Active versus Passive Management of International Mutual Funds ...

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28 APPENDIX A Independent Variable Passive Mgmt. Style Composite Dependent Benchmark Risk Variable/ Indices Measure Hypotheses 1995-2008 DJ Euro STOXX 50, FTSE 100, DAX, Nikkei 225, Hang Seng, S&P/ASX Mean Std. Dev. Sharpe Ratio Passive Performance = Active Performance Passive Performance ≠ Active Performance Independent Variable Active Mgmt. Style 1995-2008 Equity Europe Equity Asia Pacific Mean Std. Dev. Sharpe Ratio Active Performance = Passive Performance Active Performance ≠ Passive Performance Figure 1. Research Model 1 1 From “Active versus passive investing: Evidence from 1995-2002 market Cycle,” by M. Miller, 2006, Retrieved from Dissertations and Theses database. (AAT 3205544). Adapted with permission of the author. APPENDIX B Weekly Sharpe Ratios: Morningstar Equity Europe Investment Category versus Dow Jones EURO STOXX 50 Index, FTSE 100, and FSE DAX Period Return Dates Equity Europe Sharpe Ratio Dow Jones Stoxx Index Euro Sharpe Ratio FTSE 100 PR GBP Sharpe Ratio FSE DAX TR EUR Sharpe Ratio 01/02/1995 -0.485 ‐0.448 ‐0.028 ‐0.638 01/09/1995 -1.583 ‐0.569 ‐0.315 0.123 01/16/1995 0.089 0.125 ‐0.446 ‐0.157 01/23/1995 -0.694 ‐0.123 0.187 ‐0.202 01/30/1995 -0.007 0.249 0.305 0.437 02/06/1995 0.843 0.636 0.899 0.746 02/13/1995 -0.977 ‐0.513 ‐1.061 ‐0.152 02/20/1995 -1.560 ‐0.347 ‐0.091 ‐0.034
02/27/1995 -0.655 ‐0.268 ‐0.156 ‐0.260 03/06/1995 -2.685 ‐0.743 ‐0.052 ‐0.747 03/13/1995 -0.052 0.071 0.481 ‐0.158 03/20/1995 0.265 ‐0.128 0.834 ‐0.469 03/27/1995 0.339 0.133 ‐0.128 ‐0.181 04/03/1995 1.167 0.740 0.793 1.000 04/10/1995 0.292 0.658 ‐0.090 0.089 04/17/1995 ‐0.593 ‐0.056 ‐0.134 0.016 04/24/1995 2.071 0.424 0.334 0.327 05/01/1995 1.502 0.454 0.412 0.015 05/08/1995 1.135 2.449 0.684 3.045 05/15/1995 ‐0.319 ‐0.800 ‐1.096 ‐0.527 05/22/1995 0.021 ‐0.120 0.460 0.000 05/29/1995 0.815 0.576 0.640 2.042 06/05/1995 ‐0.158 ‐0.460 ‐0.071 ‐0.290 06/12/1995 ‐0.543 0.012 0.321 0.294 06/19/1995 3.143 0.336 0.098 0.101 06/26/1995 ‐2.472 ‐1.062 ‐0.360 ‐0.632 07/03/1995 1.004 0.890 0.917 0.658 07/10/1995 1.371 0.373 ‐0.712 0.478 07/17/1995 ‐0.721 ‐0.188 ‐0.242 0.045 07/24/1995 1.579 0.621 1.188 0.190 07/31/1995 1.421 0.165 0.071 0.159 08/07/1995 0.167 0.259 ‐0.454 ‐0.171 08/14/1995 0.627 0.295 0.321 0.430 08/21/1995 0.163 ‐0.527 0.147 ‐0.306 08/28/1995 ‐1.373 ‐0.648 ‐0.161 ‐0.194 09/04/1995 1.194 0.801 0.624 0.485 09/11/1995 0.738 0.424 0.065 0.473 09/18/1995 ‐0.699 ‐0.673 ‐0.403 ‐0.256 09/25/1995 ‐0.883 ‐0.068 ‐0.073 ‐0.044 10/02/1995 ‐0.351 ‐0.429 0.208 ‐0.407 10/09/1995 ‐0.049 0.155 0.182 0.225 10/16/1995 ‐0.749 ‐1.015 ‐0.181 ‐0.787 10/23/1995 ‐0.634 ‐0.300 ‐0.897 ‐0.312 10/30/1995 2.001 1.017 ‐0.007 0.593 11/06/1995 ‐0.138 ‐0.160 0.297 0.092 11/13/1995 0.336 0.822 1.077 0.391 11/20/1995 0.770 0.404 0.082 0.295 11/27/1995 0.378 0.262 1.093 0.676 12/04/1995 ‐0.104 0.177 ‐1.321 0.144 12/11/1995 0.316 0.246 0.088 0.215 12/18/1995 ‐0.142 0.161 0.064 ‐0.049 29
Page 1 and 2: Active versus Passive Management of
Page 3 and 4: suspect that anomalies would disapp
Page 5 and 6: investors [6]. Siegel [79] added to
Page 7 and 8: Portfolio performance measures Trey
Page 9 and 10: hypothetical portfolios as a means
Page 11 and 12: covered funds from 1992 to 1996 and
Page 13 and 14: where anomalies continue to exist.
Page 15 and 16: means someone sold their position.
Page 17 and 18: called the Noisy Market Hypothesis.
Page 19 and 20: 19 indices, Morgan Stanley Capital
Page 21 and 22: б i = the standard deviation of th
Page 23 and 24: 23 indices’ weekly Sharpe ratios.
Page 25 and 26: 25 (alpha); a further indication th
Page 27: tend to outperform active managers
Page 31 and 32: 10/21/1996 ‐0.989 ‐0.383 ‐0.2
Page 33 and 34: 06/15/1998 ‐0.225 ‐0.170 ‐0.0
Page 35 and 36: 02/07/2000 0.810 0.183 0.010 0.204
Page 37 and 38: 10/01/2001 0.473 0.123 0.287 0.380
Page 39 and 40: 05/26/2003 0.568 0.782 0.329 0.908
Page 41 and 42: 01/17/2005 0.149 ‐0.131 ‐0.208
Page 43 and 44: 09/11/2006 0.468 0.511 ‐0.054 0.9
Page 45 and 46: 45 05/05/2008 ‐0.072 ‐0.508 ‐
Page 47 and 48: 10/16/1995 ‐1.952 0.430 0.006 0.2
Page 49 and 50: 05/12/1997 1.006 0.498 0.169 0.912
Page 51 and 52: 12/07/1998 0.350 ‐0.220 ‐0.001
Page 53 and 54: 07/03/2000 ‐0.041 ‐0.034 0.857
Page 55 and 56: 01/28/2002 ‐0.173 ‐0.505 ‐0.0
Page 57 and 58: 08/25/2003 0.118 0.159 0.338 0.450
Page 59 and 60: 03/21/2005 ‐0.583 ‐0.508 ‐0.6
Page 61 and 62: 10/16/2006 0.583 0.311 0.245 10/23/
Page 63 and 64: 63 05/12/2008 1.075 1.218 0.506 1.0
Page 65 and 66: 25. Cremers, M., & Petajisto, A. (2
Page 67: 63(6), 31-37. 68. Reilly, F. K., &

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