For the Czech stock market, the results indicate that the beta does not fully explain all variability in the excess returns
of the stocks in the market.
We then use the held sensitivity cutoff value from the training set on the testing set to establish the excess returns
per dollar wagered for that wager type.
Therefore, our preliminary results suggest that the regular market beta is insignificant in explaining average excess returns
. The size and value factors on the other hand play a dominant role.
Similar to Treynor's measure of excess returns
, Sharpe utilized the same definition, which is the incremental return on a portfolio during a specified time horizon over and above the return on a passive investment in a risk-free asset over a similar time frame.
Specifically the research demonstrated that those who manage under $2 billion experienced 1.96% excess return
and those who manage between $2 and $5 billion had excess returns
During the quarter, excess returns
ranged from 4.48% to -2.38%, and the overall median return was -0.01%.
It is not enough for pension fund managers to merely worry about the proper selection of investment instruments, argue Koedijk (financial management, Tilburg School of Economics and Management, the Netherlands) and Slager (chief investment officer at Stork Pension Fund, the Netherlands), in order to create real value, they need to have clear "investment beliefs" about the ways that financial markets add value that can provide guidance in earning excess returns
, focusing on costs, searching for niche strategies to improve risk, and improving return-risk profiles of investments, among other fundamental choices.
"This acquisition marries the market leader in global agency execution with an emerging force in the business of providing asset managers with investment ideas that generate excess returns
," said Bob Gasser, CEO and president of ITG.
The analysis shows that acquisitions completed during or just after the 2001-02 recession generated almost triple the excess returns
of those made during the preceding boom years.
Another way to test for a size effect in the size-sorted portfolios of counties is to examine the residuals (predicted growth versus actual growth) to see if there is a tendency for large or small county portfolios to have positive excess returns
. In Figure 4, the smallest portfolio (rank = 1) appears to be an outlier.
p([r.sub.t + 1] | [PHI]) = The probability density function of the t + 1 period excess returns
on the risky investments conditional on [PHI], which represents the total amount of information available to the investor at the time the investment decision is made.
"We have delivered out performance, even through the credit crisis, as our coverage of a wide variety of factors enables us to achieve consistent excess returns
throughout the market cycle," chief executive Patrick Van de Steen said.