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© A. Zaporozhetz, WIUU, Spring Lecture Analysis of abnormal return of managed portfolios by E. Fama. GSS. CFDR. NSS.
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© A. Zaporozhetz, WIUU, Spring Eugene Fama E. Fama is most often thought of as the father of efficient market hypothesis (EMH), beginning with his Ph.D. thesis. In a ground-breaking article in the May, 1970 issue of the Journal of Finance, entitled "Efficient Capital Markets: A Review of Theory and Empirical Work," E. Fama proposed three types of efficiency: (i) strong-form; (ii) semi-strong form; and (iii) weak efficiency. He was a co-founder of Fama–French three-factor model (1993).
© A. Zaporozhetz, WIUU, Spring GSS, Gross security selection = r act - r CAPM = CFDR + NSS CFDR, Compensation for diversifiable risk is the effect of higher volatility of portfolio on the GSS. CFDR = (r m – r f )*(sigma p /sigma m – beta p ) sigma p /sigma m could be called the «degree of volatility» NB: sigma p /sigma m > beta p Analysis of abnormal return by E. Fama
© A. Zaporozhetz, WIUU, Spring NSS, Net security selection= GSS – CFDR NSS is the effect of smart selection of securities for a portfolio, and effective & efficient trading (opening/closing positions).
© A. Zaporozhetz, WIUU, Spring In 2012, a managed portfolio: mean return p = 0,41% beta p = 0,77 sigma p = 3,55% Market proxy is ACWIFM (0,24%;1,83%) Find: GSS Degree of volatility CFDR NSS Evaluate the portfolio managers performance Practice
© A. Zaporozhetz, WIUU, Spring Analysis of abnormal return by E. Fama If NSS > 0, the portfolio manager was effective: he/she added up to the portfolio return. If NSS < 0, the portfolio manager was not effective: he/she ate up some return.
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