Lighthouse Lecture Series: Conditional Benchmarks and the Identification of Skill in Active Management?
Recent studies link fund performance to measures of active management, and this evidence often takes the form of large spreads in unconditional alphas for characteristic-sorted portfolios. Unconditional benchmarks can, however, produce misleading inferences on managerial skill for strategies that exhibit substantial turnover and unstable factor exposures.
Professor Tiwari will propose an approach to performance attribution that accounts for predictable changes in portfolio style. Compared to existing methods, the benchmarks yield superior tracking performance and a more powerful statistical assessment of abnormal returns. Professor Tiwari will reevaluate six proxies for active management using our method and conclude that these measures are largely unrelated to managerial ability.
|Thursday 30 November 2017|
11:00 am - 1:00 pm
|Finance Decision Lab, Level 1, Building E4A|
|Friday 24 November 2017|
Cederburg, S., O'Doherty, M.S., Savin, N. E. & Tiwari, A. Conditional Benchmarks and Predictors of Mutual Fund Performance. October 2017
Ashish Tiwari is a Professor of Finance and the Tippie Research Fellow at the Henry B. Tippie College of Business Administration at the University of Iowa, where he also served as the director of the Finance Ph.D. program from 2007 to 2015. Prof. Tiwari’s research and teaching interests are in the areas of investments, market microstructure, and real estate. His research addresses a range of issues including the impact of uncertainty on optimal asset allocations, the performance of mutual funds and hedge funds, the design of optimal portfolio management contracts, the impact of market design on order execution quality, and the link between portfolio diversification gains and business cycles. In recent years his research has focused on the use of model combination techniques to improve performance benchmarking of portfolio managers.
Prof. Tiwari’s papers have been published in several academic journals including European Financial Management, Journal of Business, Journal of Empirical Finance, Journal of Finance, Journal of Financial Intermediation, Journal of Financial Markets, Journal of Financial and Quantitative Analysis, Journal of Financial Research, Journal of Investment Management, Journal of Portfolio Management, Management Science, Real Estate Economics, Review of Finance, and the Review of Financial Studies. His research and commentary have also been featured in various business and popular press outlets including the Financial Times and the Wall Street Journal.
Prof. Tiwari has served as a consultant for a number of organizations including the American Stock Exchange (Amex). Before entering academe, his corporate experience involved the areas of Corporate Finance and Information Systems Design. Prof. Tiwari received his Ph.D. in Finance from the University of Iowa and MBA (Finance/MIS) degrees from the University of Windsor, and Panjab University.