References of "Bodson, Laurent"
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See detailComparison Between Morningstar Ratings and Traditional Performance Measures Ratings
Sougné, Danielle ULg; Bodson, Laurent ULg

Scientific conference (2013, July 01)

We compare Morningstar ratings and ratings obtained using the same methodology of rating attribution with a set of commonly used performance measures. We study three types of investment horizons : 3-year ... [more ▼]

We compare Morningstar ratings and ratings obtained using the same methodology of rating attribution with a set of commonly used performance measures. We study three types of investment horizons : 3-year, 5-year and 10-year ratings. Our analysis focuses on Open-End US Mutual Funds available in Morningstar Direct Database from which we create three sets of 16,617, 13,505 and 7,992 funds corresponding respectively to the three investment horizons analyzed. Our results show that Morningstar ratings are very close ( correlation around 80%) to ratings obtained with Sharpe's alpha, Jensen's alpha, Four-factor alpha and Excess returns. [less ▲]

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See detailA Global Approach to Mutual Funds Market Timing Ability
Bodson, Laurent ULg; Sougné, Danielle ULg; Cavenaile, Laurent

in Journal of Empirical Finance (2013)

• We propose a generalized specification to study market timing. Instead of considering an average market exposure for mutual funds, we allow mutual fund market betas to follow a random walk in the ... [more ▼]

• We propose a generalized specification to study market timing. Instead of considering an average market exposure for mutual funds, we allow mutual fund market betas to follow a random walk in the absence of market timing ability. As a consequence, we capture market exposure dynamics which is effectively due to manager market timing skills while allowing exposure dynamics to come from other sources than market timing. • We find that on average 6% of mutual funds display return market timing abilities while this percentage amounts to respectively 13% and 14% for volatility and liquidity market timing. We also analyse market timing by investment strategies and for surviving and dead funds. Dead fund exhibit lower volatility and liquidity timing skills than live funds. [less ▲]

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See detailIs There a Link Between Past Performance and Fund Failure?
Cogneau, Philippe ULg; Bodson, Laurent ULg; Hübner, Georges ULg

in Terraza, Virginie; Razafitombo, Hery (Eds.) Understanding Investment Funds (2013)

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See detailNormalized Risk-Adjusted Performance Measures Revisited: The Performance of FoHFs Before and After the Crisis
Bodson, Laurent ULg; Cavenaile, Laurent; Coën, Alain

in Gregoriou, Greg (Ed.) RECONSIDERING FUNDS OF HEDGE FUNDS: THE FINANCIAL CRISIS AND BEST PRACTICES IN UCITS, TAIL RISK, PERFORMANCE, AND DUE DILIGENCE (2013)

This paper revisits the performance of funds of hedge funds after the crisis using normalized risk-adjusted performance measures based on multi-factor models. First, we develop performance measures able ... [more ▼]

This paper revisits the performance of funds of hedge funds after the crisis using normalized risk-adjusted performance measures based on multi-factor models. First, we develop performance measures able to capture the variety of systematic risk sources. Second, we deal with the impact of smoothing on the risk return properties of FoHF using an adjustment technic for illiquidity. Third, we implement unbiased estimators to correct for the econometric bias induced by errors-in-variables (EIV) in asset pricing models. With these different adjustments, we analyze the persistence and stability of performance measures before and after the crisis for a data base of funds of hedge funds. Our results clearly show that the normalized risk-adjusted performance measures corrected for smoothing effect and EIV outperform the alternatives measures before and after the crisis. [less ▲]

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See detailComparison Between Mornigstar Ratings And Traditional Performance Measures Ratings
Bodson, Laurent ULg; Delhalle, Stéphanie ULg; Sougné, Danielle ULg

E-print/Working paper (2012)

In this paper, we compare Morningstar ratings with those obtained using the same methodology of rating attribution with a set of commonly used performance measures. We look at three types of investment ... [more ▼]

In this paper, we compare Morningstar ratings with those obtained using the same methodology of rating attribution with a set of commonly used performance measures. We look at three types of investment horizons: 3-year, 5-year and 10-year ratings. Our analysis focuses on Open-End US Mutual Funds available in Morningstar Direct Database from which we create three sets of 16,617, 13,505 and 7,992 funds corresponding respectively to the three investment horizons analyzed. Our results show that Morningstar ratings are very close (correlation around 80%) to ratings obtained with Sharpe’s alpha, Jensen’s alpha, Four-factor alpha and Excess returns. And less significantly, we also observe that ratings given by the Sortino ratio, Sharpe MVaR, M-squared, Sharpe ratio, One-factor information ratio, Four-factor information ratio, Prospect ratio and Stutzer index are quite similar to Morningstar’s ratings (correlation lying between 70% and 78%). At the other end of the spectrum, however, ratings obtained with Annual return diverge widely from Morningstar ratings. We also analyse which explanatory variables can explain the differences between ratings computed with Morningstar as compared with the alternative performance measures using a probit regression. We find that Load adjustments, tax and risk included by Morningstar in the computation of MRAR are often determining. Expense ratio, Return Skewness and the three factors of the Fama-French model (Beta, Size load and Book-to-market loading) can be significant determinants depending on the performance measure analyzed and on the selected investment horizon. Fund characteristics such as Age, Fund size, Turnover rate and Manager tenure are not statistically significant in determining the differences in ratings. Besides, we analyze differences between ratings (in terms of number of STARs) and we confirm previous results (i.e. the link between Morningstar’s and the alternative performance measures, but also the explanatory capacity of the load for lots of differences between ratings). Finally, we test all possible combinations of our set of performance measures, and observe that Sharpe’s alpha, excess return, Sharpe MVaR, Four-factor alpha and Jensen’s alpha are part of the best combinations. As a conclusion, Morningstar ratings can be replicated using simple and traditional performance measures but the replication is less accurate when tax and loads features are important. Therefore, Morningstar data management and access bring the most of its ratings’ value added. [less ▲]

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See detailDo Mutual Fund Investors Still Trust Standard Risk-Adjusted Performance Measures?
Sougné, Danielle ULg; Bodson, Laurent ULg; Cave, Arnaud

Conference (2012, August)

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See detailDo Mutual Fund Investors Still Trust Standard Risk-Adjusted Performance Measures?
Bodson, Laurent ULg; Cave, Arnaud; Sougné, Danielle ULg

E-print/Working paper (2012)

We study the relationship between the risk-adjusted performance of mutual funds and their money flows (i.e. their subscriptions and redemptions). Testing the most traditional risk-adjusted performance ... [more ▼]

We study the relationship between the risk-adjusted performance of mutual funds and their money flows (i.e. their subscriptions and redemptions). Testing the most traditional risk-adjusted performance measures, we identify the ones which best explain the flows of equity, bond or mixed funds. The risk-adjusted performance measures which attract the most the attention from investors are the Information ratios (mono- and multi-factor), the M-squared and the Sharpe ratios (traditional Sharpe ratios and Sharpe MVaR). We may conclude that fund managers who want to maximize their AuM (and, if applicable, increase their AuM based fees) must mainly focus their efforts on improving these standard performance measures. Furthermore, we also demonstrate that the performance-flow relationship is concave then convex. Indeed, amongst the funds with a negative performance, those achieving the worst results are affected by disproportionately high net outflows whereas, on the opposite side of the spectrum, the most successful funds experience much higher capital inflows. [less ▲]

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See detailA Global Approach to Mutual Funds Market Timing Ability
Sougné, Danielle ULg; Bodson, Laurent ULg; Cavenaile, Laurent

E-print/Working paper (2012)

In this paper, we globally investigate market timing abilities of mutual fund managers from the three perspectives: market return, market-wide volatility and aggregate liquidity. We propose a new ... [more ▼]

In this paper, we globally investigate market timing abilities of mutual fund managers from the three perspectives: market return, market-wide volatility and aggregate liquidity. We propose a new specification to study market timing. Instead of considering an average market exposure for mutual funds, we allow mutual fund market betas to follow a random walk in the absence of market timing ability. As a consequence, we capture market exposure dynamics which is really due to manager market timing skills while allowing dynamics to come from other sources than market timing. We find that on average 6% of mutual funds display return market timing abilities while this percentage amounts to respectively 13% and 14% for volatility and liquidity market timing. We also analyze market timing by investment strategies and for surviving and dead funds. Dead fund exhibit lower volatility and liquidity timing skills than live funds. [less ▲]

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See detailDo Mutual Fund Investors Still Trust Standard Risk-Adjusted Performance Measures?
Sougné, Danielle ULg; Bodson, Laurent ULg; Cave, Arnaud

E-print/Working paper (2012)

We study the relationship between the past performance of mutual funds and their capital flows (i.e. their subscriptions and redemptions). Testing the most traditional risk-adjusted performance measures ... [more ▼]

We study the relationship between the past performance of mutual funds and their capital flows (i.e. their subscriptions and redemptions). Testing the most traditional risk-adjusted performance measures, we identify the ones which best explain the flows of US equity mutual funds. [less ▲]

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See detailDoes Size Affect Mutual Fund Performance? A General Approach
Sougné, Danielle ULg; Bodson, Laurent ULg; Cavenaile, Laurent

in Journal of Asset Management (2011), 12(3n), 163-171

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See detailLe gré à gré, un marché aux puces ?
Bodson, Laurent ULg

Article for general public (2010)

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See detailHow to Asess a Manager Recovery Skill?
Sougné, Danielle ULg; Bodson, Laurent ULg; Plunus, Séverine ULg et al

Scientific conference (2010, October 21)

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See detailMes premiers pas en Bourse
Bodson, Laurent ULg

Scientific conference (2010, October 04)

Detailed reference viewed: 39 (8 ULg)
See detailPerformance de Portefeuille
Bodson, Laurent ULg; Grandin, Pascal; Hübner, Georges ULg et al

Book published by Pearson - 2ème éd. (2010)

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See detailUne mesure de performance normalisée
Bodson, Laurent ULg; Cavenaile, Laurent ULg; Sougné, Danielle ULg

Article for general public (2010)

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See detailEssays in Empirical Finance: Portfolio Risk and Performance Management
Bodson, Laurent ULg

Doctoral thesis (2010)

Detailed reference viewed: 131 (37 ULg)
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See detailEvaluer la perception du risque
Bodson, Laurent ULg; Debatty, Philippe

Article for general public (2010)

Detailed reference viewed: 23 (6 ULg)