, . , , , , . . . , , , .
, , : ) ( ); ) ; ) ; ) . .38
38G. P. Brinson. Determinants of Portfolio Performance II: An Update. Financial Analysts Journal (MayJune 1991).
, , , . , . , , 50% 50% , , , 85 15%.39
39P. Bernstein, A. Damodaran. Investment management. N. Y.:John Wiley, 1997.
, , , . , , , .40
40Z. Chen, P.J. Knez. Portfolio performance measurement: Theory and applications // Rev. Of Financial Studies. 1996, vol. 9, 2.
P. Chunhachinda, R. Dandapani, Sh. Hamid. Portfolio selection and skewness: Evidence from international stock market//J. of Banking and Finance. 1997, vol. 21, 2.
, , . , , , .
|
|
. 8.1 , 1996 . , , . , .
8.1. , ( 31 1996.)
, $ | , % | |
7915,3 | 7,5 | |
3071,0 | 6,8 | |
6484,5 | 14,4 | |
684,0 | 1,5 | |
9200,0 | 20,4 | |
725,0 | 1.6 | |
385,0 | 0,9 | |
4017,5 | 8,9 | |
8524,9 | 18,9 | |
598,6 | 1,3 | |
42,7 | 0,1 | |
1732,7 | 3,8 | |
1804,5 | 4,0 | |
: | 45 186,0 |
: Brinson Partners, Inc. 1997.
, , , .
, , , , , .
, , , , , . , , , , . , , , .
.
, , . , . , .
, , , . , , , , .
|
|
. 8.2 , . , , . .
, . , , . , , , , .41
41. Grinblatt, Sh. Titman, R. Wermers. Momentum Investment strategies, portfolio performance, and herding: A study of mutual fund behavior // Amer. Economic Rev. 1995, vol. 85, 5.
8.2.
(31 1969.30 1997.)
, % | , % | |
: | 12,6 2,4 11,1 | 17,5 17,6 15,9 |
: | 9,3 11,0 9,8 | 7,2 11,7 5,7 |
: | 8,3 13,8 8,5 | 3,2 29,6 1,7 |
. . . : Brinson Partners, Inc. 1997.
, . , , , . . , .42 , - . . . 8.3 , , , 70- . 70% 50% 90- .
42R. George. The Handbook Emerging Markets. N. Y.: Prentice Hall, 1995.
, .
, , . , , : , , , . , . , , .
, , . , 30% -
|
|
8.3. ,
(31 1969.)
, % | |
30,7 6,9 11,6 0,1 14,3 1,3 21,3 1,0 11.2 1,6 | |
: |
: Brinsoh Partners, Inc. 1997.
() , 50% . 20% . 23%.43
43D. S. Kamosky, B.D. Singer. Global Asset Management and Performance Attribution. N. Y.: AIMR, 1994.
( , ) . , . , , .