Lecture #15 - Ec 136, Financial Economics Lecture 15...

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Unformatted text preview: Ec 136, Financial Economics Lecture 15 October 22 Outline for today 1. Mutual fund performance. 2. E&cient markets hypothesis. 3. Rational expectations. 4. Expectations and EMH. www.econ.berkeley.edu/~szeidl/ec136/ec136index.htm Readings: BKM Chapter 4, 12.1-12.2, 12.4-12.6 (Chap- ter 11 in editions 78) Problem set 5 : due October 29, Thurs, in class. 1 Mutual fund performance & Mutual funds are portfolios . How well do fund managers pick the stocks? & Luck versus ability { Suppose fund manager has 50% chance of beating market. { Odds of beating 8 years in a row? & Survivorship bias : only see results for funds that survive. { Less successful funds are shut down & Performance persistence { Strongest on the downside { Much of it driven by fees Name Ticker Asset Class YTD as of 10/20/2009 Average Annual Returns as 1 Year 5 Year 10 Year 500 Index VFINX Stock - General 23.23% 6.87% 0.94% 0.23% Diversified Equity VDEQX Stock - General 30.37% 2.72% Dividend Appreciation Index VDAIX Stock - General 16.74% 4.78% Dividend Growth VDIGX Stock - General 17.55% 6.04% 3.94% 1.77% Equity Income VEIPX Stock - General 14.63% 9.12% 1.93% 3.03% FTSE Social Index VFTSX Stock - General 32.13% 6.30% 1.38% Growth and Income...
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This note was uploaded on 09/02/2010 for the course ECON 136 taught by Professor Szeidl during the Fall '08 term at University of California, Berkeley.

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Lecture #15 - Ec 136, Financial Economics Lecture 15...

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