for his work on portfolio theory and asset pricing,
both theoretical and empirical.Currently he is a professor of finance at the University of Chicago Booth School of Business. MBA, PhD.
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Содержание
Eugene FamaBorn in 1939, an American economist, known for his work on portfolio theory and asset pricing, both theoretical and empirical. Currently he is a professor of finance at the University of Chicago Booth School of
Слайд 2
Eugene Fama
Born in 1939, an American economist, known
Currently he is a professor of finance at the University of Chicago Booth School of Business. MBA, PhD.
Слайд 3
Eugene Fama
E. Fama is most often thought of
as the father of efficient market hypothesis (EMH), beginning
with his Ph.D. thesis.In a ground-breaking article in the May, 1970 issue of the Journal of Finance, entitled "Efficient Capital Markets: A Review of Theory and Empirical Work," E. Fama proposed three types of efficiency:
strong-form;
semi-strong form; and
weak efficiency.
He was a co-founder of Fama–French three-factor model (1993).
Слайд 4 GSS, Gross security selection = ract - rCAPM
= CFDR + NSS
CFDR, Compensation for diversifiable risk is
the effect of higher volatility of portfolio on the GSS. CFDR = (rm – rf)*(sigmap/sigmam – betap)
sigmap/sigmam could be called the «degree of volatility»
NB: sigmap/sigmam > betap
Analysis of abnormal return
by E. Fama
Слайд 5
NSS, Net security selection = GSS – CFDR
NSS
is the effect of “smart” selection of securities for
a portfolio, and effective & efficient trading (opening/closing positions).
Слайд 6
In 2012, a managed portfolio:
mean returnp =
0,41%
betap = 0,77
sigmap = 3,55%
Market proxy is
ACWIFM (0,24%;1,83%)Find:
GSS
Degree of volatility
CFDR
NSS
Evaluate the portfolio manager’s performance
Practice
