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Full-Text Articles in Social and Behavioral Sciences
Mutual Fund Performance In A Nonsymmetrical World: A Case For The Upside Deviation, Ladd Kochman, Ravija Badarinathi
Mutual Fund Performance In A Nonsymmetrical World: A Case For The Upside Deviation, Ladd Kochman, Ravija Badarinathi
Ladd Kochman
A mathematical case is made for the upside deviation. When a portfolio's UD is divided by the market's UD, the resulting ratio facilitates another test of positive or negative skewness. However, a grater contribution of the prospective measure is that were DDp/DDm monitors a portfolio's control of downside deviations, UDp/UDm reflects the leverage from upside deviations.
Revisiting The Streaking Teams Phenomenom: A Note, Ladd Kochman, Randy Goodwin
Revisiting The Streaking Teams Phenomenom: A Note, Ladd Kochman, Randy Goodwin
Ladd Kochman
In an effort to learn if systematic misperceptions by market participants can undermine efficient prices and create regular profit opportunities, Camerer (1989) and Brown and Sauer (1993) investigated whether participants in the basketball-betting market overbet streaking (or "hot") teams. The purpose of this note is determine whether streaking teams - both hot and cold-in college football alter point spreads to an exploitable degree. The pointwise outcomes of college football teams following 2-, 3-, 4-, 5-, 6-, 7-, 8-, and 9-game streaks during the 1996-2000 seasons. Streaks in the aggregate produced only breakeven results when used to predict the outcomes of …
The Why And How Of Mutual Fund Standard Deviations, Ladd Kochman, Randy Goodwin
The Why And How Of Mutual Fund Standard Deviations, Ladd Kochman, Randy Goodwin
Ladd Kochman
To the interested observer, mutual fund standard deviations raise two tantalizing questions: Are standard deviations relevant when funds, by definition, eliminate the unsystematic component of total risk? and How can two respected giants in the investments field like Fidelity and Morningstar use the same returns, intervals and measurement period for the same fund and end up with glaringly different standard deviations? To answer the question of relevance, we recall Evans and Archer's (1968) argument that as much as 90 percent of a portfolio's unsystematic risk can be diversified away with 12 to 18 stocks. Since that diversifiable risk is a …