FINANCIAL STABILITY OVERSIGHT COUNCIL PROPOSED RECOMMENDATIONS REGARDING MONEY MARKET MUTUAL FUND REFORM
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The remainder of the paper is as follows. The next section defines the standard approach
and the notion of luck. Then, we define the F DR and explain our new methodology
which allows us to compute the F DR among the best and worst funds separately.
Section 3 presents the performance measures, the estimation technique to compute the
p-values as well as the mutual fund data. Section 4 contains the empirical analysis of
the impact of luck on performance across the four investment categories. Section 5 concludes.
An appendix gathers proofs and results of a Monte-Carlo study on the accuracy
of our new measures of luck....
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FINANCIAL STABILITY OVERSIGHT COUNCIL PROPOSED RECOMMENDATIONS REGARDING MONEY MARKET MUTUAL FUND REFORM
Nội dung trích xuất từ tài liệu:
FINANCIAL STABILITY OVERSIGHT COUNCIL PROPOSED RECOMMENDATIONS REGARDING MONEY MARKET MUTUAL FUND REFORM
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