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Author:Hamro-Drotz, Robin Christian
Title:Screening and ranking equity funds
Publication type:Master's thesis
Publication year:2005
Pages:6+107      Language:   eng
Department/School:Tuotantotalouden osasto
Main subject:Yritysstrategia ja kansainvälinen liiketoiminta   (TU-91)
Supervisor:Maula, Markku
Instructor:Törnqvist, Stefan
OEVS:
Electronic archive copy is available via Aalto Thesis Database.
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Location:P1 Ark Aalto  7941   | Archive
Keywords:equity funds
screening
ranking
quantitative and qualitative measures
performance persistency
osakerahasto
seulominen
kvantitatiivisia ja kvalitatiivisia mittaria
tuoton jatkuvuutta
Abstract (eng):The number of equity funds has over the years increased dramatically.
Therefore, it requires more effort to evaluate equity funds.
Previous academic studies have focused on developing one quantitative performance measure applicable to evaluate mutual funds and performance persistency.
However, a combination of several quantitative and qualitative measures has not yet been studied.
This master thesis aimed at developing a framework which combines several measures.
The developed framework may be used by professional investors for screening and ranking equity funds.

The problem was approached by reviewing past literature and studying quantitatively 35 European small cap funds, using the same method as by Carhart (1997).
The time period selected was April 1999 to March 2005.
The funds were divided into seven sub-groups of five funds.
Several performance measures were analysed and tests for performance persistency in the equity funds were made for each performance measure.
The used performance measures were Sharpe ratio, Treynor ratio, Sortino ratio, Information ratio, Jensen's alpha, Carhart's 4-factor model and Morningstar's risk-adjusted return.
Finally, a robustness test was performed for the performance persistency test for all the performance measures.
A qualitative study was also done by interviewing several professionals.
These interviews were performed to find out and evaluate the nature and importance of qualitative measures when screening equity funds.

The results indicate that there is no performance persistency for the equity funds and that all the funds, over time, fluctuate around the overall average performance of the sub-group.
The robustness test, which used a time period that did not contain the technology bubble, indicates, however, that with most of the performance measures there is some performance persistency for the following year.

The conclusions of this study were that the developed framework should put much emphasis on qualitative measures as the quantitative measures cannot be considered accurate nor reliable indicators of future winner funds.
The most important factors of the qualitative measures seem to be investment process, risk management, research and performance.
However, before applying the qualitative measures a professional investor should, based on this study, screen the equity funds with the Sortino ratio and Carhart's 4-factor model as these measures complement each other.
They also showed performance persistency in the robustness test.
Abstract (fin):Osakerahastojen määrä on vuosien varrella kasvanut huomattavasti, minkä vuoksi osakerahastosijoittaminen vaatii sijoittajalta enemmän tarkkuutta ja työtä.
Aikaisemmin tehdyt akateemiset tutkimukset tavallisesti keskittyvät yhden kvantitatiivisen tuottomittareiden kehittämiseen.
Kuitenkaan tutkimusta, jossa yhdistettäisiin useita kvantitatiivisia ja kvalitatiivisia mittareita, ei ole tehty.
Tämän diplomityön tarkoituksena oli kehittää ammattimaisen sijoittajan käyttöön sellainen malli, joka yhdistää useita erilaisia mittareita.

Ongelmaa lähestyttiin useammalta eri kannalta.
Aluksi tehtiin kirjallisuuskatsaus ja kvantitatiivinen analyysi.
Kvantitatiivinen osuus muodostuu 35 eurooppalaisesta pienten yhtiöiden rahastosta, joiden tuottoa tutkittiin samalla metodilla kuin Carhart (1997).
Käytetty ajanjakso oli huhtikuusta 1999 maaliskuuhun 2005.

Osakeahastojen tuottoa tutkittiin erilaisilla kvantitatiivisilla tuottomittareilla: Sharpe ratio, Treynor ratio, Sortino ratio, Information ratio, Jensen's alpha, Carhart's 4-factor model ja Morningstar's risk-adjusted return.
Lopuksi tarkastelttiin alkuperäisen analyysin tuloksien oikeamukaisuutta tekemällä toinen analyysi toisena ajanjaksona.
Työn kvalitatiivinen osa muodostuu ammattimaisten sijoittajien haastatteluista.
Haastatteluissa kartoitettiin kvalitatiivisten tekijöiden laatua ja merkitystä osakerahastojen seulomisessa.

Tuloksista voidaan päätellä, että osakerahastoilla ei ole tuottoa koskevaa jatkuvuutta ja että kaikkien rahastojen arvo vaihtelee ajan kuluessa osakerahastoryhmän keskiarvon ympärillä.
Alkuperäisen analyysin tarkistusanalyysi, joka ei ota huomioon teknologiakuplaa, osoittaa kuitenkin, että useimmilla tuottomittareilla on osoitettavissa osittaista tuoton jatkuvuutta seuraavana vuonna.

Diplomityön johtopäätökset olivat, että osakerahastojen seulomisessa pitäisi valitun mallin ottaa vakavasti huomioon myös kvalitatiiviset mittarit, koska kvantitatiivisia mittareita ei voida pitää luotettavina rahastojen tulevan menestyksen osoittajina.
Sijoitusprosessi, riskien hallinta, tutkimus ja tuotto näyttävät olevan tärkeimmät kvalitatiiviset mittarit.
ED:2005-09-22
INSSI record number: 29129
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