Journal articles on the topic 'Investment Manager Characteristics;Strategy and Fund Performance'

The investors of mutual funds can reduce their selection risk by selecting the mutual funds based on certain criteria. One such criterion could be the educational credentials of fund managers. The present study has examined whether performance of mutual funds could be attributed to differentials in educational credentials of fund managers and thereby can provide necessary signals to investors. The study has compared performance and investment strategy of fund managers having management degree from premier management institutions with others having CA/CFA/ICMA qualification. The results show that the performance between these two groups of fund managers does not differ significantly. However, the difference in performance became significant after controlling for various fund characteristics, such as size, expense ratio, liquidity ratio and flow of funds. This suggests that the relation between fund performance and educational credentials may be moderated by control variables. The results showed that the fund managers with a premier management degree were performing better than the other group and that they also followed a more extreme investment strategy. Further, the study has examined whether the relation between educational credentials of fund managers and performance and investment strategy has been impacted by different time periods of economic cycle. The examination in different sub-periods of economic cycle provided better performance of fund managers with premier management education, particularly during crisis period of economy. This performance differential due to educational credentials during the crisis period have been independent of the investment strategy of fund managers.

This study examines the effect of investment fund managers' characteristics in the form of tenure, and mutual fund characteristics with proxy turnover portfolios, market timing and stock selectivity on the performance of stock mutual funds. The research sample is 27 stock mutual funds in Indonesia that were active from 2013 to 2017. On the analysis of the relationships between the characteristics of investment managers and mutual funds characteristics on the performance of stock mutual funds, a series of OLS regressions were run. The panel data regression was included based on using the Eviews. All of the above were aimed at achieving portfolio optimization and realizing the maximization of the interests for fund management companies and investors. The main findings are as follows. Tenure does not affect the performance of stock mutual funds during the years 2013 to 2017, but if divided into 2 quadrants of tenure, namely tenure over 19 years and tenure under 19 years of work, the result is that tenure over 19 years has a positive effect on the performance of stock mutual funds, but tenure brought 19 years has no effect on the performance of equity funds, whereas mutual funds characteristics, which are proxied by portfolio turnover, market timing and stock selectivity, have a significant positive effect on the performance of equity funds in Indonesia. The primary limitation in the scope is the sample, because stock mutual funds that publish consistently Financial statements between 2013 and 2017 are few in number. These findings have important implications for fund management companies as input material that the investment strategy of the investment management team affects the performance of equity funds compared to the characteristics of investment managers with proxies for years of service. This paper proposes a new perspective to evaluate the relationship between the fund manager and mutual funds characteristicsanddivide 2 groups of working years, and calculate them with non-linear models.

The study examines if specific characteristics of funds influence the performance of Saudi equity mutual funds. Previous research has explored various aspects of mutual funds. However, the Saudi Arabia literature focuses on evaluating the funds’ performance. Hence, this study seeks to close this gap by providing a framework to explain the equity fund performance. Several risks adjusted performance measures are applied such as Jensen’s alpha, lower partial moment alpha, Sharpe ratio, LPM-Sharpe ratio using the dynamic panel specification over the period 2010–2019. Based on the LPM alpha, the risk-adjusted return analysis reveals that the Saudi equity funds outperformed their benchmark over the full sample period. The empirical results show that major fund-specific characteristics such as fund size, past performance, and flow explain future performance. Besides, the evidence confirms that Saudi funds benefit from the economies of scale and expertise, while funds requiring higher levels of initial investment tend to exhibit lower performance levels. These findings provide investors and fund managers with useful information to make the optimal investment decisions in the mutual fund industry.

PurposeThis paper aims to provide an empirical evidence on the fund flows-past return performance relationship by also considering the management expense ratio, the portfolio turnover, the fund size and the fund age of Islamic equity funds (IEF) investors in comparison with conventional equity funds (CEF) investors. Design/methodology/approachBy using panel data, the sample of Malaysian domestic managed equity funds is considered which comprises 20 individual funds from IEF and CEF from 2011 to 2013. FindingsThe results provide evidence that IEF investors have different factors when choosing funds in comparison with CEF investors. The study finds that the key factor influencing the fund flows of IEF is the management expense ratio, compared to the CEF which is fund size. This study also shows that all the fund characteristics of IEF and CEF are positively or negatively related to the fund flows. Research limitations/implicationsThe present study may be extended by considering other fund categories such as the money market fund, the balanced fund, the bond fund and the fixed income fund. Practical implicationsThe empirical findings of this paper clearly call for fund managers and investors to review their investment policy. The results could also provide better information and guidance for investors as well policy makers on the factors that affect the fund flow for Malaysian Islamic funds and CEF. Originality/valueThis paper is among the earliest empirical evidence studies on the fund flows-past return performance relationship by focusing in a comparative manner on IEF investors and CEF investors in Malaysia.

Purpose The purpose of this study is to segment and profile socially responsible investment (SRI) funds based on investment strategies they use. Specifically, the paper investigates how different SRI strategies are applied and how they are related to fund-level characteristics, with the goal of recognising their potential dominant combinations in SRI practice. Design/methodology/approach Cluster analysis was complemented with one-way ANOVA to classify 147 SRI funds from 11 European countries into different groups based on the diversification (number and type) and application (intensity of usage) of the investment strategies. Discriminant analysis and chi-square tests were conducted to profile the clusters. Financial performance was examined by running multiple hierarchical regression and dominance analyses to determine meaningfulness of particular investment strategies within each of the SRI fund clusters. Findings Three basic SRI fund clusters were recognised: strong-intensity strategic heterogeneity, weak-intensity strategic heterogeneity and weak-intensity strategic homogeneity. The combination of SRI strategies used in the weak-intensity strategic homogeneity cluster significantly explained the variance in mid-term financial returns. Practical implications Fund managers may use these results to make more informed investment decisions on the selection and the application of SRI strategies. Social implications Financial industry has significant and broad and not only economic but also social implications. This research effort results in better understanding of the SRI universe, potentially leading to a broader consideration of the societal impact of financial investment. Originality/value The author provided useful insights into existing bundles of SRI strategies used in the European SRI market, recognised dominant investment strategies within SRI strategy portfolios and reported how strategic variety is related to fund-level characteristics.

PurposeThis paper aims to analyze the portfolio characteristics and the performance measures of sustainability-themed mutual funds, compared to ethical mutual funds that implement different sustainable and responsible investment strategies.Design/methodology/approachThe study refers to a European sample of 106 ethical funds and 51 sustainability-themed funds. The monthly performance of each fund is downloaded from Bloomberg for the period from January 1996 to December 2015. By applying a Fama and French (1993) three-factor model, the authors overcome the limits of a capital asset pricing model (CAPM) based-single index model, to compare the performance of the two categories of funds.FindingsSustainability-themed funds do not differ significantly from ethical funds in terms of portfolio attributes, except for market capitalization, age and net asset value. Regarding performance measures, the results shows that sustainability-themed funds have a lower underperformance than ethical funds (as measured by Jensen’s alpha), whereas the samples do not differ in terms of market risk (as measured by Beta coefficient). The idiosyncratic risk of sustainability-themed funds is positively influenced by the specific portfolio strategies. The sustainability-themed funds show a higher concentration in the industrial sector and a lower exposure to financial sector than ethical funds; in terms of geographical strategy, they are more global and international oriented; they mainly focus on small caps and value stocks.Research limitations/implicationsThe different sustainable and responsible investment strategies can be applied simultaneously and in a growing number of possible combinations. Mutual fund managers can consider thematic approach as an efficient opportunity for reconciling financial performance and economic sustainability. It is demonstrated that sustainability-themed funds adopt a portfolio strategy significantly different from ethical funds and from the environmental, social and governance benchmarks. Mutual fund managers implement a thematic specialization without any negative impact on the funds returns compared to ethical funds; actually, with a proper diversified portfolio, they are able to reduce idiosyncratic risk.Originality/valueThe analysis is extremely innovative, especially for the thematic sample. During the past 15 years, literature about sustainable and responsible investment has been focused especially on the differences in terms of risk and performance between socially responsible and conventional funds. This paper, starting from the methodology applied in these studies, wants to compare two different types of socially responsible strategies, with a specific focus on sustainability-themed mutual funds, given their exponential growth in the past few years.

Purpose The purpose of this paper is to suggest best practices for managing a successful student-managed investment program (SMIP) based on the experience of the Marquette University’s Applied Investment Management (AIM) program. Design/methodology/approach The authors provide a detailed description of the program curriculum, instructional design, fund structure, program history, fund performance and student outcomes. Findings Through its experiential learning innovations, focus on ethics and close relationships with a dedicated alumni group, the AIM program prepares students for a successful career in investment analysis. Students who graduate from the AIM program experience a significantly higher successful placement rate and higher compensation at their first post-graduation job than finance major students who graduate outside the program. Originality/value This paper provides a detailed description of the distinguishing characteristics of the AIM program and, in doing so, it offers ideas that could be implemented by other SMIPs to improve student satisfaction, proficiency in investment analysis and employment prospects.

PurposeThe portfolio of low-risk stocks outperforms the portfolio of high-risk stocks and market portfolios on a risk-adjusted basis. This phenomenon is called the low-risk effect. There are several economic and behavioral explanations for the existence and persistence of such an effect. However, it is still unclear whether specific sector orientation drives the low-risk effect. The study seeks to answer the following important questions in Indian equity markets: (a) Whether sector bets or stock bets mainly drive the low-risk effect? (b) Is it a mere proxy for the well-known value effect? (c) Does the low-risk effect prevail in long-only portfolios?Design/methodology/approachThe study is based on all the listed stocks on the National Stock Exchange (NSE) of India from December 1994 to September 2018. It classifies them into 11 Global Industry Classification Standard (GICS) sectors to construct stock-level and sector-level BAB (Betting Against Beta) and long-only low-risk portfolios. It follows the study of Asness et al. (2014) to construct various BAB portfolios. It applies Fama–French (FF) three-factor and Fama–French–Carhart (FFC) four-factor asset pricing models in addition to Capital Asset Pricing Model (CAPM) to examine the strength of BAB, sector-level BAB, stock-level BAB and long-only low-beta portfolios.FindingsBoth sector- and stock-level bets contribute to the return of the low-risk investing strategy, but the stock-level effect is dominant. Only betting on safe sectors or industries will not earn economically significant alpha. The low-risk effect is unique and not a value effect in disguise. Both long-short and long-only portfolios within sectors and industry groups deliver positive excess returns. Consumer staples, financial, materials and healthcare sectors mainly contribute to the returns of the low-risk effect in India. This study offers empirical evidence against the Samuelson (1998) micro-efficient market given the strong performance of the stock-level low-risk effect.Practical implicationsThe superior performance of the low-risk investment strategies at both stock and sector levels offers investors an opportunity to strategically invest in stocks from the right sectors and earn high risk-adjusted returns with lower drawdowns over an entire market cycle. Besides, it paves the way for stock exchanges and index manufacturers to launch sector-specific low-volatility indices for relevant sectors. Passive funds can launch index funds and exchange-traded funds by tracking these indices. Active fund managers can espouse sector-specific low-risk investment strategies based on the results of this and similar other studies.Originality/valueThe study is the first of its kind. It offers insights into the portfolio characteristics and performance of the long-short and the long-only variant of low-risk portfolios within sectors and industry groups. It decomposes the low-risk effect into sector-level and stock-level effects.

Purpose The purpose of this paper is to explore the source of apparent abnormal returns accrued by “green” company stocks. Though one cannot completely rule out that market-to-book and size factors may already capture the information of Trucosts’ total damage measure, the authors attempt to attribute the effect to risk, a persistent desirable characteristic or a short-run attention effect. Design/methodology/approach The authors construct portfolios of stocks using the Trucost data for identifying more environmentally friendly companies. The authors then compare the risk-adjusted returns of the green portfolios to the non-green portfolios. A secondary analysis of the price impact of being listed on the Newsweek green company listed is used to determine attention effects. Findings The authors find that green stock returns outperform the most polluting stocks by 3.7 percent per year on a risk-adjusted basis. The evidence is most consistent with a significant but economically small attention effect coupled with a longer lasting and greater magnitude desirable characteristic driving green returns. The authors do not find evidence of a risk-contribution to the performance after controlling for well-known factors. Practical implications Fund managers may benefit from this research in selecting green stocks, and thereby enhancing investment performance, with desirable characteristics without fear of increasing risk. Social implications One social implication is that investing in sustainable and green firms may not only be beneficial for the common good but also for the investor. Increased capital flows, and hence lower borrowing costs, for green firms may assist in creating a more ecologically sustainable economy. Originality/value To the authors’ knowledge this paper unique in attempting to determine if the green premium is a short-run inefficiency resolved by attention or a result of a desirable characteristic.

PurposeThe purpose of this paper is to analyze the effects of individual manager characteristics on real estate mutual fund (REMF) performance. Human capital theory predicts that factors like education, experience and professional certifications improve skill sets and thus performance. Conversely, capital markets theory suggests that these things may be irrelevant in the management of mutual funds.Design/methodology/approachA total of 63 REMFs were sampled over the period 2001‐2003 and equations were estimate regressing, alternatively, risk‐adjusted return, market risk and management fees on a series of fund variables and manager characteristics including the manager's tenure, whether the fund manager holds a professional certification, whether the manager has specific real estate experience, and whether the fund is team‐managed.FindingsModest evidence is found that team‐managed funds have lower risk‐adjusted returns than solo‐managed funds. Managers with longer tenure tend to pursue higher market risk levels, and there is no relation between manager characteristics and management fees.Research limitations/implicationsThis study considers only one cross‐sectional time period. Future research might use longitudinal data.Practical implicationsDespite real estate being a specialized field of finance, there is little if any support for the predictions of human capital theory that experience, education and training result in greater performance among managers of REMFs.Originality/valueThis paper extends prior work in mutual fund management characteristics and fund performance to real estate funds.

AbstractWe examine the investment performance of Chilean pension funds during their multi-fund period (2003–17). Using tradable asset class benchmarks, we extend Sharpe's (1992) return-based style analysis by explicitly considering regulatory restrictions and currency hedging. We find that despite the significant differences between pension fund manager returns, they are statistically similar to our style benchmarks for all fund types. Furthermore, accounting for currency hedging improves the accuracy of the replicating portfolios and the selection return estimates. Our results have policy implications for investment regulation of pension systems with similar characteristics to the Chilean one.

Purpose The James Fund at Rensselaer Polytechnic Institute’s Lally School of Management is a small, recently established, course-driven student-managed investment fund (SMIF). The purpose of this paper is to provide insight to new and existing funds in improving individual fund operation and structure. Design/methodology/approach The James Fund seeks to outperform an 80/20 equity/fixed income benchmark by investing exclusively in exchange traded funds and to move primary emphasis away from idiosyncratic risk and individual equity valuation back toward asset allocation, the most significant driver of portfolio performance. Buy and sell decisions must receive a three-fifths majority in voting among students and adhere with the investment policy statement. Findings Groupthink, a common problem in student-managed funds, is observed in trade proposal and manager voting patterns. Originality/value Groupthink is partially addressed through the use of instructor feedback on individual student trade diaries. Student managers transition each semester; therefore, the portfolio must meet dormant period criteria limited to a specific list of broadly diversified ETFs, mitigating potential problems from knowledge transfer between management teams that are largely unexamined in the context of SMIFs.

ABSTRACT This paper intends to contribute to the literature on investment funds in emerging markets by looking at the performance of multimarket funds in Brazil from a manager perspective. The aim of the paper was to analyze whether some characteristics of investment fund managers, as well as their portfolio holdings, can affect fund performance. In emerging countries both portfolio asset allocation and manager characteristics can help explain differences in the fund performance, which increases the relevance of this study. Therefore, the impact of this research lies in its revealing a significant relationship between risk-adjusted return and the portion of portfolios allocated to fixed or variable income, which seems that have not been explored in the context of emerging economies yet. A total of 6,002 multimarket funds were analyzed, covering the period between September 2009 and December 2015, using panel data with robust standard errors clustered by funds. We also employed robust statistics in order to assess some potential biases due to outliers, by analyzing the breakdown point in the estimated models. It should be noted that portfolio composition (allocation of portfolios into variable income and fixed income) was the most important factor in explaining a potential change in the performance of Brazilian multimarket funds. Also important were the effectiveness of the management of these funds, that is, the best risk-adjusted returns were delivered by less experienced managers, funds investing more in fixed income, managers with more funds under management, and larger funds.

Subject area Financial derivative and risk management. Study level/applicability The case is intended to be used for MBA and BBA programs in the elective courses such as derivatives and risk management, financial engineering, financial risk management and portfolio management, and for executives aspiring for the fund manager position in industry. The case could also be used in management development programs on financial risk management. Case overview The case was based on the real life experience of a portfolio manager who was entrusted with the responsibility of maximizing return of the portfolio. With the backdrop of dismal performance of the portfolio, the portfolio manager is looking for opportunity in the context of declaration of result by Infosys Ltd, one of the constituents of the portfolio. So the team headed by Nirakar Chaulia was thinking of development and application of option strategies to exploit the result day (i.e. January 14, 2016) opportunity to improve the performance of the portfolio and also reduce the potential of stock price risk. Moreover, the case was designed to help the students develop and assess different option strategies based on their market intuitions. Also, students would be able to apply the option contracts for managing price risk associated with the underlying asset. Expected learning outcomes The case would prepare students to develop different strategies to be exploited in different market conditions and assess their performance. Especially, this case was designed to enable the students to understand options as a special kind of derivative in terms of trading and its payoff, how to initiate directional and volatility trading with options, how to apply options to generate income to enhance the portfolio performance and how to develop option strategies for different market conditions and assess their performance. Supplementary materials Teaching note is available for instructors only. Subject code CSS 1: Accounting and Finance.

AbstractThis paper considers a worst-case investment optimization problem with delay for a fund manager who is in a crash-threatened financial market. Driven by existing of capital inflow/outflow related to history performance, we investigate the optimal investment strategies under the worst-case scenario and the stochastic control framework with delay. The financial market is assumed to be either in a normal state (crash-free) or in a crash state. In the normal state the prices of risky assets behave as geometric Brownian motion, and in the crash state the prices of risky assets suddenly drop by a certain relative amount, which induces to a dropping of the total wealth relative to that of crash-free state. We obtain the ordinary differential equations satisfied by the optimal investment strategies and the optimal value functions under the power and exponential utilities, respectively. Finally, a numerical simulation is provided to illustrate the sensitivity of the optimal strategies with respective to the model parameters.

The evaluation of equity mutual fund performance and identification factors that affect mutual fund performance is of great interest to an investor in Indonesia. This study investigates the performance of equity mutual fund by using risk-adjusted performance proposed by Treynor (1965) and examines factors affecting mutual fund performance by using the ability of investment manager (market timing and stock selection skill), fund size, and inflation. To achieve the objectives of this study, a total of 19 equity mutual funds was selected using purposive sampling method from the period from 2011 to 2015. A panel data analysis method has been used to analyze the effect of those factors on the equity mutual fund performance. The result showed that equity mutual fund performance tends to fluctuate in Indonesia. Equity mutual fund performance influenced by stock selection skill and inflation, meanwhile, market timing skill and fund size have no significant effect on the equity mutual fund performance.

AbstractWe show that mutual funds employ portfolio strategies based on market sentiment. We build a proxy for the degree of a fund’s sentiment beta (or FSB). The low-FSB funds outperform high-FSB funds, even after controlling for standard risk factors and fund characteristics. This effect is sizable and delivers a net-of-risk performance of 3.8% per year. Funds with a lower FSB follow more idiosyncratic strategies, suggesting that FSB is a deliberate, active choice of the fund manager. A sentiment contrarian strategy leads to high flows due to its superior performance, whereas a sentiment catering strategy fails to attract significant investor flows.

This paper develops a continuous-time model to study the widely used investment mandates in the institutional asset management industry. In this paper, just like He and Xiong (2013), we suppose that the asset management industry has a two-layered incentive structure, and fund families charging investors fixed management fees while compensating individual fund managers based on fund performance. Different from He and Xiong (2013), we suppose that the fund family aims to select an optimal incentive strategy to maximize its terminal benefits, while the fund manager needs to select the optimal effort level and the optimal investment portfolio to maximize his terminal net discounted compensation in a continuous-time model. By using dynamic programming principle and stochastic differential game theory, the optimal strategies and value functions of both sides are derived. At last, numerical studies are provided to illustrate the effects of all the parameters on the optimal strategies. The result reveals that the optimal incentive mechanism will redistribute both the benefit of the fund families and the cost of the fund managers’ effort.

This paper investigates the persistence of hedge fund managers skills during periods of boom and/or recession. We consider a data set of monthly investment strategy indices published by Hedge Fund Research group. The data set spans from January 1995 to June 2010. We divide this sample period into four overlapping sub-sample periods that contain different economic cycles. We define a skilled manager as a manager who can outperform the market consistently during two consecutive sub-sample periods. We first estimate outperformance, selectivity and market timing skills using both linear and quadratic Capital Asset Pricing Model-CAPM. Persistence in performance is carried out in three different fashions: contingence table, chi-square test and cross-sectional auto-regression technique. The results show that fund managers have the skills to outperform the market during periods of positive economic growth only. This market outperformance is due to both selectivity and market timing skills. These results contradict the Efficient Market Hypothesis-EMH due to limited arbitrage opportunity.

Purpose – The purpose of this paper is to provide a review of the most recent work in major finance journals on socially responsible investment (SRI). While SRI involves individual investors, firms, and investment managers, the authors concentrate primarily on the investment view. Design/methodology/approach – The authors briefly review the development of socially responsible investing (SRI) and the theoretical issues related to SRI and investment choice. This is followed by a review of the empirical results concerning firm value. The question of whether SR mutual funds and SR indexes differ in performance or other characteristics from their conventional counterparts is discussed next, and lastly the authors present suggestions for future research directions. Findings – Despite the large and extensive amount of empirical research published on SRI in recent years, the authors find no definitive answer to the question of SR actions for either the firm or the investor. For firms, evidence linking corporate social responsibility (CSR) rankings with higher value is mixed, and depends on the type of CSR behavior studied as well as the measures of firm performance used. The performance of SR mutual funds and indexes generally are not significantly different from conventional funds or indexes, but again these results are also highly dependent on model specification, time period, benchmark, and other characteristics of the study. Practical implications – The value of SR investing has not been definitely proved. This means, however, that there is room for further on this important topic. Originality/value – This paper synthesizes and presents the most recent research on SRI from a wide variety of refereed sources.

The COVID-19 pandemic has caused significant disruption in financial markets worldwide and impacted the performance of investment avenues like mutual funds. It has been a challenging scenario for all mutual funds to sustain the pre-pandemic performance. To understand the mutual fund investment scenario further, this study focused on examining the post-pandemic performance in the year 2021 of various categories of mutual funds, the significance of scheme characteristics in determining the performance, risk-adjusted performance, and outperformance of various categories of funds. Out of 4,305 mutual fund schemes, tax planning funds (58%), sectoral funds (57%), and equity diversified funds (55%) achieved better returns. Further, using the ordinary least squares (OLS) regression, the study estimated the effect of fund characteristics like scheme category, scheme type, scheme access type along with the fund’s tracking error and corpus size on funds’ return. The results show that tax planning, sectoral, and equity diversified funds significantly outperform. Tracking error significantly reduces the fund return by 4.52%. Scheme type, scheme access type, and corpus size were not significant. Equity, index, pension, and balanced category funds exhibit risk-adjusted performance, and only bond funds were able to outperform the respective benchmarks. The study adds to the existing literature by investigating the post-pandemic performance determinants of mutual funds.

Investors are always baffled about the risk-return characteristics of their investments. There is often the challenge of the alternative between active&passive investments. In case of active mutual funds there are numerous categories of active funds each tracking a different benchmark. It often leads to confusion about how the performance can be compared between one fund to another. The growth of ETFs' has been phenomenal in the recent years due to various advantages of an exchange traded fund compared to the mutual fund as lower cost of management, lesser dependence on fund manager, ease of transaction to name a few. In this context the research analysedthe passive ETF's&prominent Mutual funds both active and passive to justify superior returns at lower risk. The research was based on secondary data, for a period of 5 years i.e. from 2010 to 2015.The various tools used were Sharpe Ratio, Jenson's Alpha, Treynor's Ratio and Tracking error. The study recommends fund houses to implement proactive strategies to reduce tracking error and make ETF's a better alternative for investment.

<p>Mutual Funds are the second most preferred financial investment option in India amongst households, corporate and private investors alike. Managed funds bring with them the expertise of fund managers along with the benefits of diversification and lower costs. The sensitivity of fund flows defines the ability of the fund manager in offering expected future returns. Mutual fund flows exhibit time series characteristics, it being financial data collected at regular intervals over a time period. This paper studies the dynamics of mutual fund flows by utilising time series regression modelling. Monthly fund flows data for a sample of 142 equity open-ended growth orientation across major marketcap categories – Large Cap, Large and Mid Cap, Multi Cap, Mid Cap, and Small Cap have been analysed using ARIMA Modelling in the R software package. Appropriate lag length and the presence of a unit root have been investigated with the help of established techniques coupled with suitable checks of robustness. Model of best fit has been used to forecast monthly fund flows for a lag length of 60. Our study leads us to two major outcomes. One, unlike many developed and emerging markets, fund flows in the chosen sample do not confirm to positive feedback trading hypothesis. This lends credible support to the absence of irrational exuberance in mutual fund investments. Second, equity-based funds in Large Cap, Large and Mid Cap, and Multi Cap category exhibit strong trend component while funds in Mid Cap and Small Cap category have a strong random component. Beginner investors can take advantage of alpha offered by fund managers possessing effective market -timing skills, an indicator of trend-investing strategy. Funds belonging to these categories are also lesser prone to market volatility in comparison to Mid Cap and Small Cap funds, being more suitable for experienced investors</p>

Ksenia Akshentseva is a junior researcher at the Institute of Applied Economic Research of the Russian Academy of National Economy and Public Administration under the President of the Russian Federation. Email ksakshentceva@gmail.com Alexander Abramov is a candidate of economic sciences, a leading researcher at the Institute of Applied Economic Research of the Russian Academy of National Economy and Public Service under the President of the Russian Federation, Professor of the Department of the Stock Market and the Investment Market, National Research University "Higher School of Economics". Email: ae_abramov@mail.ru Despite 19 years of the existence of mutual funds in Russia, their performance and effectiveness remain not deeply investigated subjects. The deficit of academic research has a negative influence on the investors’ and regulator’s attitude towards the collective investment market in Russia. In contrast to many other countries oriented on the development of internal stock market, collective investment in Russia does not yet play an active role in the mobilization of internal private savings.This article intends to partially make up for the lack of knowledge about the economy of mutual funds in Russia. It presents the analysis of three measures of mutual fund performance in Russia: the share return, net flow and management company fee. The analysis is based on a unique dataset which contains information about characteristics of 755 mutual funds and covers a 13 year period of the existence of the collective investment sector in Russia. The mutual fund return is able to outperform inflation, return on government bonds and return on the 50/50 strategy. During the periods 2000-2013 and 2008-2013 the abnormal return, net flow and management company fee have followed the same regularity as their foreign counterparts. Thus, mutual funds are one of the most important players in the Russian financial market. We also showed that for the successful development of collective investment in Russia it is necessary to increase the scale of operations, cost management effectiveness and transparency

This study addresses two targets: first, the relationship between performance measurement and the focusing of fund investment strategies on local risk factors; second, the behavioral considerations which fall under this topic, in particular with regard to fund managers’ overconfidence.Brazil, Russia, India and China were supposed to represent a force of new demand growth and spending power, but the recent financial crisis in China (July and August 2015) and the former problems in the Russian economy, also caused by an embargo by other countries, have contributed to a shift which has occurred more quickly than expected. In this context, weak active management strategies, handicapped by behavioral biases, will be more evident and will cause more harm to the industry. Connections between these biases and the performance of funds are identified with the managers in charge, who are not only misguided by strong beliefs, but also take big bets on risky assets without producing significant alphas. To investigate the relationship between local bias and activism, we compare stock picking skills of local managers, the managing of domestic funds and non-local managers; therefore, we assume that local information can be exploited by a local manager with an active management strategy. It is also true that overconfident managers might be too focused on the specific stocks for which they believe to possess superior information. The results show that BRIC local managers are not closely tied to replication strategies of domestic indices and do not produce significant domestic alphas.

In the recognition that investment management is an on-going process, the performance of actively-managed portfolios need to be monitored and evaluated to ensure that funds under management are efficiently invested in order to satisfy the mandate specified in the policy statement. This paper discusses the primary performance evaluation techniques used to measure a portfolio’s basic risk and return characteristics, risk-adjusted performance, performance attribution and market timing ability. It is concluded that the Treynor measure is more suitable for evaluating portfolios that are constituents of a broader portfolio, while the information ratio is useful for evaluating hedge funds with an absolute return objective. Although the Sharpe ratio and M-squared arrive at the same evaluation result, M-squared provides a direct comparison between the portfolio and the benchmark. With regard to the analysis of portfolio performance attribution, it is found that the return-based multifactor model of Sharpe (1992) is not suitable for analyzing the performance of hedge funds that engage in short-selling, leverage and derivatives. Additional factors generated by factor analysis could be used as factors in the extended model of Sharpe (1992) to analyze hedge fund return attributions. Finally, the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model essentially distinguish the market timing ability from the security selection ability of the portfolio manager.

<p>The research aims to clarify portfolio manager (PfM) job functions and design essential and marginal job functions a PfM should perform. Often understood as a tool for embodying the company strategy and creating its value, portfolio management is viewed chiefly from the project management and investment perspectives. Despite the differences in understanding portfolio management from different perspectives, on the fundamental level, outcomes have similarities shown in the literature review. Different PfM studies display primarily descriptive characteristics of the role, which are blurry and do not add a solid basis in understanding the job functions. This study is qualitative, with content analysis as its main method. We chose literature and electronic sources that meet the following conditions: published during the past ten years; focused on a PfM or portfolio management process-related topics; containing a description of PfM tasks, activities, functions and/or responsibilities. We single out 19 PfM job functions, including seven essential and twelve marginal ones. These findings are significant, serving as a basis for building PfM job descriptions and competency models along with assisting both novice and experience PfMs in enhancing their performance.</p> <p>&nbsp;</p>

This paper is an extension of the work of Lawson and Schwartz (2018) which analyzes the risk-adjusted performance of hedge funds by employing a collection of four, five, seven, and eight-factor models. The purpose is to evaluate how well the top and bottom performing subset of hedge fund strategies have profited on known asset pricing anomalies during two unique time periods, 1994 to 2000 and 2001 to 2008. The bifurcation of the data into two distinct periods allows for a deeper exploration of the potential time-varying significance of estimated factor arbitrage. Our empirical testing suggests that both the top and bottom performing funds did utilize the asset growth anomaly to generate abnormal profits. Top performers tended to invest with a long emphasis on low asset growth, value firms while the bottom-five performing hedge fund strategies tested positive for a predilection towards going long small firms with low asset growth characteristics. Arguably, these outcomes probably align with the nature of the investment philosophy of each fund strategy. Interestingly, however, the time-varying significance of estimated coefficients for the value and returns momentum factors between the two distinct timeframes suggests either intentional or unintentional rotation between the use of available pricing anomalies and risk premiums.

Abstract We construct optimal portfolios of mutual funds whose objectives include socially responsible investment (SRI). Comparing portfolios of these funds to those constructed from the broader fund universe reveals the cost of imposing the SRI constraint on investors seeking the highest Sharpe ratio. This SRI cost crucially depends on the investor’s views about asset pricing models and stock-picking skill by fund managers. To an investor who strongly believes in the CAPM and rules out managerial skill, that is, a market index investor, the cost of the SRI constraint is typically just a few basis points per month, measured in certainty-equivalent loss. To an investor who still disallows skill but instead believes to some degree in pricing models that associate higher returns with exposures to size, value, and momentum factors, the SRI constraint is much costlier, typically by at least 30 basis points per month. The SRI constraint imposes large costs on investors whose beliefs allow a substantial amount of fund-manager skill, that is, investors who heavily rely on individual funds’ track records to predict future performance. ( JEL G11, G12, C11) In 2005, when we released what ultimately proved to be the final version of this study, socially responsible investment (SRI) had already become a major presence on the investment landscape. In the years since, this approach, now often called “sustainable” investment, has grown even more rapidly and often encompasses a broad set of “ESG” (environmental, social, and governance) criteria. As evidence of the rapid growth, Morningstar (2020) notes, “one need look no further than the nearly fourfold increase in assets that flowed into sustainable funds in the United States in 2019.” Sustainable investing has also received increased attention in the academic literature, in subsequent studies too numerous to list. Some of the studies are especially related to ours in that they also examine mutual funds. In our study, mutual funds constitute an asset universe faced by an investor imposing an SRI/ESG constraint. A number of the subsequent studies use mutual funds to address other dimensions of sustainable investing. For example, Bollen (2007), Benson and Humphrey (2008), Renneboog, Ter Horst, and Zhang (2011), Bialkowski and Starks (2016) and Hartzmark and Sussman (2019) investigate determinants of mutual fund flows into sustainable funds versus other funds. Riedl and Smeets (2017) use survey and experimental data to explore investors’ preferences for sustainable funds. Madhavan et al. (2020) examine sustainable active equity mutual funds, relating factor loadings and residual returns to ESG characteristics. While we focus on mutual funds, our study also intends that the basic aspects of the SRI setting extend to other institutional investors. That intent is supported, for example, by the recent evidence of Bolton and Kacperczyk (forthcoming, 2020) providing broader perspectives on the SRI portfolio tilts of various types of institutional investors.One conclusion of our study is that an SRI/ESG constraint is especially binding for investors wishing to tilt toward value or small-cap funds. It seems reasonable to infer that such is still the case, though we have not updated our formal analysis. For example, Morningstar (2020) identifies, as of 2019, 99 sustainable U.S. equity funds categorized within its 3 × 3 style box that sorts along the dimensions of value/blend/growth and small/mid-cap/large. Of those 99 funds, only 8 are classified as value, versus 24 as growth and 67 as blend. Only 7 of the 99 are small-cap funds, versus 79 large-cap and 13 mid-cap. More generally, our 2005 study is early in noting meaningful differences in factor loadings between sustainable versus other funds, in both three- and four-factor models.An SRI/ESG constraint is also especially binding for investors who see much information in individual funds’ historical alphas. The basic reason we discuss in our study is seemingly still at work. That is, despite the rapid growth noted earlier, the number of sustainable funds is still well less than those in the total fund universe, so many of the highest track records appear among funds outside that subset. Not mentioned in our original study is that the case of an investor who sees much information in historical alpha confronts the argument of Berk and Green (2004): if fund flows rationally respond to historical alpha, an investor will not view historical alpha as being informative about future alpha. That argument relies on investors correctly assessing the degree of fund-level decreasing returns to scale. One might view an investor who sees historical alpha as informative about future alpha as also having beliefs that favor a lower degree of decreasing returns to scale, as compared to other investors. Moreover, the equilibrating effects of fund flows might interact with the nonpecuniary utility that SRI-conscious investors derive from their fund choices, as suggested by the evidence of Bollen (2007) that flows respond to returns differently for SRI funds versus conventional funds. In any event, when prior beliefs admit substantial information from historical alphas, Busse and Irvine (2006) find that Bayesian predictive alphas computed as in Pástor and Stambaugh (2002a, 2002b), as are the alphas in our study, do predict future performance.While not one we address, a question often asked is whether sustainable investments perform better or worse than other investments. A number of studies do pursue this question, obtaining a range of findings that include both higher and lower performance for sustainable investments. Pástor, Stambaugh, and Taylor (forthcoming) discuss the challenge in interpreting such findings’ implications about expected future performance. A wedge between ex ante and ex post performance of sustainable investments arises during any period that witnesses unanticipated shifts in either customers’ demands for sustainable products or investors’ demands for sustainable holdings.1 As those authors note, sorting out such effects is an important challenge for future research. Our study conducts its analysis under a variety of asset pricing models and prior beliefs. In each case, an investor conditions on funds’ past returns and thus takes account of any historical performance differences between the sustainable funds and other funds in our sample. We do not, however, include models in which expected asset returns depend on sustainability. In this respect, our study does not attempt to provide direct evidence about a potential relation between sustainability and expected investment performance.We are grateful to the Review of Asset Pricing Studies for the opportunity to publish our original study, which follows below with only the references updated to reflect subsequent publications. The study’s abstract is also unchanged from its original version.

Risk management in shipbuilding projects is important in practice, but there have been few studies about risk assessment in the shipbuilding industry. The purpose of this study is to identify critical risks in shipbuilding projects and to examine the relationships among them, according to the ship production phases. A survey analysis was conducted with 248 experts from 10 major Korean shipbuilders in April 2007, and association rule mining was used as the research methodology. Twenty-six different risks are deduced. At the beginning stage of shipbuilding, it was discovered that design and financial risks were related, and human resource risks in ship design had relatively more influence but financial risks did not. At the block manufacturing stage, important risk factors were management of production equipment, supply of raw materials and labor, and quality management. Financial, technical, and managerial risks all had an important influence at this phase. At the erection stage, technical risks such as changes in design and managerial risks such as exceeding time and budget limits proved to be important. At the project finalization, phase risks were exchange rates, interest rates, timeline, fulfilling specifications, and natural disasters. The research results could be valuable for industrial participants to understand the shipbuilding risks in each construction stage.6.DiscussionThere is a lot of similarity between the shipbuilding industry and the construction industry in risk factors. However, the characteristics of risk occurrence are different, according to these research results. Most of all, the ship design engineer's capability is critical. The human resources in ship design can be the primary factor to evaluate a shipbuilding company. Especially, in a rapid growth period, the design department may be the busiest in a shipbuilding company. If a medium-sized shipbuilding factory cannot afford to maintain enough manpower, it is not easy for the firm to take prompt action about unexpected changes or faults in design and to meet the schedule. That is why medium-sized shipbuilders try to keep competence in design manpower. In addition, exchange rates and interest rates should be considered with the ship design capability in the shipbuilding industry. The results of this research indicate that the impact of exchange rates and interest rates could be critical factors especially at the final stage of shipbuilding projects. Most of the shipbuilding funding is prepaid by cash, but if it is insufficient, the deficiency has to be filled by loans. The exchange rate is important at each stage of taking a part of shipbuilding payment, but the exchange rate may not be significantly considered, because at the earlier phases most expenses for raw materials are paid by US dollars without exchange. After delivery is completed, when the loan has to be repaid, exchange rate and interest rate become significant factors to assess the performance of the shipbuilding project. Since the 1970s, Korean shipbuilding companies have competed with Japanese companies and have achieved amazing accomplishments, followed by Chinese firms in this industry. However, it is also true that most Korean shipbuilding companies depend on embodied knowledge rather than systematic approach for risk handling. Therefore, the findings of this research can be valuable to manage the shipbuilding project risks. more influence but financial risks did not. At the block manufacturing stage, important risk factors were management of production equipment, supply of raw materials and labor, and quality building firms. The project manager can acquire insight on which risk factors should be carefully managed at each stage of shipbuilding. For example, if in Phase III problems happen in labor supply and the budget is exceeded, the project manager has to check if there is any problem in production equipment supply. If the design should be changed and the project schedule delay expected, one needs to check the possibility of additional costs. Since the risk impact of each individual company may be different from others, its own circumstance should be carefully considered and the risk impact be measured accordingly. Second, the results of this study can be helpful for the practitioners from various departments to understand risks related to not only in his/her department but also in other departments and to recognize the impact of the risks. For example, a breakdown in production facilities not only brings a delayed schedule, but also affects delivery of raw materials. If such a breakdown occurs and if the raw material yard is sufficiently large, then it would be possible to place the raw materials there temporarily. However, if not, the schedule should be adjusted, and undesirable results might occur. In addition, the change in delivery might significantly impact fund operation. Therefore, not only production activities but also financing-related activities could be seriously affected. Finally, for banks and investors who provide funds for shipbuilders, a checklist to evaluate a firm's shipbuilding capability could be useful. A large-scale investment is needed at the beginning of shipbuilding projects. So, it can cause financial disadvan numbers. The results of this study could be applied for nonfinancial criteria of performance measurement, considering shipbuilding risks. In addition, since it takes years to build a ship, project progress check has been done at each development stage of shipbuilding.

ABSTRAK Pengelolaan pembangunan desa islami adalah konsep pembangunan desa yang memiliki karakteristik tercapainya tujuan pembangunan sosial ekonomi yang berdimensi holistik, seimbang antara aspek material dan spiritual. Penelitian ini bertujuan untuk mengkaji pembahasan kajian-kajian terdahulu secara sistematis tentang konsep dan praktik pengelolaan pembangunan desa dalam perspektif islam. Dalam rangka melakukan review publikasi artikel secara sistematis, riset ini menggunakan standar protokol RAMESES. Hasil penelitian ini terbagi menjadi dua tema utama, yaitu peran dan fungsi lembaga keuangan mikro syariah dalam pembangunan desa dan Lembaga Swadaya Masyarakat dalam pengelolaan pembangunan desa. Tema pertama menghasilkan tiga subtema: praksis keuangan mikro syariah di Bangladesh, Malaysia, dan Indonesia. Tema kedua menghasilkan satu subtema yaitu peranan Pesantren dalam mendukung pengelolaan pembangunan desa. Hasilnya memberikan landasan untuk mengisi ruang-ruang yang belum dimasuki untuk membangun pengelolaan pembangunan desa yang komprehensif berdasarkan prinsip atau nilai Islam yang ideal. Kata kunci: Islami, Pengelolaan Pembangunan Desa, Systematic Literature Review. ABSTRACT Islamic village development management is a village development concept that has the characteristics of achieving socio-economic development goals with a holistic dimension, balanced between material and spiritual aspects. This study aims to systematically review the discussion of previous studies on the concepts and practices of village development management from an Islamic perspective. To conduct the article review systematically, this research was carried out using the RAMESES protocol standard. The results of this study are divided into two main themes, namely the role and function of Islamic microfinance institutions in village development and non-governmental organizations in managing village development. The first theme produces three sub-themes: the practice of Islamic microfinance in Bangladesh, Malaysia, and Indonesia. The second theme resulted in a sub-theme, namely Pesantren's role in supporting the management of village development. The results provide a foundation to fill in the gaps that have not been entered to build a comprehensive village development management based on ideal Islamic principles or values. Keywords: Islamic, Village Development Management, Systematic Literature Review. REFERENCES Abdullah, M. F., Amin, M. R., & Ab Rahman, A. (2017). Is there any difference between Islamic and conventional microfinance? Evidence from Bangladesh. International Journal of Business and Society, 18(S1), 97–112. Adejoke, A.-U. G. (2010). Sustainable microfinance institutions for poverty reduction: Malaysian experience. OIDA International Journal of Sustainable Development, 2(4), 47–56. http://dx.doi.org/10.2139/ssrn.1666023 Akhter, W., Akhtar, N., & Jaffri, S. K. A. (2009). 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The United Nations Principles for Responsible Investment (PRI) is the largest global environmental, social, and governance (ESG) initiative in the asset-management industry to date. We analyze what happens after active U.S. mutual funds sign the PRI to assess whether they exhibit ESG implementation. We find that PRI signatories attract a large fund inflow, but we do not observe improvements in fund-level ESG scores or fund returns. We consider a battery of ways to proxy for funds’ ESG incorporation (e.g., entry/exit, screening, engagement, voting for pro-ESG proposals), but fail to observe evidence of meaningful on average follow-through. Next, we explore cross-sectional fund characteristics and find that only quant funds exhibit small improvements in ESG performance versus other funds, mainly through buying high-ESG-performing stocks. Furthermore, we note that signatories are not superior performers in ESG issues prior to joining the PRI relative to non-PRI funds, but PRI affiliation tends to be widely advertised on company websites, marketing materials, and fund documents. Overall, a reasonable reader may perceive our findings as consistent with PRI funds’ greenwashing. We note, however, that what we uncover is based only on outcome-based measures and may miss some actual efforts of signatories. This paper was accepted by Brian Bushee, accounting.

PurposeThe present study tries to explore the various fund attributes that influence the mutual fund performance. Further, study examined the effect of mutual fund attributes namely, Net Asset Value (NAV), Portfolio turnover ratio (PTR), fund size (AUM), expense ratio (ExpR) and fund age (Age) on mutual fund's performance using gross return and risk-adjusted performance measures.Design/methodology/approachThe study evaluated balanced panel data (short panel) comprising 81 Indian equity mutual fund schemes for the period of 2013–2019. The study estimated relationship between fund attributes (Net asset value, Portfolio turnover ratio, Fund age, fund size and Expense ratio) and fund performance (using gross return and risk-adjusted performance measures), through panel data regression using fixed-effects model as suggested by Hausman specification test on transformed data (due to high multicollinearity), with cluster-robust estimators due to the presence of heteroskedasticity in the model.FindingsThe findings of the study suggested that using gross return as fund performance measure, PTR, NAV, AUM, Age exhibit significant relationship with the fund performance whereas using risk-adjusted performance measures (Treynor ratio and Jensen alpha) NAV and ExpR significantly influences the fund performance. Identification of the significant relationship between fund characteristics and fund performance offers valuable insights to the investors and fund managers for rationally managing their portfolio with the ultimate objective of the wealth maximization.Research limitations/implicationsThe study considered only 81 equity mutual fund schemes. Some of the data were not available at the time of the study due to the policy of the company. The present study contributes significantly in examining the expected association between fund attributes and fund performance in the context of Indian mutual fund industry where this relationship were explored less.Practical implicationsThe findings of the present study will help the investors to take the rational investment decision with the ultimate objective of maximum return with minimal risk. The findings also offer significant germane to the stakeholders in making rational decision-making process.Originality/valueThere is dearth of study concerning the relationship between mutual fund characteristics and fund performance with respect to Indian mutual fund industry. Therefore, study provides valuable insights to the area of the portfolio selection and management with respect to Indian mutual funds.

PurposeWhen a fund manager leaves, the investment strategy of the fund changes or remains the same. The departing fund manager's resignation is either forced or voluntary. The study investigates the relationship between the portfolio manager's transition and the fund's investment strategy and how the change affects the mutual fund returns in the subsequent period.Design/methodology/approachThe authors examine 148 fund manager changes in India between April 2005–March 2018 using three performance measures: abnormal return (fund return minus benchmark return), Jensen's alpha and Carhart four-factor alpha. The analysis includes an event study methodology, followed by a two-step Fama–MacBeth regression approach.FindingsContrary to the previous studies conducted in the developed markets, the authors find that fund performance improves irrespective of whether the fund manager change is forced or voluntary. The outperformance after the fund manager's exit is significant for funds belonging to the larger fund families.Originality/valueIn the context of investment management, the authors provide a conceptual framework to understand the effect of fund manager exit on mutual fund performance. The authors substantiate their arguments with empirical evidence. To the best of the authors' understanding, this is the first research to examine the effect of changing mutual fund managers in an emerging market setting.

For the selection of fund managers in fund investment, traditional measurement methods were mainly based on descriptive analysis and regression modeling for a small sample of numerical data. They did not make full use of the relevant big data information of fund managers and ignored the nonlinearity between data. As a result, the prediction error was large. In this paper, we use the heterogeneous data of fund managers, such as numerical data and textual data, to fully explore the characteristic factors of fund performance, and further employ the artificial intelligence algorithms including the traditional machine learning models and deep learning model to consider the nonlinear characteristics between the data to identify the style of fund managers. It is found that there is a nonlinear characteristic between the characteristic factor and the performance of the fund. The artificial intelligence algorithm, especially, the deep learning method has a better performance in the classification and prediction of fund managers, especially, after adding text information. The research in this paper has enriched the application of intelligent investment advisor in fund investment to a certain extent, and provided a scientific basis for investors’ choice.

AbstractWe study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the manager is to maximise the expected utility of her final wealth. The manager observes the prices but not the values of the market price of risk that drives the expected returns. Estimates of the market price of risk get more precise as more observations are available. We formulate the problem as an optimization under partial information. The particular structure of the incentives makes the objective function not concave. Therefore, we solve the problem by combining the martingale method and a concavification procedure and we obtain the optimal wealth and the investment strategy. A numerical example shows the effect of learning on the optimal strategy.

The mutual fund is a fast growing, flexible and sizely attainable product, hence make it as favourable choice for the investors. As in other developing countries, however, the management of the fund invested in mutual fund is done by pointed fund manager. This paper raises and answers the question of how efficient the fund management is. This paper ustilizes the decomposition return model on the monthly data set from 2002-2006 in Indonesia. The model derived, enable us to trace and decompose the management performance into (i) the allocation policy skill, (ii) the security selection skill and (iii) the market timing strategy or the tactical asset allocation abilty.The model estimation result shows significant management capabilities on allocating the fund into suitable asset class. We record that the best asset allocation policy was on February 2002, June 2004, August 2004 and February 2006. Inline with this, another result shows the negatif contribution of the short term-tactical asset allocation as conformed by several previous studies; Treynor-Mazuy (1996), Wardhani (2003), and Henriksson (1984) among others. There is an exception for February 2006 where a successful market timing strategy contributed an additional 7.34% return. The security selection strategy is confirmed to have a positive and significant impact on the mutual fund performance. During the observation period, the best security selection strategy was achieved on February, March and July 2002, September 2003, and March, October, and December 2005. For these certain period, the security selection activities gave more than 2% additional monthly return.The policy implication is straightforward; a more intensively monitoring on the implementation of the planned asset allocation to give a safer financial investment environment for the investors. This paper also suggest the investment manager to provide a sufficient information about the portfolio’s risk profile. Our quantitative description has shown a large varieties both on return and risk across the mutual fund manager showing their varied risk taking behaviour, on which the investor has a right to know.JEL Classification: H54, G11, G31, O16Keywords: Mutual fund, asset allocation, security selection, market timing, period specific estimation, financial investment

Investment consultants market their services by claiming their fund manager recommendations add significant value. Using nonpublic data sourced from investment consultants and the UK regulator, we find no such evidence, but identify several practices that explain their exaggerated claims: comparisons to benchmarks instead of peers, inclusion of simulated and backfilled returns, use of investment horizons that allow losers to be forgotten, and unexplained exclusions of products from the analysis. Consultants do not fully disclose their methodology to investors, who therefore cannot verify or reliably compare their performance. This paper was accepted by Haoxiang Zhu, finance.

PurposeUsing data for the period 1965–2016, we investigate whether there are systematic differences between the investment performance of Black fund managers and those of other races in South Africa and whether investors recognize these differences. The two-tailed test results show that there is no significant difference between the two means considering the 12 months yield return at a hypothesized mean difference of zero. There is no statistical difference at 5% level of significance implying that the performance of Black fund managers is as equally as that of managers of other races. Our results also show that the percentage of Black fund managers in South Africa is still too low even as the workforce gets diverse. There's no single explanation for what is happening in this industry. The findings cannot be explained by differences in fund characteristics such as age, total assets under management or expenses or from the performance lenses. The results seem hard to reconcile with an explanation of differences in portfolio characteristics such as return volatility or market, size, value and momentum exposures.Design/methodology/approachWe test the glass cliff hypothesis by employing conditional logistic regression (CLR). The approach enables the use of case/control style of analysis where White/majority fund managers are the control population and professional minorities are the case group. The selection of these as fund managers is our event or outcome variable. To test savior effect hypothesis, we employ analysis of variance (ANOVA). The technique enables us to compare variances between the groups: when a White male fund manager replaces a professional minority, when a White male fund manager replaces a White male fund manager and when a professional minority replaces a professional minority.FindingsOur analyses so far have documented a woeful underrepresentation of Black fund managers in South Africa's mutual funds industry. We explore potential explanations for these trends. Our analysis is meant to be suggestive. Are Blacks, women, people of color and ethnic minorities finding success in the investment industry? Are they having rewarding and fulfilling careers? Or is the industry still homogenous (just a White man's world) with a thin veneer of diversity layered on for public relations effect? The percentage of Black fund managers in South Africa is still too low even as the workforce gets diverse. There is no single explanation for what is happening in this industry. The findings cannot be explained by differences in fund characteristics such as age, total assets under management or expenses or from the performance lenses. Also, the results seem hard to reconcile with an explanation of differences in portfolio characteristics such as return volatility or market, size, value and momentum exposures.Research limitations/implicationsThe two-tailed test results show that there is no significant difference between the two means considering the 12 months yield return at a hypothesized mean difference of zero. There is no statistical difference at 5% level of significance. Our results so far establish that, ceteris paribus, the performance of Black fund managers is as equally as that of managers of other races.Practical implicationsThe two-tailed test results show that there is no significant difference between the two means considering the 12 months yield return at a hypothesized mean difference of zero. There is no statistical difference at 5% level of significance. Our results so far establish that, ceteris paribus, the performance of Black fund managers is as equally important as that of managers of other races.Social implicationsThe two-tailed test results show that there is no significant difference between the two means considering the 12 months yield return at a hypothesized mean difference of zero. There is no statistical difference at 5% level of significance. Our results so far establish that, ceteris paribus, the performance of Black fund managers is as equally important as that of managers of other races.Originality/valueThis paper investigates whether there are systematic differences between the investment performance of Black fund managers and those of other races in South Africa and whether investors recognize these differences. Our hypothesis is that due to Broad-Based Black Economic Empowerment (BBBEE) laws in the country and possibly, due to a perception of discrimination in the market, it is only Black fund managers with superior fund management skills that enter the profession. As such, we expect to find superior performance among Black fund managers. We also conjecture that investors recognize this phenomenon and reward Black fund managers with more fund flows and more investment mandates than others.

We study the interdependencies between transaction costs, portfolio characteristics, and mutual fund performance. Using a novel data set of actual mutual fund trades, we find that, controlling for investment style, larger funds realize lower percentage transaction costs than smaller funds. Larger mutual funds trade less frequently and hold bigger stocks to actively avoid incurring higher trading costs. Gross returns of larger funds are lower than those of smaller funds due, in part, to the characteristics of their holdings, which suggests that decreasing returns to scale could arise due to limited investment opportunities because of trading cost constraints. Taken together, our results highlight the trade-offs faced by mutual funds between trading costs, portfolio characteristics, and fund performance as they grow in size. This paper was accepted by Karl Diether, finance.

Abstract A detailed analysis of management and performance fees for asset managers and investment funds is undertaken. While fund fees are considered as a cost of capital for investors, the structuring of such fee mechanisms in a fund can also influence a fund manager’s decisions and investment strategy, thereby also influencing the investment performance of the investors funds. The study undertaken will allow for an assessment of the effect of fee structures and the potential for asymmetric incentives to arise that may promote adverse risk-taking behaviours by the fund manager, to the detriment of the investor or retiree who places a portion of their retirement savings into such a managed fund with such fee structures. As such, understanding the mechanism of fee charging as well as pricing the fees correctly is vital. An exploration of the application of actuarial distortion pricing methods for complete and incomplete market valuation is performed on a variety of path-dependent option-like performance fee structures for various funds in the European and American markets. Furthermore, several scenario analysis and sensitivity studies are undertaken. The class of Net Asset Value models adopted are Lévy processes, and the pricing is performed via Monte Carlo techniques.

This study explores whether Colombian mutual funds deliver abnormal risk-adjusted returns and delves on their persistence. Through traditional and downside risk measures based on Modern Portfolio Theory and Lower Partial Moments, this article evaluates the performance of 146 mutual funds categorized by investment type and fund manager. This assessment suggests that mutual funds underperform the market and deliver real returns. Similarly, bond funds underperform equity funds, and investment trusts underperform brokerage firms as managers. Furthermore, bond funds and funds managed by investment trusts exhibit short-term performance persistence. These results suggest that investors may pursue passive investment strategies, and that they must analyze past performance to invest in the short-term.

In early January 2008, a senior VP with LAAMCO, a fund of hedge funds known for alternative investments, was conducting due diligence on an equity market-neutral hedge fund. The hedge fund used an option strategy known as a collar (also known as a bull spread or split-strike conversion). The track record of the hedge fund had been stellar. The fund's performance had not only beaten that of the S&P 500 Index over the same period but had done so with much lower monthly return volatility. As part of the due diligence, it was necessary to backtest the collar strategy and try to quantify how much value the manager, BLM Investment Securities, LLC, (BLM) had added. The case is a disguised representation of an actual hedge fund—the true identity of BLM is revealed to students at the end of the case discussion.

Purpose This study aims to explore the roles and relations of dynamic capabilities (DCs) and marketing capabilities (MCs) to generate firm performance through new empirical data from the automotive industry in an emerging market, Turkey, where volatile market conditions may compel firms to use both their DCs and MCs. The automotive industry dynamic character, which is shaped by fierce competition among car manufacturers, fluctuating customer demands and strong effect of environmental forces, provides an ideal context for examining the performance outcomes of MC and DC in non-static environments. This study aims to show whether better financial performance can be achieved through an integrated MC and DC framework; if the level of environmental dynamism (ED) influences the utilization of MCs; and the impact of MC and DC convergence on firm performance by using emerging market data, which is rare in the extant literature. Design/methodology/approach This paper empirically investigates the role of MCs on the relationship between DCs and firm performance and the effect of ED in marketing capability development through a study of 162 top level managers from the automotive industry in Turkey using multiple regression methods. A self-administered questionnaire was used to collect data. A maximum concern was given to obtain at least three questionnaires from each firm to minimize the risk of getting biased answers from only one manager. Findings The data were analyzed by the regression method, and the mediation and moderation tests were conducted to test the established hypotheses. The direct relationship between MCs and firm performance was examined through linear regression, and a significant relationship was found (ß = 0.408; t = 5.656; p < 0.001). Pricing (ß = 0.404; p < 0.001), marketing research (ß = 0.367; p < 0.001) and marketing strategy and implementation (ß = 0.336; p < 0.001) had the strongest association with firm performance. The mediating role of MC on the relationship between DC and firm performance was assessed, and the analysis result yielded a significant result (ß = 0.439; t = 6.174; p < 0.001). Finally, the moderating effect of ED on the direct relationship between MC and firm performance was assessed. Yet, the interaction term was insignificant (ß = 0.013; t = 0.103; p = 0.918) in predicting firm performance. Research limitations/implications Although the data set covers a broad range of firms operating in the Turkish automotive industry, the generalization of findings should only be possible through obtaining fresh evidence from other emerging markets that possess the similar market characteristics of Turkey. The cross-sectional nature of the study may offer insights only for a certain period of time; thus, additional longitudinal studies are recommended to see the dynamic changes on the constructs and relationships between them. Future studies may also include qualitative methods, i.e. interviews with top managers to have a deeper understanding on how DC–MC interaction creates better performance. Practical implications This study empirically shows the importance of MCs for firm performance; thus, managers should allocate significant efforts and resources for improving MCs. The demand for the electric and even autonomous vehicles is likely to increase in the following years, and this new era in the automotive industry requires more R&D and innovation-based products, i.e. green vehicles with low carbon footprint, the use of robotics and long-life batteries for electric vehicles. The cost-related pricing may no longer be a competitive advantage for the firms in emerging markets such as Turkish automotive industry; thus, more investment for disruptive technologies should be considered. Originality/value The results show that MCs of firms mediated the relationship between DCs and economic performance. Yet, ED did not play a moderating role on the relationships between MCs and performance. It is concluded that DCs were associated with improved firm performance via MCs. Furthermore, the insignificant impact of ED on the development of MCs leading to better performance was explained by firms’ given over-performing efforts in the context of emerging markets.

Introduction This paper explores some specific conjunctions that tie together two nations, Japan and the Philippines. Over the past 30 years both have become entwined as a transfer of people, cultures and societies have connected and formed some interesting developments. Relations between both countries have been highly influenced through the deployment of State intervention (historically colonial and post-colonial), as well as through actors’ initiatives, leading to the development of a complex network that links both countries. It is in these relations that I would like to locate a transition between two stages in Japan-Philippine relations. I argue, this is a transition, where marriages of one kind (international marriages), the bonding of social actors from two distinct cultural spheres, gives way to another form of marriage. This transition locates the term marriage as part of an ongoing process and a discursive realm in a larger ‘affective complex’ that has developed. In this paper, I focus on this term ‘affective complex’ as it offers some interesting avenues in order to understand the continuing development of relations between Japan and the Philippines. By ‘affective complex’ I refer to the ‘cultural responses’ that people use in reaction to situations in which they find themselves which are not mediated by language. I suggest that this complex is a product of a specific encounter that exists between two nations as understood and mediated by Japanese actors’ positionings vis-à-vis foreign resident Filipinos. In tracing a moment between Japan and the Philippines, I delineate emerging properties that currently allude to a transition in relations between both countries. I would like to show that the properties of this transition are creating an emergent phenomena, a complex? This is developing through interactions between human actors whose trajectories as transnational migrants and permanent foreign residents are coming under the scrutiny of Japanese State forces in a heavily contested discursive field. This paper focuses upon the nature of the complex that entwines both countries and examines Japan’s particular restructuring of parts of its workforce in an attempt to include foreign migrants. To do this I first offer an outline of my fieldwork and then delineate the complex that ties both countries within present theoretical boundaries. This paper is based on fieldwork which deals with the theme of International Marriages between Japanese and Filipino couples. In the field I have observed the different ways in which Filipinos or Japanese with a connection to the Philippines orientate themselves within Japanese society vis-à-vis the Philippines. For the purpose of this paper, I will focus exclusively on a particular moment in my field: a care-giver course run privately with approval and recognition from local government. This course was offered exclusively for Filipino nationals with permanent residency and a high level of Japanese. As part of a larger field, a number of overlapping themes and patterns were present within the attitudes of those participating in the course. These were cultural responses that social actors carry with them which constitute part of an ‘affective complex’, its gradual emergence and unfolding. To further locate this fieldwork and its theoretical boundaries, I also position this research within current understandings of complexity. Chesters and Welsh have referred to a complex system as being a non-linear, non-deterministic system. However, from my perspective, these parameters are insufficient if institutions, organisations and human actors exhibit linear and deterministic properties (properties that discursively capture, locate and define elements in a system). In my research, I am dealing with actors, in this case Filipinos who are seen first as recipients and then as providers of welfare services. Japanese actors act as suppliers of a service both to long-term residents and to the State. In this case the following question arises: whose ‘complexes’ may be defined by a mixture of both these parameters and how can it be possible to take into account relationships whose existence cuts across them? Could a complex not be any number of these terrains which have emerged through encounters between two countries? Marriage could be a starting point for complexes that can come under scrutiny at a higher level, that of the State forces. In addition, a study of complexity in the Social Sciences focuses on how structures form rather than by focusing on any prior structured existence. Any focus on a complex system is to analyze holistic multiple elements in order to descriptively locate structures, what they penetrate, and what they are penetrated by. Human actors’ actions, strategies and expectations merge under the influence of these structures, while simultaneously influencing them. As elements interact, emergent phenomena (properties that emerge at a higher level) show a system that is process dependent, organic, and always evolving (Arthur 109). Locating Affect Deleuze and Guattari refined the discursive realm to emphasise how spaces of creation, dialogue and the casting of influence are affective, institutional and State-influenced. Within these spaces I locate the existence of ‘affective complexes’ which are discursively constructed and deployed by local actors. I will to argue that international marriages have laid a groundwork in which ‘affect’ itself has become a catalyst, re-orientating perceptions of and toward Filipinos. Following Deleuze, we can understand ‘affect’ as an intensity which, to repeat, is an expression of human relationships not mediated directly through language (Rodriguez). However, I want to suggest ‘affect’ also comes under the scrutiny of, and is discursively appealed to by, State forces as ‘affective capital’. When I refer to ‘affective capital’ I mean the potential labour discursively constructed. This construction is then “projected and tapped” in response to the changing nature of Japan’s labour market – in particular, the shortage of care-givers. This construction itself exists as an ongoing management strategy that deals with certain foreign nationals in Japan. Here, in response to the transformations of service work, ‘affective capital’ is the commoditised value of care inherent the discourse. It is the kernel of ‘affective labour’. This was very clear in my fieldwork, wherein Filipinos were targeted exclusively as the recipients of training in the health-care sector based on an understanding of the form of ‘affect’ that they possess. In this context, ‘affect’ adds intensity to meaning and is used in a wide range of cultural contexts, yet its very essence eludes description, especially when that essence as used by ‘active agents’ may be misconstrued in its deployment or discursively captured. Returning to the Deleuzian interpretation of ‘affect’, it could be interpreted as the outcome of encounters between actors and as such, a ‘mode’ in which becoming can initiate possibilities. I refer to ‘affect’, the deployment of shared, performed, communicated non-verbal ‘content’, as a powerful tool and an essential component in everyday habituated practice. In other areas of my field (not included in this discussion), ‘affect’ deployed by both actors, husband and wife, within and beyond the family, manifests itself as a mode of being. This at times adds to the location of actors’ intentions, be they spoken or performative. In this sense, locating the ‘affect’ in my research has meant observing the way in which Filipinos negotiate the availability of life strategies and opportunities available to them. At the same time, ‘affect’ is also produced by Japanese actors realigning themselves vis-à-vis both foreign actors and social change, as well as by effectuating strategies to emergent situations in Japan such as care management. ‘Affective capital’ is an inherent long-term strategy which has its roots in the cultural resources at the disposal of non-Japanese partners who, over the years, in the short and long term put to use discursively produced ‘affect’. ‘Affect’, produced in reactions to situations, encounters and events, can work in favour of long-term residents who do not have access to the same conditions Japanese may find in the labour sector. From encounters in my fieldwork, the location of ‘affect’ is an asset not just within immediate relationships, but as a possible expression of strategies that have arisen in response to the recognition of reactionary elements in Japanese society. By reactionary elements I refer to the way in which a complex may realign itself when ‘interfered’ with at another level, that of the State. The Japanese State is facing labour shortages in certain sectors due to social change, therefore they must secure other potential sources of labour. Appropriation of human resources locally available has become one Japanese State solution for this labour shortage. As such, ‘affect’ is brought into the capitalist fold in response to labor shortages in the Health Sector. Background The Philippines is a prime example of a nomad nation, where an estimated eight million of the population currently work or live overseas while remitting home (Phillippines Overseas Employment Agency). Post-colonial global conditions in the Asia Pacific region have seen the Philippines cater to external national situations in order to participate in the global labour market. These have been in the form of flows of labour and capital outsourced to those economies which are entangled with the Philippines. In this context, marriage between both countries has come to be made up almost exclusively of Japanese men with Filipina women (Suzuki). These marriages have created nascent partnerships that have formed links within homes in both countries and supported the creation of a complex system tying together both nations. Yet, in the entanglement of what seems to be two economies of desire, some interesting observations can be drawn from what I consider to be the by-products of these marriages. Yet what does this have to do with a marriage? First, I would like to put forward that certain international marriages may have developed within the above discursive framework and, in the case of the Philippines and Japan, defined certain characteristics that I will explain in more detail. Over the past 20 years, Filipinos who came to Japan on entertainment visas or through encounters with Japanese partners in the Philippines have deployed discursively constructed ‘affective capital’ in strategies to secure relationships and a position in both societies. These strategies may be interpreted as being knowledgeable, creative and possessive of the language necessary for negotiating long-term dialogues, not only with partners and surrounding family, but also with Japanese society. These deployments also function as an attempt to secure additional long term benefits which include strengthening ties to the Philippines through increasing a Japanese spouse’s involvement and interest in the Philippines. It is here that Filipinos’ ‘affect’ may be traced back to a previous deployment of categories that influences local Japanese actors’ decisions in offering a course exclusively for Filipino residents. This offers the first hint as to why only Filipinos were targeted. In Japan, secure permanent work for resident Filipinos can be, at times, difficult even when married to a partner with a stable income. The reality of remitting home to support family members and raising a family in Japan is a double burden which cannot be met solely by the spouse’s salary. This is an issue which means actors (in this case, partners) recourse to their ‘affective capital’ in order to secure means towards a livelihood. In this context, marriages have acted as a primary medium entangling both countries. Yet changes in Japan are re-locating ‘possible’ resources that are rationalised as a surplus from these primary encounters. Shifts in Japan’s social landscape have over the past 10 years led to an increasing awareness of the high stakes involved in care for the ageing and invalid in Japanese society. With over 21% of the population now over 65, the care industry has seen a surge in demand for labour, of which there is currently a shortfall (Statistics Bureau Japan). With the Philippines having strategically relocated its economy to accommodate demands for the outsourcing of health care workers and nurses overseas, Japan, realigning its economy to domestic change, has shown a new type of interest (albeit reluctant) in the Philippines. In 2005, changes and reforms to Japan’s Immigration Control and Refugee Recognition Act successfully curtailed the flow of Filipinos applying to Japan to work as entertainers. This was in part due to pressure from the interventionary power of the U.S: in 2006 the U.S. State department published the Trafficking in Persons Report, which stipulated that Japan had yet to comply in improving the situation of persons trafficked to Japan (U.S. State Department). This watershed reform has become a precursor to the Philippines Economic Partnership Agreement ratified by Japan and the Philippines to promote the ‘trans-border flow of goods, person, services and capital between Japan and the Philippines (Ministry of Foreign Affairs) and has now temporarily realigned both economies into a new relationship. Under the terms ‘movement of natural persons’, Filipino candidates for qualified nurses and certified care workers would be allowed a stay of up to three years as nurses, or four for certified care workers (Ministry of Foreign Affairs). Nonetheless, this lip service in showing openness to admit a new category of Filipino is the continuation of a mode of ‘servicing’ within the Japanese nation, albeit under the guise of ‘care work’, and rests upon the capitalist rationalisation of hired workers for Japan’s tertiary sectors. The Philippines, a nation which is positively export-orientated in terms of its human resources in response to care inequalities that exist between nations at a global level (Parreñas 12-30), is now responding to the problematic issue of care that has become a serious concern in Japan. Fieldwork To place these issues in context I want to locate the above issues within a part of my present fieldwork. In 2006, I participated in a privately funded non-profit venture set up for Filipino residents with the aim of training them to be care-givers. The course was validated and acknowledged by the local prefectural government and primarily limited to a group of 20 participants who paid approximately sixty thousand yen ($485) for the three month course including training and text books. One Filipina acquaintance enthusiastically introduced me to the retired bank manager who had set up a fund for the three month care-giver course for Filipina residents. Through interviews with the course providers, one underlying theme in the planning of the course was clear: the core idea that Filipinos have a predisposition to care for the elderly, reflecting Filipino social values no longer existent in Japan. In particular, two Japanese words employed to reflect these views – ‘omoiyari’ (思いやり), meaning “compassion” or “considerateness” and ‘yasashisa’ (優しさ) meaning “kindness toward others” – were reiterated throughout the course as a requisite for dealing with the elderly or those in need of care. One core presupposition underlining the course was that the Philippines still cherishes values which are on the decline in Japan, offering a care ethos based on Christian values ready for deployment in such work. I believe this marks a transition point in how both countries’ relations are moving away from ‘entertainment-based’ care to ‘care within an institutional setting’, such as private nursing homes or hospitals. In both cases, ‘care’ (as it is ironically known in both industries, the deployment of hospitality and attendance), operates as a dynamic of desire within a social field which orientates how residents (i.e. foreign female residents with permanent residency) are used. Yet, why would the Philippines be such an attractor? It is not difficult to see how ‘affect’ is discursively rationalised and deployed and projected onto Philippine society. This ‘affect’ acts as an attractor and belongs to an ‘imagined’ cultural repertoire that Japan has created in response to its turbulent marriage to the Philippines. In this sense, the care course promoted this ‘caring affective side’ of Filipinas here in Japan, and provided a dynamic engagement for potential negotiation, persuasion and tension between ‘local actors’ (course providers and participants) who come under the direct remit of the Japanese State (care institutions, hospitals and nursing homes). I say “tension”, as to date only a handful (three women out of a total of sixty) of those who participated in the course have taken up employment in the care industry. As one participant, a divorcee, commented, the reluctance to seek work as a qualified care worker resided in an economic framework, she says: this is a useful investment, but I don’t know if I can do this work full time to live off and support my families…but it is another arrow in my bow if the situation changes. Yet, for another woman, care work was an extension of something that they were familiar with. She jokingly added with a sigh of resignation: Oh well, this is something we are used to, after all we did nothing but care for our papa-san (husband)! When I discussed these comments with an N.G.O. worker connected to the course she pessimistically summed up what she thought by saying: The problem of care in Japan was until very recently an issue of unpaid work that women have had to bear. In a sense, looking after the aged living at home has been a traditional way to treat people with respect. Yet, here in Japan we have experienced an excessively long period whereby it was de facto that when a woman married into someone’s family, she would care for the husband and his family. Now, this isn’t an individual problem anymore, it’s a societal one. Care is now becoming an institutional practice which is increasing paid work, yet the State works on the assumption that this is low paid work for people who have finished raising their children; hard labour for low wages. All the women have graduated and are licensed to work, yet at 1000 yen (U.S. $8) an hour for psychologically demanding hard labour they will not work, or start and finish realising the demands. Travelling between locations also is also unpaid, so at the most in one day they will work 2-3 hours. It is the worst situation possible for those who choose to work. The above opinion highlights the ambiguities that exist in the constant re-alignment of offering work to foreign residents in the effort to help integrate people into Japan’s tertiary ‘care sector’ in response to the crisis of a lack of manpower. To date most women who trained on this course have not pursued positions within the health sector. This indicates a resistance to the social beliefs that continue to categorise female foreign residents for gendered care work. Through three successive batches of students (sixty women in total) the president, staff and companies who participated in this pilot scheme have been introduced to Filipino residents in Japanese society. In one respect, this has been an opportunity for the course providers to face those who have worked, or continue to work at night. Yet, even this exposure does not reduce the hyper-feminisation of care; rather, it emphasises positions. One male coordinator brazenly mentioned the phrase ashi wo aratte hoshii, meaning ‘we want to give them a clean break’. This expression is pregnant with the connotation that these women have been involved in night work have done or still participate in. These categorisations still do not shake themselves free from previous classifications of female others located in Japanese society; the ongoing legacy that locates Filipinos in a feminised discursive space. As Butler has elucidated, ‘cultural inscriptions’ and ‘political forces with strategic interests’ work to keep the ‘body bounded and constituted’ (Butler 175). It is possible to see that this care course resides within a continuously produced genealogy that tries to constitute bodies. This resides under the rubric of a dominant fantasy that locates the Philippines in Japan as a source of caring and hospitality. Now, those here are relocated under a restructuring industry outsourcing work to those located in the lower tiers of the labour sector. Why other nationals have not been allowed to participate in the course is, I stress, a testimony to this powerful discourse. Major national and international media coverage of both the course and company and those women who found employment has also raised interest in the curious complex that has arisen from this dynamic, including a series of specials aired on Japanese television by NHK (NHK Kaigo no Jinzai ga Nigete iku). This is very reminiscent of a ‘citationary’ network where writings, news items and articles enter into a perpetuating relationship that foments and bolsters the building up of a body of work (Said) to portray Japan’s changing circumstances. As seen from a traced genealogy, initial entanglements between two nations, in conjunction with societal change in Japan, have created a specific moment in both countries’ trajectories. Here, we can see an emergent phenomena and the relocation of a discursive structure. An affective complex can be located that marks a shift in how foreign residents are perceived and on what terms they can participate or contribute to Japanese society. Within this structure, ‘care’ is relocated – or, rather, trapped – and extracted as labour surplus that resides in an antagonistic relationship of domination highlighting how a specific moment existing between two countries can be ‘structured’ by needs in the ‘engaging’ country, in this case Japan. Non-linear elements in a complex system that contest how discursive practices in Japanese society locate foreign residents, within the rubric of an ‘imagined’ ethos of compassion and kindness that emanates from outside of Japan, seem to display ‘affective’ qualities. Yet, are these not projected categories deployed to continue to locate migrant labour (be they permanent or temporary residents) within an ongoing matrix that defines what resources can be discursively produced? However, these categories do not take into account the diverse structures of experience that both Japanese nationals and Filipino nationals experience in Japan (Suzuki). Conclusion In this paper I have briefly delineated a moment which rests between specific trajectories that tie two nations. A complex of marriages brought about within a specific historic post-colonial encounter has contributed to feminising the Philippines: firstly, for women in marriages, and now secondly for ‘potential resources’ available to tackle societal problems in Japan. As I have argued a discursively produced ‘affective complex’ is an authorising source of otherness and could be part of a precursor complex which is now discursively relocating human resources within one country (Japan) as a ‘reluctant source’ of labour, while entering into a new discursive mode of production that shapes attitudes toward others. I also suggest that there is a very specific complex at work here which follows an as of yet faint trajectory that points to the re-organisation of a relationship between Japan and the Philippines. Yet, there are linear elements (macro-level forces rooted in the Japanese State’s approach to care vis-à-vis the Philippines) operating at the fundamental core of this care-giver course that are being constantly challenged and cut across by non-linear elements, that is, human actors and their ambivalence as the beneficiaries/practitioners of such practices. This is the continued feminisation of a highly gendered dynamic that locates labour as and when it sees fit, but through the willing coercion of local agents, with an interest in mediating services through and for the State, for the welfare of the Nation. The desiring-machine that brings together Japan and the Philippines is also one that continues to locate the potential in foreign actors located within Japan’s institutional interpellation for its care market. Within these newly emergent relationships, available political and social capital is being reshaped and imagined in reaction to social change in Japan. By exploring two entangled nations situated within global capitalist production in the twenty-first century, my research points towards new ways of looking at emerged complexes (international marriages) that precludes the reconfigurations of ongoing emerging complexes that discursively locate residents as caregivers, who fall under the jurisdiction and glare of political powers, government subjects and State forces. References Artur, W. Brian. “Complexity and the Economy.” Science 284.2 (1999): 107-109. Butler, Judith. Gender Trouble: Feminism and the Subversion of Identity. New York: Routledge, 2006. Chester, Graeme, and Ian Welsh. “Complexity and Social Movement(s): Process and Emergence in Planetary Action Systems.” Theory, Culture & Society 22.5 (2005): 187-211. Deleuze, Giles, and Felix Guattari. A Thousand Plateaus: Capitalism and Schizophrenia. Minnesota: U of Minnesota P, 1987. Ministry of Foreign Affairs (Japan). 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