Aktiv fondsforvaltning af danske Aktier i Danmark er en succes!

Skrevet d. af — 3.586 kommentarer ↓
Print Friendly Version of this pagePrint Get a PDF version of this webpagePDF

 tpc_image

Abstrakt

Vi tester i artiklen Alpha performance[1], på aktivt forvaltede fonde af danske aktier i Danmark, i perioden 2006-2016. Vi tester udelukkende net-fee alpha, hvorved der i artiklen menes, alpha korrigeret for alle indre omkostninger i fondene. På denne måde anvendes direkte, fondenes Net Asset Values (NAV) i afkastberegningerne.[2]

Artiklen læner sig op af litteraturens standardmetode de seneste 5-10 år, for estimation af alpha. Vi udvælger en stikprøve på 26 fonde, som vi tester over 10 år med månedlige observationer. Stikprøven er udvalgt udfra forskellige kriterier, fra en Survivorship Bias database.[3]

Alpha estimeres statistisk signikant, og renset for held, til 2,7% p.a. på tværs af fondene i en foretrukket Fama-French (1993) model. Vi konkluderer derfor, at aktiv forvaltning i danske aktier, er klart at foretrække i risikojusterede termer. Alpha estimatet har stor betydning geometrisk over tid. Se her for graf over den rene performanceudvikling efter omkostninger.

Ligeledes konkluderer vi, at investorer ikke nødvendigvis er afhængig at udvælge de bedste historiske fonde.

Vi fokuserer på resultatet, korrigeret for den relative omkostning mellem den aktive fond, og den alternative passive benchmarkreplika. I forhold til eksisterende litteratur, testes der således direkte for alpha, under antagelse af, at det passive alternativ, ikke er omkostningsfrit replikerbart.

Vi følger litteraturen i udvælgelsen af ligevægtsmodeller til at fange den risikojusterede performance, alpha. Således implementeres, og testes de tidsuafhængige versioner af 1-faktor Jensen (1968), 3-faktor Fama-French (1993) og 4-faktor Carhart (1997), i en top-down og bottom-up modellering, med individuelle og aggregerede fondsregressioner.

Resultatet er stærkt og positivt signifikant. Ikke bare i gennemsnit, men stort set over hele linjen, har fondene leveret stærk alpha. Dog kun med parametrisk t-stat signifikans af alpha i multi-indeks modellerne.

Vi finder en særdeles stærk forklaringsgrad og signifikans i Fama-French (1993) modellen, som udover markedsindekset, også tager højde for en small-cap præmie og en valuepræmie. Alpha i denne model er som sagt 2,7% p.a., og med en-sidet p-værdi under 5%.

Vi finder i modellen, en negativ alpha bias i forhold til Jensen (1968), da small-cap aktier over en bred kam, har gjort det rigtig skidt, de sidste 10 år i Danmark (ca. -8% p.a. mod large-cap). Særligt pga. konkurser i mange mindre banker. Forvalterne får dermed en "kompensation" i alpha for at have taget small-cap risiko på.

Vormodel indikerer således, at forvalterne, inden for small-cap risikoen, har udvalgt de rigtige small-cap aktier.

Analysen viser også, at over 30% af fondene har problemer med den parametriske normalfordelingstest, hvorfor vi må gå ikke-parametrisk til værks. Vi følger, blandt mange, Kosowski et al. (2006), og belyser den faktiske krydssektionelle alphadistribution i forhold til en empirisk bootstrappet (simuleret) distribution. Dog kun for den udvalgte bedste model, Fama-French (1993).

Sammenligning af faktisk og simuleret CDF, viser den overlegne faktiske alpha på tværs af fondene.[4] Yderligere, viser den, at i særligt mellemgruppen af fondsrangeringen, er der relativ stor tilbøjelighed til at skabe værdi.

Individuelt, rangerer foreningen Investin A/S højest, med fonden Prof. Danske Fokus Aktier II. Denne, i Morningstar 5-stjernede fond, er Danmark's bedste aktive fond på danske aktier, når vi evaluerer under vores foretrukne mål, den risikojusterede alpha. Evalueres der udelukkende efter ren alpha, er Danmark's bedste fond, BIL Nordic Invest Danske Small Cap Aktier, som har 4 stjerner hos Morningstar. Se ranking her.

Vi perspektiverer afslutningsvis det solide resultat, i forhold til mulig overestimation af alpha pga. af bla. survivorship bias. Vi viser i artiklen, at den maksimale survivorship bias, der tidligere er beregnet internationalt, er omkring 2,75% p.a. (Malkiel, 1995, Grinblat og Titman, 1989). Sammenholdt med den estimerede alpha på 2,7%, betyder det, at selv i worst-case survivorship bias scenariet, er konklusionen om, at aktiv forvaltning i Danmark kan svare sig på danske aktier, nogenlunde robust.

Sidst, vi uddyber Fama-French (1993) modellens svagheder, og usikkerheder i forhold til det estimerede resultat. Der er mange usikkerheder og potentielle estimationsfejl. Særligt, og klassisk, er valget af benchmarkreplika'en. Denne har været til debat, siden den første kritik af CAPM i 1970'erne (Roll, 1978), og ikke uden grund. Således er vores alphaestimater i de 3 modeller, krydssektionelt, mellem 0,8% - 3,7% p.a 

Fulde artikel:

equityfunds_denmark_fundselection

 

 

 

[1] Alpha er "standard performance" korrigeret for den relative risikoforske,l mellem porteføljen og det replikerede passive benchmark. Alpha kan, som vi viser, beregnes både med udgangspunkt i en gennemsnitlig statisk relativ risikoforskel, og i en dynamisk forskel. Alpha er mere korrekt end simpel performance, da performance risikojusteres i en ligevægtsmodel. En ligevægtsmodel, der estimerer et fair risikostyret forventet afkast. I forhold til et klassisk performancemål som Information Ration'en, eller Sharpe Ration'en, risikokorrigeres performance i tælleren via alpha. NAV er Net Asset Value, dvs. markedsværdien af aktiver fratrukket markedsværdien af passiverne, nettoformuen eller egenkapitalen. De indre omkostninger er bla. en del af passivsiden. NAV er i praksis en indekseret værdi af fondens nettoformue over tid.

[2] Vi gennemgår det senere, men som kontrast til de "indre" omkostninger, står de "ydre" omkostninger, som estimerer investors bruttoomkostninger ved handle ud og ind af fondene. Emissions- og indløsningsomkostninger. ÅOP ("Årlig Omkostnings Procent") målet er et mål, for summen af de "indre" og "ydre" omkostninger. Denne skal dog kun anvendes ved "gross fee" beregninger, som vi ikke er interesserede i.

[3] For at undgå misforståelser. En "survivor-ship bias" database betyder, at alle lukkede fonde ikke er inkluderet. Fonde der er lukkede eller fusionerede ind i andre eksisterende fonde, har i mange internationale analyser vist, at skabe en positv alpha bias, da de er lukkede med dårlige resultater. Altså, alpha er kunstigt for højt.

[4] CDF er den kumulative sandsynlighedsfordeling ("Cumulative Distribution Function")

FacebookTwitterGoogle+LinkedInDel

3.586 tanker om “Aktiv fondsforvaltning af danske Aktier i Danmark er en succes!”

  54. ?Construct 2016
    Microsoft continues to focus on enabling builders to do amazing operate as small businesses and industries transform in assist in the shift to some cloud-first, mobile-first world. At Grow 2016 we will current the latest equipment and systems and how they can help today's builders be their most creative and productive.
    As always, Create is filled with good technical sessions in the process as opportunities to meet and learn from others from the industry. We'll make sure the schedule is filled with sound content, and will strive to deliver some fun surprises along the way.
    Рекомендуемые материалы
    Working day 1 of Assemble 2016 Keynote featuring Satya Nadella, Terry Myerson, Kevin Gallo, Phil Spencer, Alex Kipman, Lili Cheng and others.
    0:53] Satya Nadella Kicks off Put together 2016 4:47] Microsoft Mission 5:47] Cellular To begin with Cloud For starters 1:13] Terry Myerson, Executive Vice President, Windows and Products Group.
    Working day two Keynote of Create 2016 with Scott Guthrie, Qi Lu, Steve Guggenheimer and John Shewchuk.
    0:01] Scott Guthrie, Executive Vice President, Cloud + Organization, Kicks off Working day Two of Grow 2016 5:25] Azure Momentum 6:54] Online + Cell 0:23] Miguel de Icaza, Xamarin Co-Founder, shows off Xamarin.
    Since Roslyn shipped last 12 months we’ve been hard at perform producing on it to improve tooling, increase new language functionality and enhance Roslyn itself. During this session Dustin and Mads will perform with fire, showing early versions of new C# 7 language options this kind of as tuples and pattern matching, new editor amenities.
    Jogging Bash on Ubuntu on Windows!
    Russ Alexander. Rich Turner
    Pre-recorded
    200 - Intermediate
    P488
    136
    Managing Bash on Ubuntu on Windows? Really? Yes, REALLY! Within this video clip we’ll outline why and how we’re enabling Windows ten to run indigenous Linux applications and applications directly on Windows! Watch to learn greater and to see Bash functioning on Ubuntu on Windows!
    A Builders Guide to Azure SQL Data Warehouse
    James Rowland-Jones
    Pre-recorded
    Azure. Knowledge
    200 - Intermediate
    P402
    0
    Azure SQL Details Warehouse could be a scale out databases support specially designed to answer your ad hoc queries and questions. By spreading your details across distributions SQL Details Warehouse is suitable for analytics at scale. To make some of the most of your databases there are opportunities to tailor your table develop and optimize.
    Adding Manipulations during the Visible Layer to build Customized & Responsive Interactive Experiences
    Lindsay Kubasik. Anthony Young
    Pre-recorded
    Universal Windows System (UWP). Effects & Animation
    200 - Intermediate
    P405
    four
    Learn to enhance the person expertise of your application and unleash your creativity with the new exciting element of interactivity linked to the powerful operation of your animation engine within the visible layer. This talk exhibit how to take animations beyond a typical time-based program and use enter as being the driving.
    Enhanced File Searching in UWP
    Adam Wilson (APPMODEL)
    Pre-recorded
    Universal Windows System (UWP)
    200 - Intermediate
    P407
    0
    By leveraging the same local search know-how as Cortana, File Explorer, Edge, and others, applications can help end users pick the details they have to have when they would need it. This talk will cover: - How Edge stores and displays history outcome inside the address bar - How Cortana, Settings application, plus the control panel search.
    Establishing Cross-Platform Organization Cell Applications with Visible Studio and Azure App Company
    Donna Malayeri
    Pre-recorded
    Azure. Cross-Platform Growth. Business. iOS. Android
    200 - Intermediate
    P408
    3
    Impressive applications run on any unit and connect to the cloud. Learn how Azure Application Company helps establish awesome connected cell experiences, as well as solitary sign-on, drive notifications, offline information sync, and connectivity to on-premises solutions. Use Cell Application client SDKs to make a local encounter on various.
    Large-Scale Compute with Azure Batch
    Mark Scurrell
    Pre-recorded
    Azure
    200 - Intermediate
    P411
    0
    Azure Batch enables large-scale parallel and compute-intensive workloads to be easily and efficiently run inside the Azure; execute your new or present apps on tens to tens of thousands of VM’s. With this demo-intensive session you’ll see and learn about the quite a few abilities of Azure Batch.
    Bluetooth Machine Companion Applications for Windows ten
    Kiran Pathakota
    Pre-recorded
    Universal Windows System (UWP)
    200 - Intermediate
    P415
    3
    Don't leave your gadget without a companion! Ease person frustration and market yourselves to potential clientele by delivering a performant application practical knowledge on Windows ten. With the new Bluetooth in application pairing APIs, it is painless to guide end users down the righteous path and prevent ordinary pitfalls with the pairing.
    Beyond Beacons: Proximal Awareness with Bluetooth LE
    Kiran Pathakota
    Pre-recorded
    Universal Windows System (UWP)
    200 - Intermediate
    P416
    four
    Windows introduced aid for Beacons at //Build 2015. Now, we explore some general use cases for Beacons and how they tie in with the rest of your Bluetooth APIs.
    Bring an internet Application to Windows in Beneath 5 Minutes with Windows App Studio
    Peter Kruger
    Pre-recorded
    Universal Windows System (UWP)
    200 - Intermediate
    P417
    two
    Recorded session will cover a walkthrough of converting an internet application into a Windows Hosted World wide web Application (
    two:30min) and will mention how to increase in vs to insert increased highly developed features (two min).
    Business-to-Consumer Identity Management with Azure Active Directory B2C
    Swaroop Krishnamurthy
    Pre-recorded
    200 - Intermediate
    P423
    0
    Consumer identities are with the core of every consumer-facing software. Builders who manage them are facing growing challenges all over price, scalability and security. During this session, you will learn about Azure Active Directory B2C, an enterprise-grade, multi-tenant, cloud program that makes it straightforward. essay writing online

    Svar ↓

  77. Write My Paper - EssayErudite.com

    Looking for an expert to write my paper for you? You are at the right place.
    Providing superior writing service appears to be our main specialization and passion.
    Our website is the best destination for every English-speaking student who calls for assistance when handling his or her daily academic tasks.

    Svar ↓

  120. Yesterday i got some amazing info about Omega 3 foods and now i really wanna buy it. But i'm not absolutely sure which benefits will i have. I've found this omega 3 info , and now i want to buy it with best price. Any idea?

    Svar ↓

  145. Absolutely NEW update of SEO/SMM software "XRumer 16.0 + XEvil 3.0":
    captchas recognition of Google, Facebook, Bing, Hotmail, SolveMedia, Yandex,
    and more than 8400 another types of captchas,
    with highest precision (80..100%) and highest speed (100 img per second).
    You can connect XEvil 3.0 to all most popular SEO/SMM programms: XRumer, GSA SER, ZennoPoster, Srapebox, Senuke, and more than 100 of other software.

    Interested? You can find a lot of demo videos about XEvil in YouTube.
    You read it - then IT WORKS!
    Good luck!

    XRumer201708

    Svar ↓

  148. Absolutely NEW update of SEO/SMM software "XRumer 16.0 + XEvil 3.0":
    captcha recognition of Google, Facebook, Bing, Hotmail, SolveMedia, Yandex,
    and more than 8400 another categories of captchas,
    with highest precision (80..100%) and highest speed (100 img per second).
    You can connect XEvil 3.0 to all most popular SEO/SMM programms: XRumer, GSA SER, ZennoPoster, Srapebox, Senuke, and more than 100 of other programms.

    Interested? You can find a lot of introducing videos about XEvil in YouTube.
    You read it - then IT WORKS!
    Good luck ;)

    XRumer201708

    Svar ↓

  152. Day ago i read some interesting info about Omega 3 foods and now i very wanna buy it. But i'm not really sure which benefits will i have. I've found this omega 3 info , and now i want to get it with best price. Any idea?

    Svar ↓

  153. Absolutely NEW update of SEO/SMM package "XRumer 16.0 + XEvil":
    captchas regignizing of Google, Facebook, Bing, Hotmail, SolveMedia, Yandex,
    and more than 8400 another size-types of captchas,
    with highest precision (80..100%) and highest speed (100 img per second).
    You can connect XEvil 3.0 to all most popular SEO/SMM software: XRumer, GSA SER, ZennoPoster, Srapebox, Senuke, and more than 100 of other software.

    Interested? You can find a lot of impessive videos about XEvil in YouTube.
    You read it - then IT WORKS!
    See you later ;)

    XRumer201708

    Svar ↓

  191. Yesterday i got some amazing info about Omega 3 stuff and now i very wanna buy it. But i'm not 100% sure which pluses will i have. I've got this omega 3 info , and now i want to buy it with best price. Any idea?

    Svar ↓

  239. Day ago i got some interesting info about Omega 3 stuff and now i very wanna buy it. But i'm not really sure which pluses will i have. I've got this omega 3 info , and now i want to get it with good price. Any idea?

    Svar ↓

  248. Пополение баланса Авито (Avito) за 50% | Телеграмм @a1garant

    Мое почтение, дорогие друзья!

    Будем рады предоставить Всем вам сервис по пополнению баланса на действующие активные аккаунты Avito (а также, абсолютно новые). Если Вам требуются определенные балансы - пишите, будем решать. Потратить можно на турбо продажи, любые платные услуги Авито (Avito).

    Аккаунты не Брут. Живут долго.

    Процент пополнения в нашу сторону и стоимость готовых аккаунтов: 50% от баланса на аккаунте.
    Если необходим залив на ваш аккаунт, в этом случае требуются логин и пароль Вашего акка для доступа к форме оплаты, пополнения баланса.
    Для постоянных клиентов гибкая система бонусов и скидок!
    Гарантия:

    И, конечно же ничто не укрепляет доверие, как - Постоплата!!! Вперед денег не просим... А также, гасим Штрафы ГИБДД за 65% ...

    Оплата:
    ЯндексДеньги, Webmoney (профессиональные счета)
    Рады сотрудничеству!

    канал Телеграмм @t.me/avito50
    ________

    авито ру бесплатные объявления
    авито волгоград
    авито квартиры
    турбо продажа авито скидка
    кроссовки нью баланс авито

    Svar ↓

  441. Добрый день, друг у меня сейчас находится в СИЗО 12, так уж получилось, и сообщил мне что сообщения в прессе об избиениях заключённых действительно правда, по этому просьба распространить ссылку на данную статью для того чтобы предать этому дело огласке, потому что дело хотят замять!
    25 августа 2017 года в интернет-блоге одного из правозащитников появилась информация о том, что в ФКУ СИЗО-12 УФСИН России по Московской области произошел случай массового применения физической силы в отношении лиц, содержащихся под стражей. В сообщении говориться что пострадали как минимум 7 человек, из них двое являются инвалидами, больными тяжёлым заболеванием, которые нуждаются в постоянном приёме лекарств, вот эти самые лекарства, по сообщениям правозащитников, отобрали и выбросили сотрудники ФСИН. На данный момент на официальном сайте ФСИН появилось сообщение о несоответствии действительности данной информации, так же сообщается:

    «22-23 августа в ФКУ СИЗО-12 УФСИН России по Московской области в соответствии с графиком проведения проверок был осуществлен комплексный выезд группы кураторов по направлениям деятельности для оказания практической помощи с одновременным проведением общих обысковых мероприятий с привлечением личного состава аппарата Управления. Физическая сила в отношении лиц, содержащихся под стражей, не применялась, заявлений и обращений со стороны спецконтингента не поступало.» — заявила пресс-служба ФСИН.

    На данный момент многочисленные заявления правозащитников с просьбой возбудить уголовное дело по фактам пыток отправлено в прокуратуру, следственный комитет и лично генеральному прокурору и директору ФСИН. В ближайшее время следственные органы должны будут принять решение в порядке статей 144-145 УПК о возбуждении уголовного дела. Allrus.News будет следить за развитием событий.

    Источник: http://allrus.news/news/11902-arestantov-sizo-12-zhestoko-izbili-boicy-specnaza-fsin.html

    Svar ↓

  696. [url=http://genericrevia.pro/]generic revia[/url] [url=http://antabuse.schule/]cost of antabuse[/url] [url=http://retina.fund/]retin-a[/url] [url=http://wellbutrinsr.pro/]wellbutrin sr[/url]

    Svar ↓

  708. Недорогой отель Владимирский находится рядом с центром Нижнего Новгорода. Ближайшая станция метро Ленинская находится в 640 м от гостиницы, что позволяет попасть в центр города за 10-15 минут. Гостиница располагается в Нижнем Новгороде рядом с ЖД вокзалом.

    Отель в Нижнем Новгороде

    Svar ↓