Publications of Laurent Bodson
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See detailPerformance of Global Mutual Funds
Sougné, Danielle ULiege; Bodson, Laurent ULiege; Bazgour, Tarik ULiege

in Filbeck, Greg; Baker, Kent (Eds.) Mutual Funds and Exchange-Traded Funds (2016)

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See detailComparison Between Morningstar Ratings and Traditional Performance Measures Ratings
Sougné, Danielle ULiege; Bodson, Laurent ULiege

Scientific conference (2013, July 01)

We compare Morningstar ratings and ratings obtained using the same methodology of rating attribution with a set of commonly used performance measures. We study three types of investment horizons : 3-year ... [more ▼]

We compare Morningstar ratings and ratings obtained using the same methodology of rating attribution with a set of commonly used performance measures. We study three types of investment horizons : 3-year, 5-year and 10-year ratings. Our analysis focuses on Open-End US Mutual Funds available in Morningstar Direct Database from which we create three sets of 16,617, 13,505 and 7,992 funds corresponding respectively to the three investment horizons analyzed. Our results show that Morningstar ratings are very close ( correlation around 80%) to ratings obtained with Sharpe's alpha, Jensen's alpha, Four-factor alpha and Excess returns. [less ▲]

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See detailA Global Approach to Mutual Funds Market Timing Ability
Bodson, Laurent ULiege; Sougné, Danielle ULiege; Cavenaile, Laurent

in Journal of Empirical Finance (2013)

• We propose a generalized specification to study market timing. Instead of considering an average market exposure for mutual funds, we allow mutual fund market betas to follow a random walk in the ... [more ▼]

• We propose a generalized specification to study market timing. Instead of considering an average market exposure for mutual funds, we allow mutual fund market betas to follow a random walk in the absence of market timing ability. As a consequence, we capture market exposure dynamics which is effectively due to manager market timing skills while allowing exposure dynamics to come from other sources than market timing. • We find that on average 6% of mutual funds display return market timing abilities while this percentage amounts to respectively 13% and 14% for volatility and liquidity market timing. We also analyse market timing by investment strategies and for surviving and dead funds. Dead fund exhibit lower volatility and liquidity timing skills than live funds. [less ▲]

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See detailIs There a Link Between Past Performance and Fund Failure?
Cogneau, Philippe ULiege; Bodson, Laurent ULiege; Hübner, Georges ULiege

in Terraza, Virginie; Razafitombo, Hery (Eds.) Understanding Investment Funds (2013)

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See detailComparison Between Mornigstar Ratings And Traditional Performance Measures Ratings
Bodson, Laurent ULiege; Delhalle, Stéphanie ULiege; Sougné, Danielle ULiege

E-print/Working paper (2012)

In this paper, we compare Morningstar ratings with those obtained using the same methodology of rating attribution with a set of commonly used performance measures. We look at three types of investment ... [more ▼]

In this paper, we compare Morningstar ratings with those obtained using the same methodology of rating attribution with a set of commonly used performance measures. We look at three types of investment horizons: 3-year, 5-year and 10-year ratings. Our analysis focuses on Open-End US Mutual Funds available in Morningstar Direct Database from which we create three sets of 16,617, 13,505 and 7,992 funds corresponding respectively to the three investment horizons analyzed. Our results show that Morningstar ratings are very close (correlation around 80%) to ratings obtained with Sharpe’s alpha, Jensen’s alpha, Four-factor alpha and Excess returns. And less significantly, we also observe that ratings given by the Sortino ratio, Sharpe MVaR, M-squared, Sharpe ratio, One-factor information ratio, Four-factor information ratio, Prospect ratio and Stutzer index are quite similar to Morningstar’s ratings (correlation lying between 70% and 78%). At the other end of the spectrum, however, ratings obtained with Annual return diverge widely from Morningstar ratings. We also analyse which explanatory variables can explain the differences between ratings computed with Morningstar as compared with the alternative performance measures using a probit regression. We find that Load adjustments, tax and risk included by Morningstar in the computation of MRAR are often determining. Expense ratio, Return Skewness and the three factors of the Fama-French model (Beta, Size load and Book-to-market loading) can be significant determinants depending on the performance measure analyzed and on the selected investment horizon. Fund characteristics such as Age, Fund size, Turnover rate and Manager tenure are not statistically significant in determining the differences in ratings. Besides, we analyze differences between ratings (in terms of number of STARs) and we confirm previous results (i.e. the link between Morningstar’s and the alternative performance measures, but also the explanatory capacity of the load for lots of differences between ratings). Finally, we test all possible combinations of our set of performance measures, and observe that Sharpe’s alpha, excess return, Sharpe MVaR, Four-factor alpha and Jensen’s alpha are part of the best combinations. As a conclusion, Morningstar ratings can be replicated using simple and traditional performance measures but the replication is less accurate when tax and loads features are important. Therefore, Morningstar data management and access bring the most of its ratings’ value added. [less ▲]

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See detailA Global Approach to Mutual Funds Market Timing Ability
Sougné, Danielle ULiege; Bodson, Laurent ULiege; Cavenaile, Laurent

E-print/Working paper (2012)

In this paper, we globally investigate market timing abilities of mutual fund managers from the three perspectives: market return, market-wide volatility and aggregate liquidity. We propose a new ... [more ▼]

In this paper, we globally investigate market timing abilities of mutual fund managers from the three perspectives: market return, market-wide volatility and aggregate liquidity. We propose a new specification to study market timing. Instead of considering an average market exposure for mutual funds, we allow mutual fund market betas to follow a random walk in the absence of market timing ability. As a consequence, we capture market exposure dynamics which is really due to manager market timing skills while allowing dynamics to come from other sources than market timing. We find that on average 6% of mutual funds display return market timing abilities while this percentage amounts to respectively 13% and 14% for volatility and liquidity market timing. We also analyze market timing by investment strategies and for surviving and dead funds. Dead fund exhibit lower volatility and liquidity timing skills than live funds. [less ▲]

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See detailDo Mutual Fund Investors Still Trust Standard Risk-Adjusted Performance Measures?
Sougné, Danielle ULiege; Bodson, Laurent ULiege; Cave, Arnaud

E-print/Working paper (2012)

We study the relationship between the past performance of mutual funds and their capital flows (i.e. their subscriptions and redemptions). Testing the most traditional risk-adjusted performance measures ... [more ▼]

We study the relationship between the past performance of mutual funds and their capital flows (i.e. their subscriptions and redemptions). Testing the most traditional risk-adjusted performance measures, we identify the ones which best explain the flows of US equity mutual funds. [less ▲]

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See detailDoes Size Affect Mutual Fund Performance? A General Approach
Sougné, Danielle ULiege; Bodson, Laurent ULiege; Cavenaile, Laurent

in Journal of Asset Management (2011), 12(3n), 163-171

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See detailLa taille d’un fonds d’investissement influence-t-elle sa performance?
Bodson, Laurent ULiege; Cavenaile, Laurent ULiege; Sougné, Danielle ULiege

Article for general public (2011)

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See detailLe gré à gré, un marché aux puces ?
Bodson, Laurent ULiege

Article for general public (2010)

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See detailMes premiers pas en Bourse
Bodson, Laurent ULiege

Scientific conference (2010, October 04)

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See detailPerformance de Portefeuille
Bodson, Laurent ULiege; Grandin, Pascal; Hübner, Georges ULiege et al

Book published by Pearson - 2ème éd. (2010)

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See detailEssays in Empirical Finance: Portfolio Risk and Performance Management
Bodson, Laurent ULiege

Doctoral thesis (2010)

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See detailEvaluer la perception du risque
Bodson, Laurent ULiege; Debatty, Philippe

Article for general public (2010)

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See detailEssays in Empirical Finance: Portfolio Risk and Performance Management
Bodson, Laurent ULiege

Book published by Les Editions de l’Université de Liège (2010)

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See detailEffect of Benchmark Misspecification on Risk-Adjusted Performance Measures
Bodson, Laurent ULiege; Hübner, Georges ULiege

in Gregoriou, Greg N.; Hoppe, Christian; Wehn, Carsten (Eds.) The Risk Modeling Evaluation Handbook (2010)

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See detailDynamic Hedge Fund Style Analysis with Errors-in-Variables
Bodson, Laurent ULiege; Coën, Alain; Hübner, Georges ULiege

in Journal of Financial Research (2010), 33(3), 201-221

We revisit the traditional return-based style analysis in the presence of time varying exposures and errors-in-variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute ... [more ▼]

We revisit the traditional return-based style analysis in the presence of time varying exposures and errors-in-variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute the estimated EIV of the selected benchmarks. We adjust them by subtracting their EIV from the initial return series to obtain an estimate of the true uncontaminated benchmarks. Finally, we run the Kalman filter on these adjusted regressors. Analyzing EDHEC alternative index styles, we show that this technique improves the factor loadings and allows more precise identification of the return sources of the considered hedge fund strategy. [less ▲]

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See detailDow Jones Club Conference
Bodson, Laurent ULiege

Scientific conference (2009, October 19)

Detailed reference viewed: 32 (7 ULiège)