Value versus Growth - An Empirical Analysis of Equity Fund Managers ́ Capabilities to Generate Alpha
Bachelor Thesis from the year 2012 in the subject Business economics - Business Management, Corporate Governance, grade: 1,00, EBS European Business School gGmbH, language: English, abstract: Portfolio managers face the challenge to achieve excess returns comparative to a benchmark for their private or institutional clients. Researchers such as Fama and French (1992, 1996) or Lakonishok, Shleifer, and Vishny (1994) caused a stir with their findings that various investment styles tend to accomplish superior returns over a long-term horizon. Their findings proposed that value stocks tend to outperform growth stocks. This bachelor thesis raises the question whether value or growth fund managers are able to achieve a persistent outperformance relative to their internal and external benchmark. The findings have a crucial influence on investors considering an investment into the equity market by an active or passive portfolio management approach.
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Performance Evaluation of Value and Growth Investing
Equity Fund Managers Capabilities to Generate Alpha
Summary and Conclusion
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active portfolio managers AIG MSCI World analysed average annual five-year average annual return average annual three-year beta book value CAPM Chan classification coefficient of determination companies dividend yield earnings empirical findings equity market equity mutual funds Evaluation excess return Exchange-Traded Funds external benchmark Fama and French financial data providers financial ratios fund performance Funds in Comparison funds outperformed growth and value growth fund managers growth investing Growth MSCI World growth portfolio managers Information ratio internal investment style Journal of Finance Lakonishok market index MSCI World Growth outperformed growth stocks P/BV ratio P/CF ratio P/E ratio rate of return researchers risk risk-adjusted Russell Investment Group Sharpe ratio Spread of Value standard deviation stock price stocks outperformed growth superior returns three factor model Treynor ratio underperformed undervalued stocks value and growth value fund managers value investors value of equity value premium value stocks outperformed Wachstum World Growth MSCI World MSCI World