINER-like galaxies
are emission-line retired galaxies, i.e galaxies which have stopped forming
stars and are powered by hot low-mass evolved stars (HOLMES). Their W2-W3
colours show no sign of star formation and their Ha equivalent widths, W_{Ha},
are consistent with ionization by their old stellar populations. (2) Another
important fraction have W2-W3 indicative of star formation. This includes
objects located in the supposedly `pure AGN' zone of the BPT diagram. (3) A
smaller fraction of LINER-like galaxies have no trace of star formation from
W2-W3 and a high W_{Ha}, pointing to the presence of an AGN. (4) Finally, a few
LINERs tagged as retired by their W_{Ha} but with W2-W3 values indicative of
star formation are late-type galaxies whose SDSS spectra cover only the old
`retired' bulge. This reinforces the view that LINER-like galaxies are a mixed
bag of objects involving different physical phenomena and observational effects
thrusted into the same locus of the BPT diagram.Comment: Accepted for publication in MNRAS; 9 pages, 6 figure
A media independent information service integration architecture for media independent handover
A present challenge in wireless networks is to provide mobility, regardless of the access technology in use, with guaranteed continuity of the service and transparency for the users. One approach to these seamless handovers is to prepare network access in advance, such as pre-authentication, before the mobile device actually physically connects to the desired network. This process requires that the mobile device can discover the parameters of the networks in their geographical area prior to connect to the candidate network. To address these issues, in this paper we propose an integration architecture for a Media Independent Information Service, where several networks elements collaborate in the discovery of information network, and mobile devices collect the desired neighboring network information with a query-response mechanism in two steps. A prototype has been implemented with of the shelf hardware, and several tests have been conducted. Results are better than the ones available in the literature, and network selection is performed in a short period of time.info:eu-repo/semantics/acceptedVersio
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