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Tôi sẽ đưa link download Reporting by Investment Advisers to Private Funds and Certain Commodity Pool Operators and Commodity Trading Advisors on Form PF ~giá 2 Ngàn đ

tại: Tài liệu & Luận văn & Đồ án

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Indeed, in the presence of predictability in fund risk loadings and benchmark returns, optimal portfolios consist entirely of actively managed funds even when the possibility of manager skills in stock selection and benchmark timing is ruled out. That is, actively managed funds allow the investor to capitalize on predictability in benchmarks and fund risk loadings in a way that cannot be achieved through long-only index fund positions. We now turn to analyze predictability in manager skills. Incorporating such predictability results in asset allocation that is overwhelmingly different from the other cases examined. To illustrate, consider the agnostic who believes in predictable skills (PA- 3). This investor faces an enormous utility loss of 95 basis points per month (or 11.4%/ year) if constrained to hold the asset allocation of the NA. Focusing on all 276 investment periods, the average utility loss is 50.9 basis points per month over expansions and 60.0 over recessions. Monthly Sharpe ratios are also the largest for investments that allow for predictability in manager skills. The Sharpe ratio is 1.2 on December 31, 2002. The average Sharpe ratio is 0.7 (0.8) over expansions (recessions) as well as 0.7 during all 276 investment periods.