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Topudurti, Shruti. "Determinants of Flows Between Active and Passive Equity Investments." Scholarship @ Claremont, 2018. http://scholarship.claremont.edu/cmc_theses/1952.
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Active versus passive investing is a popular topic within the investment community and beyond. In particular, many are concerned with fund flows in and out of active and passive investments. Existing research suggests that recent returns are a reason for the capital flow from active to passive and that fees also impact flows negatively. With U.S. equity mutual funds as a proxy for active investing and U.S. equity ETFs as a proxy for passive investing, I show that prior month flows have a positive and significant relationship with current flows for both ETFs and mutual funds, as well as for flows from ETFs to mutual funds. I also show that mutual fund monthly returns have a positive relationship with flows of mutual funds and flows from ETFs to mutual funds, while ETF monthly returns have a negative relationship with flows from ETFs to mutual funds. This supports prior literature. I also find that the differential in mutual fund and ETF returns (rMF – rETF) is insignificant and negative for net fund flows into ETFs. I find a generally positive relationship between mutual fund expense ratios and flows into mutual funds, as well as with flows from ETFs to mutual funds. Finally, I find a negative relationship between ETF expense ratios and flows into ETFs, as well as with flows from ETFs to mutual funds. The relationships between expense ratios and flows mostly contradict prevailing literature, except for the relationship between ETF expense ratios and ETF flows. This suggests passive investors are potentially more price-conscious than active investors, as passive investors experience negative flows as expense ratios increase, while flows into mutual funds do not have that relationship with expense ratios. Higher fees for mutual funds may also suggest a change in the composition of mutual funds, as funds similar to ETFs exit and new mutual funds become even more active.
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Heger, Levin, and Lisa Åkerman. "Momentum in ESG Indexes : A study on the passive capital flows effect on ESG stock prices." Thesis, Umeå universitet, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-185265.
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The aim with this thesis is to investigate whether increased capital flows to ESG screened indexes create higher price-to-earnings (P/E) ratios and momentum in the included stocks during the chosen time period of three years, from 2018 to 2020. The thesis will evaluate the capital flows to ESG indexes and compare both performance and P/E ratios between those and their corresponding Mother indexes. The study will also look at the development of capital flows, performance and P/E ratios separately in the four chosen geographical indexes; Global, Europe, US and Emerging Markets. The theoretical framework goes through four relevant subjects for this study; passive investing, ESG, momentum and the P/E ratio. The study has shown that the capital flows in all four ESG indexes increased during the chosen time period. Moreover, it could be proven that three out of four ESG indexes outperformed their Mother indexes, namely, Global, Europe and Emerging Markets. In the U.S. the Mother index outperformed the ESG index. Three out of four geographical indexes also had a higher increase in the average P/E ratio than their mother indexes. Here, the Global market stood out as the one that had a lower increase in P/E ratio than its Mother index. Lastly, regression analyses were made to see the relationship between the variables capital flows, average P/E ratios in the indexes and the performance of the indexes. The study showed significantly that capital flows is the explanatory variable for the increased P/E ratios on the European ESG index. However, for the other indexes no significant correlation could be proved. This led to an interesting discussion and conclusion, and also left us with a question mark. What is the reason behind this result on the European market, and why was it not possible to see any significant correlation on the other markets? Further research in this field is needed and some ideas are discussed in the last chapter of the thesis.
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Babar, Haseeb Zaman, and Johan Norberg. "Performance of passive long term investments : A longitudinal study over the relative performance of emerging- and developed markets." Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-81143.
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The concept of emerging markets came to surface in early 1980 and constituted of only eight countries from the two continents of South America and Asia. The globalization of financial markets has since raised the importance of emerging capital markets. We take a quantitative approach to investigate the performance of emerging markets compared to developed markets. The aim of the study is to conclude if emerging markets offers investment value and if logic in portfolio theory can be used to improve the chance of creating a relatively better performing investment. Included markets in our study are Brazil, Russia, India, China, Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa. S&P 500 is our benchmark for developed market performance. Sample period is 2002-01-01 to 2011-12-31 and monthly return data, creating 120 data points on each index. The weighting schemes used for the portfolios are min variance optimization, geographical location and high and low correlation. All investments are scored on performances in correlation to S&P 500, inflation adjusted growth, currency effect, Sharpe ratio, skewness and kurtosis. Rankings are done on the separate categories, on the individual overall ranking on only countries and one overall ranking on all investments. A brief overview of the overall ranking for all investments suggest that medium performing investments are overrepresented (12/20) and the low and high is underrepresented (3/20 and 5/20). Of note is that the min variance portfolio outperforms its components, the geographical portfolios have a wide range and the high correlated portfolio outperforms the low. The country to portfolio ratio over each grade suggests only a small skew of the results. There is no low scoring portfolio but the other two ratios are close to 50/50, suggesting that on average the portfolios create diversification benefits. Furthermore normality of returns seem to be violated and then the concept of volatility as a risk measure is significantly impaired also currency risk can be of high importance, currency effects ranged from -48% to 28.7%. Assuming non-normality seems more accurate than assuming normality; therefore we need to improve on volatility as a tool to measure risk. So one direction for further research we see a need is in the concept of volatility. The initial reason for this research came from small investors’ seemingly intuitive knowledge that emerging markets are a suitable investment option. We have concluded that they in fact are, therefore we suggest that a qualitative study is conducted to investigate this seemingly natural intuition.
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Nourmohammadi, Derya. "Ska man tro på aktie-Nostradamus? : en studie om aktierekommendationers värde för privata investerare." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-5317.
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Intro: 80 percent of the Swedish population own shares. This makes Sweden the leading country in private investment in securities. It can be difficult for the private investor to know where, when and which security to invest in. The strategies are as ambivalent as the stock markets fluctuations. If the investor prefers to refrain from investing money himself, there are brokers who carry out these types of services. Brokers use complex calculations and analytical tools to reach the best investment strategies. Their results are based on historic data from public information. According to the theory of the efficient market hypothesis, it is not possible to generate excessive returns on investments which are based on publicly available information. Purpose: The study aims to assess if stock recommendations published in a business newspaper have any value for investors, who hopes to generate high returns. Methodology: Since the data is quantitative, a deductive method is used to comprehend the results. Investments are divided into two fictive portfolios where one portfolio follows a passive investment strategy whilst in the other, active investments based on public information are made. A one-sample t-test is used to obtain the statistics for answering the hypothetical questions. Theoretical: The primary theory for the essay is the theory of efficient market hypothesis, perspectives but also passive investment strategies and the random walk hypothesis are being touched upon. Empirical: A study has been conducted of recommendations with the recomendations foundations found on DI.se between 01.01.2005 and 31.12.2006, as the study objects. Theprimary sources have been DI.se and the NASDAQ OMX. The results from the data are solely products of my own empirical findings. Conclusion: The results signify a large difference between a passive and an active investment strategy, although the statistical results indicates no significancy.
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Karlsson, Johanna, and Persson Didrik Brinkestam. "Active versus Passive Investment : A China and Hong Kong comparison." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-97110.
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Investors have been debating whether active or passive management is the better strategy for a very long time where the majority conclude passive investment the most beneficial strategy in terms of after cost. Due to limited research in emerging markets, this study examines whether active or passive management is the most remunerative strategy in mainland China and Hong Kong, considering the difference in attributes between the regions. Historical data for the Hang Seng Index (HSI) and the Shanghai Stock Exchange Composite Index (SSE Composite Index) was used for representing passive funds. To illustrate active management, historical data for 10 active funds for each region were collected. By using two methods including a simple observation of historical returns and a regression analysis, the results of this study conclude that no distinct difference can be confirmed between the two regions when regarding whether the active or passive investment strategy is more beneficial. And in obedience with the majority of previous literature, passive investments outperform active management in both mainland China and Hong Kong.
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Tomášik, Ivan. "Analýza úspešnosti vybraných pasívnych a aktívnych investičných stratégií." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-113643.
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This working paper discusses in its first section differences between active and passive investment strategies. It also deals with convenience of active funds by overcoming returns of indices size of fees and share of assets in active and passive investment forms. It also discusses index investing and exchange traded funds. The second chapter deals with short selling, its history, regulation, fees and criteria for short selling. Last chapter analyzed financial indicators of stock titles from DSW Watchlist. The results of the analysis have been also tested. Results are shown in the third chapter itself and relevant annexes.
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Rundlöf, Niclas, and Jimmy Lovén. "Ska jag placera aktivt eller passivt? : En studie om premiepensionsvalet." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-15285.
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Intention: The purpose of this thesis is to see if an active investment decision in the Swedish Premium Pension System would result in a higher return than a non-active investment decision. A non-active investment decision is equivalent to leaving the money in AP7 Premium Savings Fund. Method: This thesis is a statistical analysis and has a descriptive character in which the calculations are based on secondary data, thus the thesis has a quantitative character. Furthermore three active portfolios in different risk categories have been chosen. These portfolios are compared with the AP7 Premium Savings Fund’s returns. The thesis is deductive because it is using existing financial theories to do empirical examinations. Conclusion: Generally, higher risk is equal to higher returns. This thesis shows that an active investment of the premium pension should be done in portfolios with higher risk. Therefore the selected low-risk portfolio has lower returns than AP7 Premium Savings Fund. Further Research: The authors would find it interesting to redo this study in the future with the new AP7 Såfa as a benchmark.Syfte: Studien avser att se om ett aktivt sparande och förvaltande av premiepensionen leder till en högre avkastning i jämförelse mot att låta pengarna ligga kvar i AP7 Premiesparfond Metod: Studien är en statistik analys och har en deskriptiv karaktär där sekundärdata ligger till grund för beräkningarna. Studien kan således ses som en kvantitativ studie. Vidare har tre stycken aktiva portföljval i tre olika riskkategorier tagits fram för att jämföras med AP7 Premiesparfonds avkastning. Studien är deduktiv då den empiriska prövningen sker med hjälp av redan befintliga finansiella teorier. Slutsats: Generellt sett ger högre risk en högre avkastning. Studien visar att om premiepensionen ska förvaltas aktivt bör detta göras i portföljer med högre risk. Då den valda lågriskportföljen gav lägre avkastning än AP7 Premiesparfond. Vidare forskning: Författarna anser det intressant att jämföra om AP7 Såfa skulle gynna icke aktiva sparare i högre grad än den gamla AP7 premiesparfonden. AP7 Såfa är en generationsfond där risken anpassas efter spararens ålder. Studien bör därför omprövas då det finns tioårig historik om AP7 Såfa.
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Moisan-Poisson, Miguel. "Stratégie d'investissement guidé par les passifs et immunisation de portefeuille : une approche dynamique." Mémoire, Université de Sherbrooke, 2013. http://hdl.handle.net/11143/6096.
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In a previous MITACS project in collaboration with Addenda Capital, two basic liability matching strategies have been investigated: cash flow matching and moment matching. These strategies performed well under a wide variety of tests including historical backtesting. A potential shortcoming for both of these methods is that the optimization process is done only once at the beginning of the investment horizon and uses deterministic moment matching constraints to immunize the portfolio against interest rate movements. Though the portfolio subsequently need to be frquently rebalanced, this static optimization does not take into account the relatively high rebalancing costs it involves. The main objective of this present project is to further enhance the moment matching method by implementing and testing a stochastic dynamic optimization and by comparing its efficiency with the static one. Our dynamic optimization problem is to minimize the portfolio cost and its expected rebalancing costs one month ahead over a set of interest rate scenarios by the use of stochastic moment matching constraints. Our backtesting results show some improvements with the 6 moments matching strategy as the dynamic optimization slightly shrinks the difference in asset-liability gap between scenarios compared with the static optimization. However, after analyzing the realized periodic rebalancing costs each month (a constant bid-ask spread has been assigned to each asset's position change in the optimal portfolio), the immunization improvements are mitigated by substantialy higher costs. We also noticed, in the case of the duration/convexity matching strategy, that the dynamic optimization is not that much more efficient than the static method. Thus, these results confirm that the 6 moments matching technique is still more efficient with both the static and stochastic dynamic optimization. Our extensive dynamic analysis of transaction costs through backtesting showed that from an efficiency to cost ratio and an efficiency to simplicity ratio, the static 6 moments matching method seems so far to be a more practical solution for liability matching.
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Leisher, Thomas Kai. "Exchange-Traded Funds: The Unknown Investment Opportunity." Wittenberg University Honors Theses / OhioLINK, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=wuhonors1617280855446967.
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Partlová, Zuzana. "Pasivní domy -- význam certifikace a ekonomická návratnost." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-11036.
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In the present time, when prices of energy go up continually, we can hear more and more about the topic of energy-cutting. Important role in this sphere performs low-energy development. Passive houses, which are specific type of low energy houses, cut heat demand significantly. It means marked improvement with the view of energy saving, protection of the environment, but also quality of living. There is no doubt that these constructions bring numerous advantages, as evidenced by ever-growing number of passive houses abroad. Nevertheless, in the Czech Republic are very little passive houses. Partial intention of the thesis work is to highlight the importance of certification, which is able to contribute toward expansion of passive houses. The outcome of this part is proposal of the criteria for certification of passive houses in the Czech Republic. Principal aim of my diploma work is to compare passive house to common house in light of capital expenditures and operating costs and information about pay-off period of investment in low-energy buildings. Just matter of economic return is the most important criterion in decision making about construction of house or building.
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Ondra, Filip. "Ekonomické posouzení výstavby pasivních a aktivních domů." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2019. http://www.nusl.cz/ntk/nusl-399616.
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This diploma thesis examines the economics of use of technologies linked with low-energy, passive, and active house construction which is presently very often a topic of interest. The goal of the thesis is to evaluate economic effectivity of additional investment into construction materials leading to reduction of heating requirements of the evaluated family house. Furthermore, economics of the use of advanced technologies of ventilation, different heat sources and photovoltaic power plant are assessed. The result is a complex evaluation of different alternatives of the house which makes this thesis helpful in answering the question whether these additional investments will pay off.
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Ryba, Radim. "Posouzení návratnosti investice do nízkoenergetického nebo pasivního rodinného domu." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2014. http://www.nusl.cz/ntk/nusl-232912.
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The subjects of this thesis are low-energy and passive houses. The main objective is to compare the acquisition costs and operating cost of the low energy and passive houses with conventional construction of houses offering the real estate market, respectively evaluating of investments in energy-efficient buildings. Furthermore, the work focuses on the history, properties and basic problems of designing energy efficient buildings with subsequent by an assessment of the advantages and disadvantages of their implementation. Klíčová slova
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Gajdoš, Nikola. "Posouzení návratnosti investice do pasivního a standardního rodinného domu ve Zlíně." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2018. http://www.nusl.cz/ntk/nusl-377746.
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The aim of this diploma thesis is to evaluate the economic return of the investment in the passive house compared to the standard house. The thesis presents the common problems of passive construction, history, requirements, properties and used materials. The method of assessment is based on the return on initial investment in the passive house. The main part of the thesis focuses on materials with thermal insulating properties and software calculation of annual energy consumption. At the end of the thesis an analysis of energy prices at the time of return was made. The output of the work is the payback time of the initial investment in the passive house in years at two different prices of energy consumption.
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Wiese, Adelle. "Artikel 9C van die inkomstebelastingwet met spesiale verwysing na aktiewe en passiewe inkomste." Thesis, Stellenbosch : Stellenbosch University, 1998. http://hdl.handle.net/10019.1/50898.
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Thesis (MComm)--Stellenbosch University, 1998.ENGLISH ABSTRACT: In the Fifth Interim Report of the Katz Commission recommendations were made on a number of fundamental tax issues, including the distinction between the source and residence principle. The Commission decided that the source principle should remain but that a distinction between "active" and "passive" income should be made. "Active" income should then be taxed on the source principle and "passive" income on the residence principle. With effect from 1 July 1997 exchange controls for South African residents were softened, which meant that South Africans could thereafter invest in foreign countries to a limited extent. To protect the South African tax base, sections 9C and 90 were incorporated in the Income Tax Act with effect from 1 July 1997. Section 9C regulates the taxation of investment income earned in foreign countries. The main purpose of this study was to investigate the taxation of foreign investment income in South Africa. For this purpose a critical analysis of section 9C was done within the context of the recommendations made by the Katz Commission in their Fifth Report. The focus of the study was aimed at the requirements for the exclusion of so-called active investment income according to section 9C(3)(a). In the analysis of section 9C it was necessary to determine where the terms used in the section were derived from. The terms which are not new in the South African tax context were analysed based on the opinions of tax specialists and national case law. The terms which are new in the South African tax context were mostly derived from international models of tax conventions and foreign tax codes. These were analysed according to the use thereof mainly in the Model Tax Convention on Income and on capital of the Organisation for Economic Co-operation and Development and the Commentaries thereon. The critical analysis of section 9C also included the applicability of the section on other sections in the Income Tax Act, a brief commentary on section 90 and the relief provided to taxpayers where the section leads to double taxation. The ability of the South African Revenue Service to collect the tax, the effect of the tax on immigrants and the effect of the electronic future on the tax were also investigated. The conclusion arrived at in this study is that most of the terms in section 9C are based on internationally used terms and could be analysed according to international tax conventions and case law. The South African Revenue Service will have to provide guidelines for the uncertainties and provide measures to rectify the irregularities and inconsistencies found in the section. In the light of further examinations to be done by the South African Revenue Service, based on the recommendations of the Katz Commission in their Fifth Report, section 9C provides a set of internationally accepted principles as a solid base for future regulation.
AFRIKAANSE OPSOMMING: Die Katz-kommissie het in die Vyfde Interim Verslag aanbevelings aangaande 'n aantal fundamentele belastingkwessies, insluitend die onderskeid tussen die bron- en verblyf-grondslag, gemaak. Die Kommissie het tot die gevolgtrekking gekom dat die bron-grondslag behou moet word, maar dat daar 'n onderskeid tussen "aktiewe" en "passiewe" inkomste gemaak moet word. "Aktiewe" inkomste moet dan op die bron-grondslag belas word en "passiewe" inkomste op die verblyf-grondslag. Met ingang 1 Julie 1997 is die valutabeheermaatreels vir Suid-Afrikaanse inwoners verslap wat beteken het dat Suid-Afrikaners voortaan tot 'n beperkte mate in die buiteland beleggings kan maak. Om die Suid-Afrikaanse belastingbasis in die tussentyd te beskerm is artikels 9C en 9D met ingang 1 Julie 1997 tot die Wet gevoeg. Artikel 9C reguleer die belasting van beleggingsinkomste uit buitelandse bronne. Die hoofdoel van hierdie studie was om die belasting van beleggingsinkomste uit buitelandse bronne in Suid-Afrika te ondersoek. 'n Kritiese analise van artikel 9C is gedoen binne die konteks van die voorstelle gemaak deur die Katz-kommissie in die Vyfde Verslag. Die klem van die studie het op die vereistes vir die uitsluiting van sogenaamde aktiewe beleggingsinkomste in artikel 9C(3)(a) geval. Tydens die ontleding van artikel 9C was dit noodsaaklik om vas te stel waar die terme wat in die artikel gebruik is, ontstaan het. Die terme wat nie vir die eerste maal in die Suid-Afrikaanse belastingkonteks gebruik is nie, is ontleed na aanleiding van die menings van Suid-Afrikaanse belastingspesialiste en nasionale regspraak. Die nuwe terme kom meesal in internasionale modelle van belastingkonvensies en buitelandse belastingkodes voor. Die terme is hoofsaaklik ontleed na aanleiding van die gebruik daarvan in die Model Tax Convention on Income and on capital of the Organisation for Economic Cooperation and Development. Die kritiese ontleding van artikel 9C het die toepaslikheid van die artikel op ander afdelings in die lnkomstebelstingwet, 'n kortlikse verwysing na artikel 9D en die verligting beskikbaar aan belastingpligtiges ten opsigte van dubbele belasting, ingesluit. Die invorderbaarheid van die belasting, die effek van die belasting op immigrante en die effek van die elektroniese toekoms op die belasting is ook ondersoek. Die slotsom waartoe die skrywer in hierdie studie gekom het, is dat meeste van die begrippe in artikel 9C internasionaal verstaanbaar is en ontleed kon word, wat die Wet wereldwyd meer aanvaarbaar en verstaanbaar behoort te maak. Die Suid-Afrikaanse lnkomstediens sal egter riglyne ten opsigte van die onduidelike begrippe moet verskaf en die nodige ongelykhede en inkonsekwenthede in die Wet moet regstel. In die lig van verdere ondersoeke deur die Suid-Afrikaanse lnkomstediens, na aanleiding van die voorstelle deur die Katz-kommissie in die Vyfde Verslag, verskaf artikel 9C 'n stel internasionaal aanvaarde beginsels waarop toekomstige regulasies gebaseer sal kan word.
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Meinhardt, Christian. "Essays on actively and passively managed financial products." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2015. http://dx.doi.org/10.18452/17310.
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Diese Dissertation besteht aus fünf empirischen Studien. Zwei Studien befassen sich mit passiv gemanagten Finanzprodukten. Sie untersuchen den Replikationsprozess von Exchange Traded Funds (ETFs) und vergleichen hierbei die Replikationsgüte von synthetischen und physischen ETFs. Oftmals wird darauf verwiesen, dass synthetische ETFs eine höhere Replikationsgüte besitzen als physische ETFs. Dies lässt sich für Renten-ETFs bestätigen, allerdings nicht für Aktien-ETFs. Zudem wird gezeigt, dass ETFs und Indexzertifikate, die sich im direkten Wettbewerb befinden, im Hinblick auf ihre Geldmittelflüsse komplementär, allerdings nicht perfekt komplementär zueinander sind. Dieser Effekt lässt sich mithilfe der Replikationsgüte und einer Zuordnung beider Indexprodukte in verschiedene Marktnischen erklären. Weitere drei Studien befassen sich mit aktiv gemanagten Finanzprodukten. Sie widmen sich der Frage, ob mithilfe von Fondsbewertungen wie dem Feri Trust Rating, der Finanztest-Bewertung und der FondsNote die zukünftige Performance deutscher Aktienfonds prognostiziert werden kann. Hintergrund ist, dass Investoren Fondsbewertungen in ihre Anlageentscheidung einbeziehen. Sie investieren vor allem in Fonds, die eine Top-Bewertung aufweisen. Die Prognosefähigkeit von Fondsbewertungen kann sich allerdings stark voneinander unterscheiden. Die Ergebnisse zeigen, dass mithilfe der FondsNote am besten zwischen sich zukünftig besser und schlechter entwickelnden Fonds differenziert werden kann. Die Prognosefähigkeit lässt sich durch Kombination der drei Fondsbewertungen sogar erhöhen. Dies hängt allerdings von der Kombination und dem verwendeten Performancemaß/-zeitraum ab. Zudem werden Faktoren untersucht, die einen Einfluss auf die Prognosefähigkeit haben können. Es wird gezeigt, dass qualitative Bewertungsfaktoren nicht zu einer Erhöhung der Prognosefähigkeit beitragen. Stattdessen weisen die Fondskosten und das Verhalten der Investoren einen signifikanten Einfluss auf.This thesis consists of five empirical studies that deal with actively and passively managed financial products. The first two studies focus on the replication process of exchange-traded funds (ETFs) and compare the tracking ability of ETFs based on physical replication of their benchmark indices with those of synthetic ETFs. Contrary to conventional wisdom, synthetic equity ETFs are not different in terms of tracking errors from their physical counterparts. However, synthetic fixed-income ETFs have lower tracking errors than physical fixed-income ones. Moreover, the second study examines the coexistence of ETFs and index certificates within one market by analyzing the relationship between their money flows. Evidence shows that ETFs and index certificates complement each other, but not in a perfect way. This effect can be explained by similar tracking abilities and a segmentation of investors into different market niches. The other three studies address the question if fund ratings like the Feri Trust rating, the Finanztest-Bewertung, and the FondsNote can predict the future performance of German equity mutual funds. The reason is that investors include fund ratings in their decision-making. They primarily invest in funds which have the best fund rating. However, fund rating predictability can significantly differ among fund ratings. Results indicate that the FondsNote can best distinguish between well and poorly performing funds. Predictability can be enhanced by a combination of fund ratings. However, it depends on the particular fund rating combination, the chosen performance measure, and the post-rating period. Moreover, these three studies analyze factors that could influence the predictability of fund ratings. It is shown that qualitative factors can hardly improve the predictability. By contrast, the costs of funds and the behavior of investors with regard to fund ratings significantly influence the ability to predict future performance.
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Ruber, Lukáš. "Posouzení návratnosti investice do energeticky úsporného a standardního rodinného domu." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2019. http://www.nusl.cz/ntk/nusl-402595.
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The thesis deals with the assessment of the return on economic investment in passive house compared to the low-energy (standard) house. The thesis deals with the issue of passive house, development, conception and division of structural parts including used materials. Their advantages, disatvantages and possibilities of use in construction are briefly discussed. The main part of the thesis focuses on the economic return on investment in passive house. Based on a detailed calculation, the costs for two buildings in low-energy and passive standards are quantified here. The passive standard is achieved by various design modifications. All this is supported by software calculation of annual energy consumption. The return on such an investment is then determined in more ways from this balance sheet, taking into account the evolution of energy prices.
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Šošolíková, Jana. "Analýza efektivity VZT systémů rodinných domů." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2016. http://www.nusl.cz/ntk/nusl-240309.
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This Master´s thesis deals with the analysis of the effectiveness of ventilation systems. The key concept of the thesis is HVAC system in buildings with low energy demand. In the most comprehensive chapter are some concepts clarified: air tightness, ventilation, air conditioning, heating and hot water preparation. The aim of the thesis is to define passive house in terms of acquisition and operating costs, including the ventilation system and to make comparison with systems applied in conventional construction with focusing on assessment of effectiveness of ventilation equipment.
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Svobodová, Zuzana. "Studie proveditelnosti rekonstrukce stavebního objektu." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2012. http://www.nusl.cz/ntk/nusl-225442.
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The aim of this work is the explanation of the issue of passive houses and renovation of existing buildings to passive energy standard. Another task of the work is a feasibility study of building renovation of the "Tuzex" for the needs of Center of sustainable construction in Brno. Part of this study is to create a marketing analysis, design of organizational project management, a description of technical solution, impact assessment project on the environment and in particular evaluating the economic efficiency of investment. The result of this work is to evaluate the feasibility of the project under current conditions.
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Krus, Tomáš. "Posouzení návratnosti investice do pasivního a standardního rodinného domu." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2017. http://www.nusl.cz/ntk/nusl-316991.
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The aim of this thesis is to compare economic investment in passive houses and conventional construction of a house. Furthermore, this thesis is focused on introducing problematics connected to construction of passive house, main characteristics, differences in used materials including review of advantages and disadvantages of their implementation. Assessment is based on return ability of initial investments generated by lowering operational costs. Main part of this thesis is aimed on compression of costs both before and in use of a house.
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Carvalho, Tiago Lima de. "Asset-liability management in pension funds." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/21054.
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Mestrado em Mathematical FinanceOs fundos de pensão têm uma participação representativa nos mercados financeiros, seja considerando o capital investido ou o perfil de escolha de ativos. Nos planos de pensão de benefício definido, o foco é assegurar cobrir os passivos com os ativos existentes. A gestão de ativos e passivos (em inglês ALM) é o conjunto de métodos e ferramentas projetadas com a finalidade de orientar como os fundos devem investir seus ativos a fim de que, em determinada data, seja possível pagar seus passivos. Este conceito é amplamente utilizado em empresas seguradoras e fundos de pensão. O portfolio de investimentos é construído de acordo com análises de mercado, definição dos riscos em que o fundo deseja se expor e os objetivos de retorno. O propósito deste projeto é, aplicando a teoria de investimentos orientados a passivos, recuperar o nível de financiamento de um fundo de pensões, a fim de cumprir com as metas do esquema e se expondo ao menor risco possível. Este projeto terá como informação base a estimativa dos passivos, da taxa de juros e da inflação. A partir deles, contruiremos o portfolio de investimentos, projetaremos o fluxo de caixa e monitoraremos o risco de não cumprimento dos objetivos. Para validar a consistência do modelo, iremos comparar contra uma estratégia mais arriscada. As conclusões, após contextualização (prática e teórica), demonstram que é possível recuperar o nível de financiamento, de acordo com prazos estabelecidos e com um nível moderado de risco.
Pension funds have a very representative role in the financial markets, considering investments made and the asset allocations profile. In defined benefit pension schemes, the major focus is to secure the participants future payments with the accumulated contributions. Or, in other words, to cover the liabilities with the assets. Asset Liability Management (ALM) is a collection of methodologies and tools structured to guide the assets investments in order to protect the liabilities. This concept has been used largely in insurance companies and pension funds. It analyzes market expectations, scheme risks and objectives, in order to create the best asset investment option. The purpose of this project is, using a Liability Driven Investment (LDI) technique, recover the Funding Ratio of a pension fund, achieve the scheme goals and minimize the risk. Project liabilities, interest rate and inflation are the bases of this work. Build the asset portfolio, project the fund cashflow and track the risk are the principal steps to achieve the goal. To check the results adherence, the output will be compared with a bold recovery strategy. To conclude, after setting the context (theoretical and practical perspectives), the work will show how to recover a Funding Ratio using a developed model and keeping the risk inside pension plan limits.
info:eu-repo/semantics/publishedVersion
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Maixner, Lukáš. "Posouzení ekonomické efektivnosti nízkoenergetického a pasivního domu." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2016. http://www.nusl.cz/ntk/nusl-240429.
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The aim of this diploma thesis is to assess the economic efficiency of alow-energy and passive construction. This paper presents problems of lowenergy and passive construction, their individual characteristics, classification, construction materials, evaluation methods and opportunities for economic assessment due to the investment costs of implementation objects. The main practical part focuses on comparing the investment and operating costs for the construction of a standard, low-energy and passive house. Together with this are processed simple labels building. The out come of this diploma thesis is the calculation of returnability increased by the initial investment in the construction of a standard, low-energy and passive house.
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König, Michal. "Ekonomická analýza cash flow nízkoenergetických staveb RD." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2014. http://www.nusl.cz/ntk/nusl-227043.
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The subject of my master´s thesis is analysis of the operating costs in households in various energy categories of houses. The theoretical part is focused on passive homes issue where I explained principles and differences of standard constructions. The practical part is based on a concrete example of the differences and the structure of costs. The aim is to confirm or refute the hypothesis, which say that higher investment costs for the construction of low energy buildings could reduce costs and family budgets in the future. They also lead to higher liquidity.
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Fulli-Lemaire, Nicolas. "Stratégies alternatives de couverture de l'inflation en ALM." Thesis, Paris 2, 2013. http://www.theses.fr/2013PA020013/document.
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La disparitions graduelle des peurs liées à l’inflation pendant l’ère de la «Grande Modération» macroéconomique est aujourd’hui chose révolue : la crise financière américaine des «Subprimes», la «Grande Récession» ainsi que la crise des dettes souveraines qui s’en est suivie ont abouti à un nouvel ordre économique caractérisé par une volatilité accrue de l’inflation, un accroissement des chocs dans les prix des matières premières et une défiance envers la qualité de la signature de certains émetteurs souverains pour n’en mentionner que trois caractéristiques. De la réduction des émissions de titres souverains indexés sur l’inflation aux taux réels négatifs jusqu’à de très longues maturités, cette nouvelle donne tend à mettre en péril aussi bien les stratégies conventionnelles de couvertures inflation que les stratégies directionnelles purement nominales . Cette thèse a pour but d’investiguer les effets de ces évènements qui ont changé la donne macro-financière et d’évaluer leurs conséquences en terme de couverture inflation aussi bien dans la gestion actif-passif des investisseurs institutionnels que sur l’épargne des particuliers. Trois stratégies alternatives de couverture sont proposées pour y faire faceGone are the days when inflation fears had receded under years of “Great Moderation” in macroeconomics. The US subprime financial crisis, the ensuing “Great Recession” and the sovereign debt scares that spread throughout much of the industrialized world brought about a new order characterized by higher inflation volatility, severe commodity price shocks and uncertainty over sovereign bond creditworthiness to name just a few. All of which tend to put in jeopardy both conventional inflation protected strategies and nominal unhedged ones: from reduced issues of linkers to negative long-term real rates, they call into question the viability of current strategies. This paper investigates those game changing events and their asset liability management consequences for retail and institutional investors. Three alternative ways to achieve real value protection are proposed
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Erragraguy, Elias. "L'éthique en finance : le cas de l'investissement socialement responsable et de l'investissement islamique." Thesis, Toulon, 2015. http://www.theses.fr/2015TOUL2001/document.
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L’instabilité et le manque de régulation à l’origine des crises financières devenues cycliques ont été des facteurs propices à un questionnement sur l’éthique de la finance. Cette thèse se propose dans un premier temps de s’interroger sur l’épistémologie de la « science financière » et ses attributs normatifs. Cette interrogation nous a permis de mettre en avant les imbrications logiques qu’il existait entre démarche positiviste et posture normative avant de proposer une cartographie du référentiel éthique qui façonne le discours financier. Ce travail théorique a préfiguré les questionnements empiriques développés, dans le second volet de cette thèse, autour de la confrontation de deux référentiels éthiques et financiers distincts : l’Investissement Socialement Responsable (ISR) et de l’Investissement shariah¬-compatible (ISC). Nos travaux identifient leurs éléments de différenciation et les passerelles possibles entre ces deux déclinaisons de la finance éthique. Dans la première étude, après avoir pris en compte le profil stochastique de 24 indices domestiques, nous mesurons et identifions l’origine de leur performance respective. Les résultats confirment la meilleure résilience des indices ISC durant la crise des subprimes tout en soulignant l’influence du niveau de développement et d’intégration des marchés boursiers. La seconde étude empirique explore le lien de causalité entre les critères ISR et ISC en investiguant la relation entre la performance sociale d’une entreprise (PSE) et sa structure financière. Les résultats obtenus à partir d’un échantillon de 1745 entreprises américaines indiquent que seules les petites entreprises controversées (non-engagées dans une démarche RSE) ont plus systématiquement recours au financement par dette et sont donc plus susceptibles d’être exclues des portefeuilles ISC. La dernière étude mesure, à travers une démarche expérimentale, l’impact financier de la combinaison des critères ISR et ISC. Contrairement aux prédictions suggérées par la théorie du portefeuille, les résultats n'indiquent aucun effet négatif sur la performance dû à l'application conjointe de filtres islamiques et ESGThe instability and lack of regulation that originated the cyclical financial crises were factors conducive to questioning the ethics of finance. This thesis proposes first to question the epistemology of "Financial science" and its normative attributes. This question allows us to highlight the logical interconnections that exist between positivist and normative approaches before proposing a mapping of ethical reference shaping financial decisions. This theoretical work prefigures the empirical questions developed in the second part of the thesis. In this part, we confront two distinct ethical and financial practices: Socially Responsible Investment (SRI) and Shariah-Compliant Investment (SCI). Our studies identify their distinguishing features and the possible links between them. In the first study, after taking into account the stochastic profile of 24 domestic indexes we measure and identify the origin of their respective performance. The results confirm the resilience of SCI indexes during the subprimes crisis, while emphasizing the influence of the level of development and integration of stock markets. The second empirical study explores the causal link between the SCI and SRI criteria by investigating the relationship between Companies Social Performance (CSP) and its debt structure. The results obtained from a sample of 1,745 US companies indicate that only small and strictly controversial firms (not engaged in any CSR policy) have a significant higher leverage, therefore suggesting that these firms are more likely to be excluded from SCI portfolios. The last study measures, through an experimental approach, the financial impact of the combination of SRI and SCI criteria. Contrary to predictions suggested by modern portfolio theory, the results indicate no negative effect on performance due to the joint application of Islamic and ESG filters
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Rodríguez, Díaz Daniela del Pilar. "Antes NIC 39 ahora NIIF 9: nuevos desafíos para los contadores." Pontificia Universidad Católica del Perú, 2017. http://repositorio.pucp.edu.pe/index/handle/123456789/114754.
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In this paper we will resume the main differences between the application of IFRS 9 «Financial Instruments» to be imperatively implemented in Peru since the commencement of the exercise 2018 with regards to the current IAS 39 «Financial Instruments: Recognition and Measurement», focusing in the classification and measurement of financial assets. Furthermore, a practical analysis will be applied to financial instruments in the investment banking industry.En este trabajo, se busca sintetizar las principales diferencias en la aplicación de laNIIF 9 «Instrumentos Financieros» a implementarse de forma obligatoria en el Perú desde el inicio del ejercicio 2018 con respecto a la actual NIC 39 «Instrumentos Financieros: Reconocimiento y Medición», específicamente en clasificación y medición de las partidas de activos financieros. Además, se realiza un análisis práctico aplicado a instrumentos financieros del rubro de la banca de inversión.
Neste artigo, retomaremos as principais diferenças entre a aplicação da Normas Internacionais de Relatório Financeiro (IFRS) 9 «Instrumentos Financeiros» a implementar de forma imperativa no Peru desde o início do exercício de 2018 no que se refere ao atual Normas internacionais de contabilidade (IAS) 39 «Instrumentos Financeiros: Reconhecimento e Medição», focado em A classificação e mensuração de ativos financeiros. Além disso, uma análise prática será aplicada aos instrumentos financeiros no setor de banca de investimento.
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Svoboda, Lukáš. "Studie snížení energetické náročnosti bytového domu." Master's thesis, Vysoké učení technické v Brně. Fakulta stavební, 2014. http://www.nusl.cz/ntk/nusl-226693.
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The goal of the thesis is firstly to get all the information about the initial state of solved block of flats, which is located on the street Merhautova 76/954 in Brno – Černá pole, in terms of constructions, energy consumption and initial state of heating system. In the second part of the thesis, where are discussed the possibilities of reduction of energy consumption, variant drafts of reduction of energy consumption and their financial costs and the choice of optimal variant. Third part deals with assement of solved block of flats in terms of sustainable built environment by using tool to rate buildings in terms of sustainable built environment - SBToolCZ, evaluation of possibility to use renewables. In the end are written summaries and recommendations.
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Sham, Tsz Ching Emic. "Determining whether active investment, using a combination of investment styles, out-performs passive investment." Diss., 2014. http://hdl.handle.net/2263/43995.
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The objective of this research paper was to examine the possibility of active investment out-performing the passive investment by using a combination-based investment style for an extensive period. The combination-based style included financial-ratio-based style, market-based style and behavioural-finance-based style in the Johannesburg Stock Exchange during the period from 1984 to 2014. The four-dimension optimisation exercise based on the combination-based style was done in the in-sampling period and the result was tested in the out-of-sample period. The results have confirmed that the combination-based style out-performed the benchmark by 13% per annum over a 14 year period, which suggested that active managers could out-perform passive investment. The out-performance could further improve by recalibrating the optimisation exercise throughout the out-of-sample period to ensure the investment style learns from and incorporates with new data.Dissertation (MBA)--University of Pretoria, 2014.
zkgibs2015
Gordon Institute of Business Science (GIBS)
MBA
Unrestricted
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Naidoo, Jayendran. "The comparative performance of active and passive equity-only funds in South Africa." Thesis, 2017. http://hdl.handle.net/10539/23094.
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Thesis (M.M. (Finance & Investment)--University of the Witwatersrand, Faculty of Commerce, Law and Management, Wits Business School, 2017The world has and is still witnessing a tremendous growth in various categories of mutual funds. Active fund managers continue to grow globally with many asking for exorbitant fees for their research and investment services. Equally, passive funds in the form of Exchange Traded Funds (ETF's) and index trackers have also continued to grow. This massive growth does not preclude funds domiciled in South Africa. Passive investments have grown by about 51 percent a year in the last 10 years in South Africa. As at 2016, there are over 3000 mutual funds domiciled in South Africa. Amidst these growing funds is the ongoing debate relating to the question of which fund management style yields the best outcome. The global debate relating to passive versus active fund management has raged for decades with no clear winner. The extant literature provides mixed evidence on the competitive advantage to either investment strategies. Surprisingly, the evidence for South Africa remains scanty, with a handful of authors addressing the issue. This study therefore, sets out to examine the comparative performance of all equity-only active mutual and passive funds domiciled in South Africa. In addition, it analyses the performance persistence of active and passive funds in different business cycles. A major contribution of this study is that it examines, for the first time, the applicability of the Fama-French five factor model on South African mutual funds. It also employs a battery of econometric methods to address the issue at hand. Relying on data from 2003 to 2016, the study presents evidence that both active and passively managed mutual funds do not earn abnormal returns but rather underperform the benchmark. However, the active portfolio performs relatively better than the passive portfolio, although both underperform the market. The study also documents evidence of time-varying performance; both active and passive funds record their worst underperformance during periods of financial crisis. The study also shows that passive portfolios tend to track the market performance more than active portfolios and that both fund categories tend to be sensitive to global market movements, suggesting that global factors matter for the riskiness of these funds. Finally, it is shown that in terms of driving factors, both active and passive fund managers generally give more preference to small cap returns than large cap returns. In addition, they are more growth oriented, as indicated by the negative coefficients for the HML factor.
MT2017
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Chen, Ting-Yuan, and 陳定遠. "The Feasibility of Using Stock Index Futures to Replace Passive Equity Investments--Evidence of TAIEX Futures and Taiwan 50 ETF." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/37j6tt.
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碩士國立臺灣科技大學
財務金融研究所
104
For most of people, the concept of futures trading is mostly speculation or hedging, however, the stock index futures was trading in a recognition of some amount of contracts, its' rights and obligations are not much different from trading many kinds of securities or beneficiary certificates. Thus, when the investors want to build a portfolio to track a stock index, they can buy a basket of stocks directly, or can also buy the index tracking ETF, or even can buy the stock index futures. This article is to explore the question: If the investors want to do passive equity investments, in addition to buying stock index EFT, can they buy stock index futures instead? How about these two products' performance? In this paper, we will do dividend reduction of Taiwan 50 index ETF and adjust Taiwan Weighted Stock Index Futures' historical price by calculating futures spreads for months. Then we will compare the 10 years return, and do time sensitivity test of these two products. At the last, we will analysis and compare their Sharpe ratio. After in-depth analysis, we concluded: To substitute investment of Taiwan 50 index ETF by Taiwan Weighted Stock Index Futures is feasible.
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Fonseca, Cláudia Sofia Gouveia. "Gestão activa versus gestão passiva: análise comparativa da performance dos exchange traded funds." Master's thesis, 2012. http://hdl.handle.net/10071/5056.
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O estudo tem como objectivo analisar o comportamento dos Fundos de Investimento
tradicionais face aos Exchange Traded Funds (ETF), instrumento recentemente
introduzido no mercado e que tem vindo a assumir cada vez mais importância nas
preferências dos investidores. Pretende-se verificar se a gestão activa, no caso dos fundos
tradicionais, apresenta uma melhor performance face à gestão passiva, no caso dos ETF. A
análise incide sobre o mercado Europeu e Americano e procura demonstrar qual das duas
estratégias tem sido mais vantajosa para os investidores neste tipo de instrumento, para o
período de 2005 a 2011.
De forma a avaliar estes dois instrumentos foram utilizados os indicadores de performance
tradicionais, tais como, Rendibilidade e Desvios-Padrão, Tracking Error, Índice de
Treynor e de Índice de Sharpe, um Modelo de Factor Único baseado no Capital Asset
Pricing (CAPM) e o Modelo do Três factores de Fama & French para avaliar as
capacidades e qualidades dos gestores.
Os resultados obtidos demonstraram que ambos os instrumentos não tiverem
performances superiores ao benchmark. Os fundos tradicionais, no entanto, tiveram
resultados mais favoráveis do que os ETF, apesar de não terem conseguido obter
resultados significativos de rendibilidades em excesso. A análise com base no modelo de
múltiplos factores veio comprovar que os resultados foram obtidos através de exposição a
outros factores de risco, nomeadamente empresas de pequena capitalização e de
crescimento.This study aims to analyse the behaviour of traditional investment funds in relation to Exchange Traded Funds (ETF), an instrument recently introduced in the market and that is assuming increasing importance in investors' preferences. It is intended to check whether the active management in the case of traditional funds, has a better performance compared to the passive management in the case of ETF. The analyse focuses in European and American market and attempts to show which of the two strategies has been more advantageous for investors in this type of instrument, for the period 2005 to 2011. In order to evaluate these instruments, the traditional performance indicators were used, such as, Returns and Standard Deviations, Tracking Error, Sharpe Ratio and Treynor Ratio, a Single Factor Model based on Capital Asset Pricing (CAPM) and a The Three Factor Model of Fama & French to measure the skills of the managers. The empirical results showed that both instruments are not achieved superior returns than the benchmark. However, the traditional mutual funds had better returns compared to ETF, although not statisticaly significant. The analysis based on the multi factor pricing model of Fama & French came to prove that the results were obtained by the exposure to other risk factors, including size and growth.
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Santos, José Elísio da Silva. "Hybrid funds: the right mix of active and passive investment strategies?" Master's thesis, 2018. http://hdl.handle.net/10362/35457.
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Hybrid funds have almost quadrupled since 2003. This is puzzling given that prior research has
found no evidence of hybrid funds outperforming passive products. Using data on the
American market there is evidence of positive alphas and hybrid funds outperforming active
funds after fees, mainly given to market timing ability. Hybrid funds trade more when they
find short-term opportunities of profit but those that have higher turnover are not the best
performing. Finally, there is no conclusive evidence that investors invest more on hybrid funds
just because of their classification, without taking other characteristics into account.
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CHUANG, HUI-CHING, and 莊惠菁. "Performance Comparison Between Active and Passive Investment Strategies Under Different VIX Volatilities." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/57vxb2.
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碩士國立臺北大學
國際財務金融碩士在職專班
106
This study has collected 5 different fund companies investing in American stocks from 2005 to 2017 as active investing samples, while SPY used as passive investing samples. It explores the performance comparisons between active investing and passive investing under different VIX (Volatility Index). It explores whether the performance of passive investing is better than that of passive investing when the VIX (Volatility Index) fluctuates. Additionally, it explores whether the TED Spread has the same significant impact, aside from the VIX (Volatility Index) as well. In this study, the regression analysis is made by using serial correlation and detection of heterogeneity for obtaining the best unbiased estimator. According to the empirical results, the following results can be concluded: 1. Through the statistical analysis of data, it can be seen that the fluctuation of passive investing ETF (Exchange Traded Funds) roughly synchronizes with the trend of benchmark index. Secondly, it is shown that the performance of active investing is not worse than that of passive investing through the comparison and analysis of daily and monthly rate of return of active investing fund and passive investing ETF (Exchange Traded Funds); 2. There is a negative correlation between the VIX (Volatility Index) and the fluctuation of rate of return margin of the active and passive funds. It also reflects the emotional impact of panic market on fund managers’ operation. 3. There is no correlation between the TED Spread and the rate of return margin of the active and passive investing.
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LIN, WEI-CHI, and 林韋齊. "Establishment and Performance Backtesting of a Passive Trading Strategy for Stock Investment." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/d2u774.
Full textAbstract:
碩士國立高雄科技大學
會計資訊系
107
This study mainly proves that the passive operation strategies can be applied in the passive goods, which performance is better than the buy-and-hold method. Moreover, the passive operation strategiescan achieve good performance in the stock market, such as individual stocksor ETF. However, the empirical finding indicates that the buy-and-hold method has relatively good results for bull or long-term stock market. In this study, three passive investment methods are adopted for the top 150 stocks and 9 ETFs in Taiwan stock market. The performances are compared with the buy-and-hold method. In the passive commodity ETF, through long-term holding, regular fixed investment, or random investment (the best and worst trading conditions in the third method of this study), as long as the funds are properly controlled, they can get a certain profit on the ETF. In the context, the ETF price data file is the amount of unreturned interest, that is, in each year of calculation, these ETFs have interest-bearing income almost every year, and the actual rate of return is much larger than the MAX and MIN. Thus, the passive goods are a profit-guaranteed investment commodity. The two passive operating strategies mentioned in thestudy(the first and second methods), in the empirical results, the average performance is defeated by the buy-and-hold method. In fact, if these two methods are used well, they can also create a good performance. For example, in the statistical table, it can be seen that in the long-term, long-term, short-selling, consolidation, or performance of the three groups, the passive operation method is mostly positive compensation. But in the short period, the passive operation method can make the stop loss function work and defeat the performance of the buy-and-hold method. For the second method, if it can overcome the limitation of the maximum cost, its profit-making effect is much greater than the first method, even the performance is better than the buy-and-hold method in the short period to create superior profitability.
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Swartz, Shaun. "Evaluating the performance of active and passive investment funds in South Africa." Thesis, 2020. https://hdl.handle.net/10539/30281.
Full textAbstract:
A research submitted in fulfilment of the requirements for the degree of Masters of Management in Finance and Investment (MMFI) to the Faculty of Commerce, Law and Management, Wits Business School, University of the Witwatersrand, Johannesburg, 2020This thesis addresses the core debate of active and passive funds in the local and global environment. A key component is whether active managers can use their experience and knowledge to outperform the market. The research makes use of the elements of classical economic theory to formulate a conceptual model. The conceptual model will assist in the understanding of the complexities these fund managers face. Rathbones (2019) states that “the debate over the respective merits and shortcomings of active and passive investment management may have begun several decades ago, but it remains one of the most divisive issues in the world of investing" . This report will investigate "the ability (or not) of [whether] active managers [can] beat their underlying benchmarks and whether investors should simply abandon active strategies for passive investments" (Rathbones, 2019). Rathbones (2019) believes that this debate is pivotal for an investor "when formulating an investment strategy" (Rathbones, 2019). To bridge the theoretical and practical elements of this topic, a simple systematic research was created, which includes quantitative and qualitative factors. This research allows one to understand the dynamics of the hedge fund world. An analysis and discussion about the various components which contribute to a fund’s strategy form the preamble to this paper. An analysis of the various key elements which contribute to a fund’s success follows, including analytical examples of funds' past performances and what key factors contributed to these funds. The key funds selected are various active and passive funds which are listed later in the paper.
TL (2020)
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Klimešová, Iveta. "Aktivně a pasivně řízené akciové otevřené podílové fondy." Master's thesis, 2011. http://www.nusl.cz/ntk/nusl-91513.
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Els, Tilo Udo. "The viability of using markowitz portfolio theory as a passive investment strategy on the JSE." Thesis, 2015. https://hdl.handle.net/10539/25984.
Full textAbstract:
A research report submitted to the Faculty of Engineering and the Built
Environment, University of the Witwatersrand, Johannesburg, in partial
fulfillment of the requirements for the degree of Master of Science in
Engineering
Johannesburg, 2015Markowitz Portfolio Theory (MPT) and related research was studied. Objectives were then formulated around whether an MPT model could outperform the returns of the Johannesburg Securities Exchange (JSE) and other financial instruments such as unit trusts. An MPT model was then created in Matlab using the information learnt from the theory and other appropriate sources. The model was used to generate a range of results depending on different inputs into the model. The model outputs were further analysed in Excel and results in the form of tables and graphs were created. It was found that the MPT model considerably outperforms the JSE ALSI and JSE Top 40. There were many positive Sharpe Ratios for various different inputs and model parameters. The JSE ALSI had a 1 year return of 17.13% and 3 year annualised return of 12.83%. The MPT model had 1 year returns of between 17.07% and 37.81%. The MPT model had 3 year annualised returns of between 11.81% and 26.24%. The MPT model outperformed the JSE ALSI with 5 out of 6 portfolios created. The JSE Top 40 had a 1 year return of 18.37% and 3 year annualised return of 13.02%. The MPT model had 1 year returns of 21.49% and 24.24% and 3 year annualised returns of 18.53% and 20.72%. The MPT model for Top 40 data thus outperformed the JSE Top 40 over 1 year and 3 years annualised. The MPT model had two out of its eight portfolios in the top four of the best performing unit trusts over 3 years of total returns. Over a 1 year return, two of the MPT portfolios were the top two performers compared to other unit trusts. This research has thus shown that an MPT model using historical data can outperform the JSE and can perform competitively with other unit trusts.
MT 2018
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Opitz, Frederik. "Passive income strategies: impact of Esg factors on the performance of Real Estate investment trusts." Master's thesis, 2020. http://hdl.handle.net/10362/111612.
Full textAbstract:
Topic –Passive Income Strategies: Impact of Environment, Social, and Governance (ESG) Factors on the Performance of Real Estate Investment Trusts (REITs)Purpose–The purpose of this thesis is to investigate the relationship between the return of US REITs and ESG compliance by considering the investor perspective. Additionally, the thesis will separately examine in detail the implication of the ESG factor. Methodology –The research applies the Capital Asset Pricing Model (CAPM) and Carhart Four-Factor Model to obtain alphas for Best-In-Class and Worst-In-Class portfolios. To complement the results, Sharpe ratios were additionally calculated for the individual factor portfolios. The portfolios are constructed using a matched-sample approach based on age and size and rely on Bloomberg’s ESG Disclosure Scores to evaluate the sustainability of the individual REIT. The empirical section covers monthly return data over a sample period of five years from January 1st, 2014 to December 31st, 2018.Findings –The findings imply no statistically significant difference in risk-adjusted returns between the constructed Best-In-Class and Worst-In-Class portfolios for the respective factors. This suggests that investors can act in an exemplary manner when investing in REITs without sacrificing returns. Furthermore, the findings highlight the urgent need for regulated ESG disclosure guidelines to enhance transparency within the industry.
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HUA, WANG LI, and 王麗華. "The Study Of Investment Strategies And Performance For The Passively Managed." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/44416470664953539229.
Full textAbstract:
碩士東海大學
財務金融學系碩士在職專班
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Abstract This study aims to explore the feasibility of the investment strategy of ETF50 Fund will use a single (total) investment transactions, regularly fixed trading rule, double moving average crossover judged the trading rule, a single moving average moving average (the) side to buy into the trading rules combined with periodic fixed, and double moving average crossover judged the trading rules combined with regular fixed trading rule, the six trading strategy to simulate the historical trading data trading operation from June 30, 2003 to December 30, 2011. Finally, compare the investment performance of the six kinds of trading rules, in order to understand what investment strategies are more applicable to the operation of trading on the Taiwan stock index type to provide the reference of future investment in Taiwan ETF Fund. Summarized the main conclusions of this study's proven: found that ETF50 Fund's total rate of return (average annual rate of return) will be nearly twice higher than the total rate of return (annual average rate of return) of the market portfolio (weighted index), and therefore found thatETF50 fund is better than the market tend to support the long-term holding ETF50 Fund will be better than the market remuneration. Second, supported to use the investment performance of the regular fixed trading rules is the best, so that considered to have investment reference value; followed by a single ratio (gross) investment trading rules; then the dual moving average crossover rule; then compared to a single moving average below the buying (loser strategy) combined with periodic fixed trading rule; a single moving average above the buying combined with poor investment performance at fixed times and double moving average crossover trading rules. Also found that the results of the use of technical analysis ETF50 Fund does not improve investment performance, and therefore inclined to support technical analysis indicators will have no significantly enhance the investment profit. Finally, it is recommended in the future if the loser of operating rules supplemented by regular fixed investment, further enhance the operating performance after the fund sell decision-making signals improved, may be able to use technical analysis to assist the regular fixed investment strategy. Keywords: ETF Funds; Investment Strategy; Technical Analysis; Dollar-cost Averaging; Mutual Fund Performance
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Royden-Turner, Stuart Jack. "Asset allocation in wealth management using stochastic models." Diss., 2016. http://hdl.handle.net/10500/22129.
Full textAbstract:
Modern financial asset pricing theory is a broad, and at times, complex field. The literature review in this study covers many of the asset pricing techniques including factor models, random walk models, correlation models, Bayesian methods, autoregressive models, moment-matching models, stochastic jumps and mean reversion models. An important topic in finance is portfolio opti-misation with respect to risk and reward such as the mean variance optimisation introduced by Markowitz (1952). This study covers optimisation techniques such as single period mean variance optimisation, optimisation with risk aversion, multi-period stochastic programs, two-fund separa-
tion theory, downside optimisation techniques and multi-period optimisation such as the Bellman dynamic programming model.
The question asked in this study is, in the context of investing for South African individuals
in a multi-asset portfolio, whether an active investment strategy is signi cantly di erent from
a passive investment strategy. The passive strategy is built using stochastic programming with
moment matching methods for non-Gaussian asset class distributions. The strategy is optimised
in a framework using a downside risk metric, the conditional variance at risk. The active strategy
is built with forward forecasts for asset classes using the time-varying transitional-probability
Markov regime switching model. The active portfolio is finalised by a dynamic optimisation using a two-stage stochastic programme with recourse, which is solved as a large linear program. A hypothesis test is used to establish whether the results of two strategies are statistically different. The performance of the strategies are also reviewed relative to multi-asset peer rankings. Lastly, we consider whether the findings reveal information on the degree of effi ciency in the market place for multi-asset investments for the South African investor.Operations Management
M. Sc. (Operations Research)
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Jorge, Ricardo Humberto Dias. "Investir em acções segundo Warren Buffett: caso português." Master's thesis, 2010. http://hdl.handle.net/10071/2900.
Full textAbstract:
Warren Buffett é um dos investidores mais bem sucedidos nos mercados de capitais dos últimos 50 anos. Segundo o último estudo da revista norte-americana Forbes (2008), Buffett é considerado o segundo homem mais rico do Mundo, com um património acumulado de aproximadamente 38 mil milhões USD.
Este estudo tentará replicar o modelo de investimento utilizado por Warren Buffett no Índice PSI-20. Para tal, são comparadas três carteiras de investimentos representativas de diferentes estratégias de investimento, incluindo a estratégia buffettiana.
Os resultados apontam para a estratégia de investimento buffetiana como o estilo de investimento com melhor relação retorno / risco durante o período de investimento traçado (2000-2008).
Destaque ainda para a demonstração das vantagens comparativas da Gestão Activa (e Market Timing) e Security Selection (análise fundamental e qualitativa) em relação à Gestão Passiva e Diversificação, respectivamente.Warren Buffett is one of the most successful investors in capital markets over the last 50 years. According to the latest study by U.S. magazine Forbes (2008), Buffett is considered the second richest man in the world, with an accumulated wealth of nearly 38 billion USD. This study attempts to reproduce the investment model used by Warren Buffett in the PSI-20 Index. For that, we compared three portfolios representing different investment strategies, including Buffett’s strategy. The results appoint to the investment Buffett’s strategy as the investment style with the best risk / return relation during the investment period (2000-2008). Also emphasize the demonstration of the comparative advantages of Active Management (and Market Timing) and Security Selection (fundamental analysis and qualitative) relative to Passive Management and Diversification, respectively.
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Hung, Loretta T. S. "Dynamic asset allocation modeling for international investment : a comparison of information-based active strategies versus passive strategies for the EAFE and S&P 500 portfolios." Thesis, 2002. http://spectrum.library.concordia.ca/1645/1/MQ68420.pdf.
Full textAbstract:
Tactical asset allocation has become popular in asset management since the stock market crash in October 1987. Researchers and practitioners have always promoted the benefits of international diversification. Much research has been done in domestic asset allocation and global asset allocation. However, a portfolio mix between the S&P 500 Index and the MSCI EAFE Index is a novel combination for tactical asset allocation. The objective of this study is to develop a dynamic asset allocation strategy dealing with such an asset mix. A rolling binary logit model is built using the preceding sixty months of data and is used to forecast the next month's movements of these two indices. Forty-eight trading strategies are implemented to validate the forecastability of the prediction model using the out-of-sample data from January 1978 to September 1999. This study affirms that a dynamic asset allocation strategy can be established to time the market and generate a superior abnormal return on a portfolio investing in these two assets. A prediction model can be built on public information variables to successfully forecast the upcoming movements of these two indices. Even with transaction costs, an investor can rely on the signals to make asset allocation between these two indices and produce a terminal wealth significantly larger than the passive portfolios invested in either one of the indices alone
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Ribeiro, Alexandra João Santana. "Performance analysis of portuguese equity mutual funds: indexing vs active portfolio management." Master's thesis, 2011. http://hdl.handle.net/10071/7284.
Full textAbstract:
The present thesis was done with the objective of analyzing the portfolio management strategies followed by managers of Portuguese Equity Funds, using the PSI Geral as the benchmark. Thus, the quarter returns and compositions of portfolio were used. The market timing ability and the variables that may have influenced tracking error (vs. PSI Geral) were also analyzed.
The main conclusion was that just 1 fund managed to put successfully into practice the active portfolio management, obtaining returns above PSI Geral. The same happened with passive portfolio management, where only 1 fund was able to replicate the benchmark. The other funds opted initially for active or passive strategy but, in the end of the period considered, their performances were below the benchmark, with negative excess returns, even unable to replicate the PSI Geral. It was concluded also that there are several variables that have impact on performance of these funds, and consequently the portfolio management strategy, chosen by manager. These variables are particularly the systematic risk of the fund (beta), the benchmark volatility, percentage of PSI Geral stocks held in portfolio, weight of the stocks in portfolio, number of stocks above of the concentration ratio and number of common stocks between funds and benchmark, above of the concentration ratio.A presente tese foi elaborada com o objectivo de analisar a estratégia de gestão de carteira seguida pelos gestores dos Fundos de Investimento de Acções Nacionais, usando o PSI Geral como mercado de referência. Assim, foram usados os retornos e as composições trimestrais de carteira. A capacidade de Market Timing, e as variáveis que podem ter influenciado o Tracking Error (vs. PSI Geral) também foram analisados. A principal conclusão foi que só um fundo gerido conseguiu com sucesso pôr em prática a gestão activa da carteira, obtendo retornos acima do PSI Geral. O mesmo se passou com a gestão passiva, onde um fundo conseguiu replicar o mercado de referência. Os outros fundos optaram inicialmente por uma gestão activa ou passiva mas no final do período considerado, o seu desempenho ficou abaixo do mercado de referência, com excesso de retornos negativos, nem conseguindo replicar o PSI Geral. Foi também concluído que existem várias variáveis que têm impacto no desempenho destes fundos e consequentemente a estratégia de gestão de carteira escolhida pelo gestor. Estas variáveis são nomeadamente o risco sistemático do fundo (beta), volatilidade do mercado de referência, a percentagem de acções do PSI Geral na carteira, o peso das acções na carteira, número de acções acima do índice de concentração e o número de acções comuns entre o fundo e o mercado de referência, acima do índice de concentração.
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Hiepner, Albert James. "A critical review of the source and residence principles of taxation of income : a place for both principles in the South African tax system?" Diss., 1997. http://hdl.handle.net/10500/16948.
Full textAbstract:
In support of a short dissertation entitled -
"A critical review of the source and residence principles of taxation of income : A
place for both principles in the South African tax system?"
Qbjeetives
To review and critically examine the application of the source and reside.nce principles regarding
the taxption of income in South Africa, and to reveal the extent of the existence and application of
a hybrid tax system in respect of the source and residence principles. To examine the legal
principles and policy considerations arising from the existence of a hybrid tax system, inter alia, in
the context of the Fifth Interim Report of the Katz Commission and consequent legislative
developments. with a view to recommending. where appropriate, tax reform.
Methodology iDd AQProach
A review of relevant authority,liter@ture, principles and legislation.
Conclusion
To draw conclusions and recommendations regarding the merits of adopting a hybrid system in
South Africa and, where appropriate, recommend legislative reforms particularly with regard to
business income.Mercantile Law
LL.M. (Mercantile Law)