{"title":"Why Do Firms Use High Discount Rates","authors":"Yaw Mante","doi":"10.2469/dig.v47.n4.3","DOIUrl":"https://doi.org/10.2469/dig.v47.n4.3","url":null,"abstract":"","PeriodicalId":359745,"journal":{"name":"Cfa Digest","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132001003","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The Pricing of Different Dimensions of Liquidity: Evidence from Government Guaranteed Bonds","authors":"Stuart Fujiyama","doi":"10.2469/DIG.V47.N4.1","DOIUrl":"https://doi.org/10.2469/DIG.V47.N4.1","url":null,"abstract":"","PeriodicalId":359745,"journal":{"name":"Cfa Digest","volume":"138 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116411706","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Stock managers and investors have historically used the time-weighted return (TWR) as the sole performance reporting measure because industry standards have endorsed the use, not to mention the fact that equity indices and benchmarks are reported on the same basis. The TWR lends itself nicely to daily priced, daily traded and liquid investments. It’s not surprising that bonds are reported in the same manner. As alternative asset classes and newfangled investment structures evolved, including closed-end vehicles in private equity and venture capital, it became clear that the TWR didn’t quite fit, although it is still desired by chief investment officers because one return measure is needed to aggregate performance and to compare performance across multiple asset classes.
{"title":"Using Brinson Attribution to Explain the Differences between Time-Weighted (TWR) and Money-Weighted (IRR) Returns","authors":"M. Szudejko","doi":"10.2469/dig.v47.n4.4","DOIUrl":"https://doi.org/10.2469/dig.v47.n4.4","url":null,"abstract":"Stock managers and investors have historically used the time-weighted return (TWR) as the sole performance reporting measure because industry standards have endorsed the use, not to mention the fact that equity indices and benchmarks are reported on the same basis. The TWR lends itself nicely to daily priced, daily traded and liquid investments. It’s not surprising that bonds are reported in the same manner. As alternative asset classes and newfangled investment structures evolved, including closed-end vehicles in private equity and venture capital, it became clear that the TWR didn’t quite fit, although it is still desired by chief investment officers because one return measure is needed to aggregate performance and to compare performance across multiple asset classes.","PeriodicalId":359745,"journal":{"name":"Cfa Digest","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117291282","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper documents that among high Active Share portfolios – whose holdings differ substantially from the holdings of their benchmark – only those with patient investment strategies (i.e., with long stock holding durations of at least 2 years) outperform their benchmarks on average. Funds trading frequently generally underperform, regardless of Active Share. Among funds that infrequently trade, it is crucial to separate closet index funds – whose holdings largely overlap with the benchmark – from truly active funds. The average outperformance of the most patient and distinct portfolios equals 2.30% per year – net of costs – for retail mutual funds. Stocks held by patient and active institutions in general outperform by 2.22% per year and by hedge funds in particular by 3.64% per year, both gross of costs.
{"title":"Patient Capital Outperformance: The Investment Skill of High Active Share Managers Who Trade Infrequently","authors":"Nicholas Tan","doi":"10.2469/dig.v47.n4.7","DOIUrl":"https://doi.org/10.2469/dig.v47.n4.7","url":null,"abstract":"This paper documents that among high Active Share portfolios – whose holdings differ substantially from the holdings of their benchmark – only those with patient investment strategies (i.e., with long stock holding durations of at least 2 years) outperform their benchmarks on average. Funds trading frequently generally underperform, regardless of Active Share. Among funds that infrequently trade, it is crucial to separate closet index funds – whose holdings largely overlap with the benchmark – from truly active funds. The average outperformance of the most patient and distinct portfolios equals 2.30% per year – net of costs – for retail mutual funds. Stocks held by patient and active institutions in general outperform by 2.22% per year and by hedge funds in particular by 3.64% per year, both gross of costs.","PeriodicalId":359745,"journal":{"name":"Cfa Digest","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121619967","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Segment Disclosure Quantity and Quality under IFRS 8: Determinants and the Effect on Financial Analysts’ Earnings Forecast Errors","authors":"Sadaf Aliuddin","doi":"10.2469/DIG.V47.N4.8","DOIUrl":"https://doi.org/10.2469/DIG.V47.N4.8","url":null,"abstract":"","PeriodicalId":359745,"journal":{"name":"Cfa Digest","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133842780","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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