In the second part of the analysis cumulative excess return
for each security (CERi) were used as a dependent variable to run a regression analysis.
In each of these markets, Reed says, "active managers have been historically able to generate a meaningful amount of excess return
To complete the performance attribution analysis, the last step is to decompose the excess return
into two components.
To determine whether news of an asset's excess return
can reveal information about unexpected economic activity, the authors construct a method of extracting the news about future economic activity from returns on financial assets.
The unexpected part--by definition, the part that is news--of an asset's excess return
can reveal information about unexpected economic activity.
i,[-1+1] is the excess return
of firm i over the event window [-1, +l], C[L.
He added : "If we think we can get 80% of the benefit of something at 20% of the cost, we d consider that a good outcome, so active managers would need to persuade us that more than 80% of the excess return
they generate is not replicable systematically and cheaply.
Overall, the model generated an annualized equal-weighted top quintile excess return
of 11% within the broad based S&P BMI Emerging Market Index, and performance was identical when we restricted our universe to the largest 50% of names by dollar market capitalization in the index," added Mr.
Get the monthly geometric excess return
of the fund vis-a-vis the risk-free return.
One way to see the high costs of storage and transportation through indexing is to look at the negative roll return by subtracting the spot return index (PR) from the excess return
In a rational expectation model, investors should be compensated for taking on more risk by receiving a higher expected excess return
It will be positive when a fund increases the weight on stocks that outperform the benchmark portfolio and/or when a fund decreases the weight of a stock prior to a negative excess return