tailieunhanh - Volatility Metrics for Mutual Funds

With respect to equity mutual funds, the study further notes that funds are experiencing diseconomies of scale in their expense ratios when their size exceeds $600 million to $800 million. Interestingly, the foregoing study does not even address the problem of "market impact costs" which are clearly an even greater expense to mutual funds than are the more visible costs used in the calculation of their. | Deloitte ADVANCED ANALYTICAL CONSULTING GROUP Volatility Metrics for Mutual Funds February 2010 A study by Deloitte Financial Advisory Services LLP in conjunction with Advanced Analytical Consulting Group Inc. for the . Department of Labor Employee Benefits Security Administration. Michael J. Brien PhD Constantijn . Panis PhD Deloitte Financial Advisory Services LLP Advanced Analytical Consulting Group Inc Karthik Padmanabhan MBA MS Advanced Analytical Consulting Group Inc Volatility Metrics for Mutual Funds Page 1 INTRODUCTION Many 401 k participants face a sizeable number of funds from which to choose. The average plan offers 20 funds and one in eight plans provides more than 25 With so many choices investors may have difficulty allocating their plan assets. Professional investors often explicitly or implicitly claim to understand the fundamentals of finance theory. They may for example base allocation decisions on historical returns volatility correlations of returns across funds or asset classes investment fees industry outlooks or various other financial metrics. Most 401 k participants do not have access to much of that information or are poorly equipped to benefit from it. They may be guided by recent historical returns which are typically readily available and understood even if incorrectly so. Funds with higher returns understandably appear more attractive to investors. However the finance literature suggests that funds with higher returns also tend to exhibit more risk or volatility so that future returns may differ substantially from historical ones. It is typically assumed by economists that individual investors are risk-averse so that a high-return high-volatility fund is not necessarily preferred over a low-return low-volatility fund. In fact much financial theory is based on the idea that the efficient set of investments to hold should provide both the highest return for a given level of volatility and the lowest volatility for a given

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