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Mutual Funds

De
592 pages
This authoritative book enables readers to evaluate the various performance and risk attributes of mutual funds, while also serving as a comprehensive resource for students, academics, and general investors alike. Avoiding the less useful descriptive approach to fund selection, this book employs a balanced approach including both technique and application. The chapters combine clear summaries of existing research with practical guidelines for mutual fund analysis.

  • Enables readers to analyze mutual funds by evaluating a fund's various performance and risk attributes.
  • Includes templates, which provide an efficient, sound approach to fund analysis, interpretation of results, buy/sell decisions, and the timing of decisions.
  • Combines clear summaries of existing research with practical guidelines for mutual fund analysis.
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CONTENTS
List of figures Preface Acknowledgments
1
2
3
Understanding Mutual Funds
Mutual Funds as Financial Intermediaries
Investment Companies and Unit Investment Trusts
The 1940 Act and Regulation of Investment Companies
Investment Companies and Unit Investment Trusts: Characteristics
Investment Companies: A Historical Note
Mutual Funds as Organizations
Mutual Fund Service Advantages
Diversification
Portfolio Theory and Risk: A Note
Constrained Attainable Global Diversification
Investment Objectives
Mutual Fund Shareholder Liquidity
Shareholder Transaction Costs
Shareholder Services
Mutual Fund Service Advantages: Professional Management
Resources and Performance of Portfolio Management
x xi xiii
1 2 3 4 11 13 16
23 25 27 29 31 38 41 50
58 59
Mutual Fund Trading Costs
Shareholder Tax Planning
Mutual Fund Service Disadvantages
Limited Types of Assets
Professional Management
Portfolio Manager Background
4
84 86 88 102 112 128
59 80
Mutual Fund Attributes and Portfolio Manager Background
Mutual Funds Expenses: Nature and Pros and Cons
Long-term Investing in Mutual Funds and Stock/Bond Portfolio Allocations
Long-term Equity Investing
Investment Policy and Investment Management
Investor Risk Preferences: Applied
Portfolio Investment Objectives and the Cash Bucket
Investment Risk
Passive Portfolio Allocation
Passive Asset Allocation: Stock versus Bonds
Passive Asset Allocation: Portfolio Rebalancing
Passive Portfolio Allocation: Bonds
Active Portfolio Allocation: Market Timing Revisited
Passive Investment Allocation: Model Portfolios
The (Financial) Engine that Could
Regulatory Issues
183
165
145 147
130 131 144
v i
C O N T E N T S
5
6
181
179
175
172
168
166
158
158
154
150
Market Timing versus Buy-and-hold Strategies
Investor Risk Preferences: Theory
Investor Risk Preferences: Behavioral
Time Diversification
Assessing Fund Disclosure
Mutual Fund Service Disadvantages: Expenses
183
184 192
8
vii
242
258
206
7
211
202
212
214
194
CONTENTS
226
221
220
Degree of Constrained Diversification and Risk
Equity Style Allocation and Style Analysis
Classification of Mutual Funds
Diversification Constraints Concept
195
195
197
CDA Performance Measures
Morningstar Mutual Fund Reports
Fundamental Analysis: Value versus Growth Investment Styles
Diversification Constraints and Risk Data: Vanguard Windsor II, Category Peers, and Market Index
Diversification Risk: Value versus Growth
Mutual Fund Risk
Portfolio Diversification Risk and Equity Style Allocation
Morningstar Star Ratings and Category Ratings
Morningstar Category and Investment Style Boxes
Diversification Risk: Market Liquidity
Diversification Risk: Returns Distribution
Diversification Risk: Industry Sector Concentration
Diversification Risk: Cash Asset Allocation
Computed Risk/Return Performance Measures
CDA Annualized Rates of Return
Diversification Risk: Value/Growth Investment Style
Buy/Sell Decision Criteria
226
229
Morningstar Rating and Risk and Return Performance Measures
CDA Returns, Performance Measures, and Computed Risk/Return Performance Measures
Diversification Risk: Value Line Safety and Timeliness
Mutual Fund Performance Measures and Buy/Sell Decision Criteria
Diversification Risk: Security Concentration
Diversification Risk: Overall Assessment
246
247
244
245
240
241
234
239
259
257
250
273
270
272
356
353
9
CONTENTS
viii
299
Bond Mutual Funds
Issues in Stock and Bond Fund Performance: Indexing
Mutual Fund Performance and Portfolio Investment Style Allocations
Tweedy Browne on Value and Small-cap. Investing
Performance: Small-cap. versus Large-cap. Stocks
Performance: Domestic Stocks versus International Stocks
Performance: Large Funds versus Small Funds
10
11
Performance: Value versus Growth Stocks
Market Anomalies
Mutual Fund Selection and Tiebreakers
Superstars Redux
Actively Managed versus Passively Managed Funds: the Search for Managers
Fund Performance and Portfolio Manager Attributes
308
304
12
275
302
302
307
262
298
289
281
Recommended Portfolio Allocations
Bond and Stock Fund Recommendations: Simple is Good
264
263
352
338
344
349
350
Mutual Funds: the Next Generation
Mutual Fund Performance: Selected Issues
Current and Future Developments
Nature of Exchange-traded Funds (ETFs)
Major Exchange-traded Funds
Mutual Funds since the 1990s
Can Actively Managed Money Beat the Market? by Russ Wermers
Actively Managed versus Index Funds
316
311
333
332
Implementing the Buy/Sell Decision
Implications for Mutual Funds
Economic Indicators: Discussion and Sample Menu
Economic and Market Indicators: Knowledge, not Faith
Market Indicators: Discussion and Sample Menu
Final Comment
Appendix: Online References to Mutual Fund and Related Information
Tables Glossary References Index
CONTENTS
ix
369 382
384 387 491 505 564