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Artykuły w czasopismach na temat "Managed funds"
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Patel, Saurin, i Sergei Sarkissian. "Portfolio Pumping and Managerial Structure". Review of Financial Studies 34, nr 1 (28.02.2020): 194–226. http://dx.doi.org/10.1093/rfs/hhaa027.
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Abstract Using U.S. equity mutual fund data, we show that portfolio pumping—an illegal trading activity that artificially inflates year- and quarter-end portfolio returns—is more pronounced among single-managed funds compared with team-managed ones. The return inflation by team-managed funds is 45% lower than by single-managed funds at year-ends. Also, portfolio pumping decreases as team size increases. These results are driven by peer effects among teams and, sometimes, amplified by less convex flow-performance relation in team-managed funds. Our findings are robust to differences in fund governance, manager career concerns, local networks, fund family policies, and changes in the SEC’s enforcement policies.
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Han, Yufeng, Tom Noe i Michael Rebello. "Horses for Courses: Fund Managers and Organizational Structures". Journal of Financial and Quantitative Analysis 52, nr 6 (grudzień 2017): 2779–807. http://dx.doi.org/10.1017/s0022109017000795.
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We model and test the relations between the team management of mutual funds, managers’ ability, performance, and holdings. Our model predicts that team-managed funds perform better and behave more conservatively than single-manager funds. However, the effect of team management is masked in equilibrium because high-ability managers rationally self-select into single-manager funds. Consistent with the model’s prediction, we find that team-managed funds perform better and deviate less from their benchmark allocations than single-manager funds with the same characteristics. These differences are marked after we control for the endogenous self-selection of managers.
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Popescu, Marius, i Zhaojin Xu. "Market states and mutual fund risk shifting". Managerial Finance 43, nr 7 (10.07.2017): 828–38. http://dx.doi.org/10.1108/mf-09-2016-0278.
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Purpose The purpose of this paper is to explore the motivation behind mutual funds’ risk shifting behavior by examining its impact on fund performance, while jointly considering fund managers’ compensation incentives and career concerns. Design/methodology/approach The study uses a sample of US actively managed equity funds over the period 1980-2010. A fund’s risk shifting is estimated as the difference between the fund’s intended portfolio risk in the second half of the year and the realized portfolio risk in the first half of the year. Using the state of the market to identify the dominating type of incentive that fund managers face, we examine the relationship between performance and risk shifting in a cross-sectional regression setting, using the Fama and MacBeth (1973) methodology. Findings The authors find that poorly performing (well performing) funds are likely to increase (decrease) their risk level in bull markets, while reducing (increasing) it during bear markets. Furthermore, we find that funds that increase risk underperform, while those that decrease their portfolio risk do not. In addition, we find that poorly performing funds that increase (or decrease) their risk underperform across bull and bear markets, while well performing funds that reduce risk during bull markets subsequently outperform. Originality/value The paper contributes to the literature on mutual fund risk shifting by providing evidence that the performance consequence of such behavior is dependent on the state of the market and on the funds’ past performance. The results suggest that loser funds tend to be agency prone or be managed by managers with inferior investment skill, and that winner funds exhibit superior investment ability during bull markets. The authors argue that both the agency and investment ability hypotheses are driving fund managers’ risk shifting behavior.
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Mallik, Avijit, Saad Niamatullah i Swarup Saha. "Performance Appraisal of Asset Management Companies in Bangladesh". International Journal of Economics and Finance 11, nr 8 (30.06.2019): 53. http://dx.doi.org/10.5539/ijef.v11n8p53.
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Mutual funds are a type of collective investment scheme where a large number of small investors pool their savings together and entrust it to an asset manager, who manages the capital to maximize returns in exchange for a management fee. While mutual funds and other collective investment schemes are popular in developed markets, with assets under management (AUM) to GDP ratio of 62% globally, they are yet to gain popularity in Bangladesh, where AUM-to-GDP ratio stands at only 0.53%. However, mutual funds and asset management companies have been growing at high rates, with 37 closed-end and 42 open-end funds now in operation, and there is enormous potential for growth in the mutual fund industry in Bangladesh. Since mutual funds are a new product in the Bangladeshi market, a detailed study was performed in order to distinguish skilled asset managers from unskilled asset managers. In this study, “skill” has been defined as the ability to beat the broad-market DSEX index on after-fee basis, with the underlying logic that managers - all of whom charge a management fee - should at least be able to beat a passive investment in the broad DSEX. For purposes of the study, the weekly NAV at market value was of 76 mutual funds managed by 16 asset management companies (AMCs) were collected. The weekly returns for the DSEX and each fund under consideration were calculated separately. Four well-known measures were used to rank each mutual fund utilizing the weekly returns. The measures were Jensen’s Alpha, the Sharpe Ratio, the Treynor Ratio and the Modigliani M2 Alpha ratio. For AMCs managing multiple funds, the measures were asset-weighted to calculate the measure for the AMC as a whole. Our findings illustrated that only 5 out of 16 AMCs managed to beat the DSEX index and earn an alpha over the benchmark. Our findings were in line with academic consensus which states that active management is a zero-sum game and that the majority of actively managed funds will underperform the index on an after-fee basis. Our recommendation is for AMCs to introduce passively-managed index funds which will at least keep up with the market return and minimize fees and trading costs.
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Philpot, James, i Craig A. Peterson. "Manager characteristics and real estate mutual fund returns, risk and fees". Managerial Finance 32, nr 12 (1.12.2006): 988–96. http://dx.doi.org/10.1108/03074350610710481.
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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.
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Soares, William Clem, i Carlos Heitor Campani. "Performance of retirement funds: An analysis focused on pure insurance companies",. Revista Contabilidade & Finanças 31, nr 84 (grudzień 2020): 490–523. http://dx.doi.org/10.1590/1808-057x201909840.
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ABSTRACT This paper analyzes the performance of Free Benefit Generating Plans (Plano Gerador de Benefício Livre - PGBL) and Free Benefit Generating Life (Vida Gerador de Benefícios Livres - VGBL) funds in the Brazilian market. This paper is unique when it comes to segregate funds managed by pure insurance companies (PICs) from those managed by large retail banks. We also discuss the impact of characteristics such as administration fee and fund size in the fund performance. The academic literature does not consider the differentiation between funds characteristics neither the type of institution that manages them. Furthermore, the available studies on this market are usually simple and, for example, do not use multifactor models to measure risk adjusted performances. The PGBL and VGBL funds performances are object of great interest since their market grows sustainably and quickly. Funds underperforming the market should improve their strategies and decrease administration costs to deliver better net performances. This work aims at improving the market competition, such that retirement products remain attractive to investors. We develop two multifactor models representing the risk sources for each class of funds analyzed (conservative and aggressive funds). The performance is thus measured by Jensen's alpha, although we also analyze realized returns and volatilities. We also develop a multifactor model based on administrative fee and fund’s size to capture the PIC effect. Our results suggest that PGBL and VGBL funds managed by PICs perform better in terms of higher average returns with no extra volatility, when compared to similar funds managed by companies linked to large retain banks. We found that higher administrative fees do not payout and it might even destroy value in the case of funds that invest in stocks. Larger funds presented higher net returns with no extra volatility. Finally, the analysis confirmed, with statistical evidence, the higher net returns of funds controlled by PICs in two situations: (i) after controlling for administrative fee and size of the fund - from 0.8 to 1% more per year; and (ii) after controlling for market risk sources - from 0.64 to 1.18% more per year.
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Edwards, Franklin R., i Jimmy Liew. "Managed commodity funds". Journal of Futures Markets 19, nr 4 (czerwiec 1999): 377–411. http://dx.doi.org/10.1002/(sici)1096-9934(199906)19:4<377::aid-fut1>3.0.co;2-3.
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Agarwal, Vikas, Nicole M. Boyson i Narayan Y. Naik. "Hedge Funds for Retail Investors? An Examination of Hedged Mutual Funds". Journal of Financial and Quantitative Analysis 44, nr 2 (kwiecień 2009): 273–305. http://dx.doi.org/10.1017/s0022109009090188.
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AbstractRecently, there has been rapid growth in the assets managed by “hedged mutual funds”—mutual funds mimicking hedge fund strategies. We examine the performance of these funds relative to hedge funds and traditional mutual funds. Despite using similar trading strategies, hedged mutual funds underperform hedge funds. We attribute this finding to hedge funds’ lighter regulation and better incentives. Conversely, hedged mutual funds outperform traditional mutual funds. Notably, this superior performance is driven by managers with experience implementing hedge fund strategies. Our findings have implications for investors seeking hedge-fund-like payoffs at a lower cost and within the comfort of a regulated environment.
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Caslin, J. J. "Hedge Funds". British Actuarial Journal 10, nr 3 (1.08.2004): 441–521. http://dx.doi.org/10.1017/s1357321700002671.
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ABSTRACTThe paper opens by showing how certain types of hedge funds can reduce the risk and increase the return on a traditional balanced managed fund. One of the key characteristics of such a hedge fund is that it has a low correlation with the balanced managed fund. The paper puts forward a new way of explaining correlation so that it can be more readily understood, and suggests methods of analysis for dealing with the fact that correlation is unstable. Volatility correlation is also examined because of its importance in reducing the risk of a portfolio.An outline of the characteristics and risks of three types of hedge funds, namely, long/short equity, convertible arbitrage and merger arbitrage, together with some questions investors might put to prospective hedge fund managers is given in Section 5.Some of the very basic statistical analysis techniques used in assessing the past performance of hedge funds are given in Section 6. Considerable emphasis is put on the need to examine daily return data as an insight into the quality of the manager's IT systems, his risk management, evidence of smoothing of returns, and to gain access to a higher number of data points for assessing the repeatability of performance.An entire section of the paper is devoted to gaining a clear understanding of a prospective hedge fund manager's volatility management strategy because of its importance in the context of the fee structure of hedge funds and its importance for assessing the ability of a hedge fund to reduce the risk and increase the returns of a balanced managed fund.Funds of hedge funds are examined in the final section, and the section concludes that large sophisticated institutional investors may wish to create a portfolio of hedge funds rather than invest in a fund of hedge funds.
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Patel, Saurin, i Sergei Sarkissian. "To Group or Not to Group? Evidence from Mutual Fund Databases". Journal of Financial and Quantitative Analysis 52, nr 5 (październik 2017): 1989–2021. http://dx.doi.org/10.1017/s0022109017000655.
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Despite the overwhelming trend in mutual funds toward team management, empirical studies find no performance benefits for this phenomenon. We show it is caused by large discrepancies in reported managerial structures in Center for Research in Security Prices and Morningstar Principia data sets versus U.S. Securities and Exchange Commission records, resulting in up to 50-basis-points underestimation of the team impact on fund returns. Using more accurate Morningstar Direct data, we find that team-managed funds outperform single-managed funds across various performance metrics. The relation between team size and fund performance is nonlinear. Also, team-managed funds take on no more risk than single-managed funds. Overall, team management benefits fund industry performance.
Rozprawy doktorskie na temat "Managed funds"
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Wang, Luo. "Four Studies of Managed Funds". Thesis, Griffith University, 2018. http://hdl.handle.net/10072/382713.
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This thesis, structured around four interrelated empirical studies, investigates three key
aspects that relate to the practice of fund management and analysis: (1) fund returns, (2) fund
flows, and (3) asset allocations. In fact, managed fund investors make investment decisions
primarily on the assumption that managed fund performance persists over time, despite the
lack of evidence for such performance persistence. Therefore, it is compelling to empirically
investigate factors that are of vital importance to investors if these factors can improve
investors’ ability to select winning funds, which will ultimately improve their investment
performance.
The first empirical study investigates the relationship between the performance of Australian
managed funds and the variables that capture the state of the economy. Apparently, Australian
investors make investment decisions based primarily on past performance, disregarding other
factors. This study, motivated by this issue, investigates factors that capture the state of the
economy, both domestic and international, with the aim of establishing whether those
economic factors have a possible impact on Australian managed fund returns. This study
contributes to the existing body of literature by utilising domestic and international
macroeconomic variables to explain Australian managed fund returns. Moreover, the
relationship uncovered between fund returns and macroeconomic variables challenges the
past performance issue attributed to Australian investors. Finally, the findings of this study
will motivate practitioners to extend their practice beyond using past performance to
encompass other potential factors. This study uses principal component and regression
analyses to discover that fund returns can be significantly explained by principal components
that reflect both international and domestic variables, especially at the next two quarters. The relationships between fund returns and macroeconomic variables are predominantly negative.
Further, the pooled regression results show that, at a more general level, the explanatory
power of macroeconomic variables is relatively weak regarding both fixed interest and
international shares funds, but is strong on multiple assets, property, and Australian shares
funds.
Building on the first empirical study, the second is an investigation of whether economic
variables have the potential to predict Australian managed fund returns. Using economic
variables to predict fund returns is a relatively new area of research; no published study was
found that investigates this issue in Australia. Therefore, this study helps to fill this gap by
investigating macroeconomic variables from Australia and overseas markets, as well as
establishing whether those variables have the potential to predict Australian managed fund
returns. This study contributes to the growing literature investigating the relationship between
macroeconomic variables and managed fund returns by shedding new light on the predictive
power of macroeconomic variables on managed fund returns. Furthermore, the findings of
this study have the potential to add value from the practitioner’s perspective. Since investors
always have to reallocate investments between funds, they need to know which economic
factors may affect their fund returns. Moreover, the findings may refine investor’ ability to
improve managed fund returns by monitoring the changes in economic conditions. The timeseries
regression results suggest that coal price, GDP, and the treasury bill rate have predictive
power over fund returns.
The third empirical study investigates the relationships between the managed fund flows from
different investor groups, the stock market returns and the factors that capture the state of the economy in Australia. The dynamic interactions between fund flows and stock market returns
have been well examined.
More recently, studies investigating fund flows and market returns from a different dimension
have tried to establish the relationship between fund flows, stock market returns, and the real
economy. As there is no study addressing this issue in Australia, this study investigates this
one in the Australian context. This study contributes to several strands of literature. Firstly, it
is the first to expand the stream of research investigating fund flows and stock market returns
by providing Australian evidence. Secondly, it sheds new light on the ongoing debate
regarding the relationship between fund flows and stock market returns by linking the results
back to the broad literature of the feedback-trader hypothesis. Thirdly, it provides a valuable
extension to an understanding of the relationship between fund flows and stock market returns
in Australia. The mechanism between fund flows and the real economy may affect investors’
returns if they collectively rebalance their portfolios in response to the changes of these
variables. This mechanism may also improve the efficiency of fund management by
understanding and predicting investors’ allocation decisions. This study will also help fund
managers to reach optimal investment decisions by incorporating fund flows as a factor.
The findings suggest that fund flows from different investor groups are related to the state of
the economy which is proxied by financial and macroeconomic variables. This study supports
the theory that the co-movement of fund flows and stock market returns is explained by
macroeconomic news. The state of the economy does not help to predict fund flows; however,
fund flows help to predict the state of the economy. This study also supports the theory that
fund flows are forward-looking and can predict the economy. Moreover, different investor groups, which are proxied by different fund categories, exhibit heterogeneous investment
patterns. The findings are more pronounced for equity and allocation funds because both of
these come with higher risk features, compared with fixed income and money market funds.
The fourth empirical study investigates whether the leveraged life cycle strategy is able to
produce better retirement wealth outcomes than either the balanced, conventional life cycle,
or the dynamic life cycle strategies. Using the factor of leverage in the design of the defined
contribution plan’s investment strategy is relatively new; no prior study investigating the
comparative performance of leveraged life cycle strategy and other strategies has been found.
Studying issues such as these provides a valuable contribution to the body of pension finance
literature by embarking on a robust analysis of four factors: balanced strategy, conventional
life cycle strategies, dynamic life cycle strategies and leveraged life cycle strategies. This
study may be regarded as unique: it is the first to synthesise the leveraged life cycle strategy
with other investment strategies currently offered by defined contribution plan providers, as
well as by those suggested in the literature. The outcomes of this study may also enhance
investors’ ability to improve fund returns by choosing different investment strategies.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Dept Account,Finance & Econ
Griffith Business School
Full Text
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Brinkman, Trevor Joseph. "Constructing volatility surfaces for managed funds". Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/8530.
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Includes bibliographical referencesIn this dissertation, a methodology is developed for constructing a volatility surface for a managed fund by extending the work of Bakshi et al. (2003) and Taylor (2014). The power utility assumption (with constant relative risk aversion for a specific maturity) and historical returns series data are used for the identified factors in influencing the return of the fund and the fund itself. The coefficient of relative risk aversion for a specific maturity and market is estimated from quoted option prices on a market index. This is used in combination with the identified factors and fund return series to estimate the risk-neutral skewness of the fund. An optimisation procedure is then used to determine the volatility smile of the fund for a specific maturity. Thereafter, the volatility surface of the fund is constructed by repeating each step for different maturities. Although this methodology produces sensible results, the optimisation routine used is sensitive to initial values and constraints.
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Everett, John M. "Passive Investing's Implications for Actively Managed Funds". Scholarship @ Claremont, 2019. https://scholarship.claremont.edu/cmc_theses/2242.
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In theory, as a greater share of capital is invested passively rather than actively managed, stock prices will be freer to diverge from fair value, resulting in marginally less efficient equity markets. The effect should be an amplification of managerial skill, which manifests itself in the tails of α distributions. I find evidence that mutual fund α distributions differ increasingly as a function of the share of assets invested in passive vehicles. However, I find no evidence that the “tailedness” of the distributions increases as a function of the share of assets invested passively. This may be a result of the limited sample size, or it may be that higher levels of passive share are required for this effect to materialize.
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Fang, Rong. "Liquidity and performance of actively managed equity funds". Thesis, University of Nottingham, 2011. http://eprints.nottingham.ac.uk/12133/.
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Most scholars have concluded that actively managed equity mutual funds as a whole underperform their passively managed counterparts, linked to some benchmarks. In other words, active equity fund managers on average do not have enough significant stock-picking abilities to add value for investors. However, earlier investigations may be flawed through failure to give adequate consideration to liquidity. Hence, this research pays much attention to liquidity effects on mutual fund performance and argues that it is a preference for holding highly liquid stocks which results in the perceived underperformance. First, we find no significant liquidity premium at fund level, no matter the holding period returns or risk-adjusted performance. This indicates that all or almost all active equity fund managers in effect pay considerable attention to liquidity. We also examine the effects of liquidity on fund performance among actively managed equity funds. In contrast with earlier research, we find that actively managed equity funds in the aggregate perform close to the passive strategy. That means, on average, active equity fund managers do at least have talent sufficient to generate returns to cover costs that their funds impose on investors. This we attribute to the liquidity requirement of mutual funds. Moreover, using bootstrap simulation, we discover that many more mutual funds can be classified as skilled funds rather than lucky funds, once a liquidity factor has been included. Thus, our research provides a new insight into mutual fund performance, and highlights liquidity as an important and non-negligible determinant in the evaluation of mutual fund performance.
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Soucik, Victor. "Finding the true performance of Australian managed funds". Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2002. https://ro.ecu.edu.au/theses/730.
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When making conclusions about the performance of managed funds, it is critical that the framework in which such performance is measured provides an accurate and unbiased environment. In this thesis I search for true performance of the two major classes of funds- equity as well as fixed interest managed funds. Focusing, first on the former class, I examine five measurement models across three risk-free proxies, nine benchmarks proposed by the extant literature (covering conditional and unconditional as well as single and multi factor definitions) and over three independent periods in an effort to identity (in a consistent setting) the most accurate and least biast methodology. I also use the Australian dataset, which inherently mitigates any data biases that may potentially afflict US studies of these methodologies, since these were developed from the same dataset on which they were later tested. Not finding a pre-existing benchmark that is objective yet informative, I develop an independent model that satisfies these, sourcing from fifteen factor candidates across four categories. I find that teaming up a fund based market factor with well-defined proxies for size, value, momentum and conditional dividend yield provides the optimal benchmark. The latter class comprising fixed-interest managed funds is a segment left largely unexplored in the financial literature and neglected outright in the Australian context. I examine three risk-free proxies, six benchmark classes encompassing twenty-one potential factors, across five models and two independent time frames in an effort to establish the most informative and least biased setting. The task is complicated by two issues - an acute lack of Australian data (demanding additional bootstrap simulations and bridging tests with the US markets) and the need for a two-pass (time-series and cross-sectional) analysis, arising from the different information content benchmarks carry in these two dimensions. My results, consistent across time, show that a correct combination of a bond market variable, a mixture of interest rate factors and economic factors as well as the proxy for movements in the equity markets yield the optimal benchmark. Both fund classes point to Jensen's Alpha as the preferred model, but Treynor and Mazuy's definition of a quadratic measure is adequate if timing-selectivity separation is required. Neither class is significantly sensitive to the choice of risk free proxy featuring in the performance measures.
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Nilsson, Maximiliam, i Gusten Hansson. "Are Mutual Fund Managers’ Compensation Reasonable In Relation To Their Contributions? : - A study regarding actively managed mutual funds". Thesis, Linnéuniversitetet, Institutionen för nationalekonomi och statistik (NS), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-96945.
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This thesis aims to investigate fund managers salaries in relation to their contributions. The study is conducted on the Swedish fund market under a period over five years, 2014-2018, and include 332 funds. The result observed shows a positive relation between salaries and risk-adjusted performance. The result proves that fund managers are able to outperform the market on average, which should not be possible to do systematically over time according to the efficient market hypothesis. It also turns out that salary has a positive relationship with assets under management. This indicates that fund managers are employed and compensated for more reasons than to generate a high return, namely to contribute to more significant inflows of cash to the fund company. Interpretations of fund managers’ salaries are primarily linked to agency theory and economics of superstars. The agency problem alter in the fund industry since the setting is two-folded. Agency problem could be mitigated by implementing a performance-based compensation structure, to aligning investors, management and fund managers’ ambitions. The result shows signs that a performance-based salary is present in the fund industry. A fund managers’ salary assumes to be based on his/her skillfulness, but could also be due to an individual’s stardom. To conclude, the thesis state that fund managers’ deserve their salary, which in relative terms are fairly high, since they procure additional benefits to the fund company.
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Hassan, Abul. "Evaluating the performance of managed funds : the cases of equity, ethical funds and Islamic index". Thesis, Durham University, 2005. http://etheses.dur.ac.uk/2731/.
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Managed funds have become a popular investment tool and possess a lot of advantages. However, in spite of their popularity, most past research findings on the evaluation of performance have suggested that managed funds were unable to do significantly better than a large unmanaged portfolio. The aim of this thesis is to evaluate empirically the performance of managed funds. The funds chosen are; UK equity, ethical unit trusts and US-based Dow Jones Islamic index -an index of Islamic ethical funds portfolio. We examine the performance of UK equity unit trusts which invest in UK equities, using monthly samples over the 1986 to 2001 time period. The study compares the return of these unit trusts with a three-factor model which takes into account their exposure to market, value and size risk. After controlling the risk factors, it is found that manager’s under-perfom the market. Contrary to the notion that small company shares offer abundant "beat the market" opportunities, we find that small company trusts are the worst performers. The performance persistence of unit trusts is also examined and it is found that good performance does not persist. There are investors who out of their concern regarding adverse changes in our environment, concerns for justice, and because of their opposition to the arms race, decline to purchase the securities of such enterprises that engage in what are termed unethical or socially irresponsible activities. Such activities usually include, but are not necessarily limited to, the production of armaments, alcohol and tobacco; engaging in activities that degrade the environment; and engaging in activities that treat people unfairly. Declining to invest in the securities of enterprises that engage in unethical practices is not only a form of social protest, but can also have the effect of diminishing the demand for a company's securities. A diminishment of demand may then have an adverse financial impact on a company. This may prove to be a crucial factor in influencing companies to change and become more socially responsible. The question therefore arises: has the investment performance o f ethical investors suffered in comparison to those who are not so responsible? To answer the above, a study has been done which encompasses 35 U K ethical unit trusts which cover the period of seven years tough 1996. The study presents a comprehensive evaluation o f managed funds performance by employing various single to multifactor benchmark models.The added value of introducing extra variables such as size, book to market, momentum and a bond index is explored by evaluating the performance using conditional information and comparing the investment performance of U K ethical unit trusts with unit trusts which are not ethical. After controlling for style tilts and allowing for time variation in betas and expected return, the results show that there is no significant difference in performance between U K ethical unit trust and their conventional peers. Within an unconditional setting SMB, HML and momentum factors are best able to explain ethical unit trust returns. Therefore, unconditional models perform much better than their conditional peers. Islamic ethical investors apply both Islamic ethical and financial criteria when evaluating investments in order to ensure that the securities selected are consistent with their value system and beliefs. Using monthly returns for the period starting from January 1996 to December 2003， the study is conducted to see the potential impact that Islamic ethical restrictions may have on investment performance by comparing the performance characteristics o f a diversified portfolio of Islamic screened stocks (Dow Jones Islamic index) w i t h conventional benchmark portfolio ( Dow Jones Index- Americas). Contrary to expectations, our findings indicate that application of Islamic ethical screens do not necessarily have an adverse impact on investment performance. Results actually show that expected returns of Islamic screened portfolios are higher than the expected returns o f conventional portfolios.
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Källström, Mattias, i Vidar Bratland. "Money For Nothing? : A Study About the Performance of Actively Managed Swedish Mutual Funds". Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-56651.
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Following the development and popularity of mutual funds among Swedish investors, the question of active fund management and return has become a central issue for private investors. 99 percent of the Swedish population invests in mutual funds, comprising a total net fund value of almost 2,000 billion SEK. The idea behind active management is for a charged fee, to generate a return higher than the return of the market. But statistics indicate a low level of competition between the largest providers and only one out of ten funds performs better than its index. Financial instability due to the last decade’s two recessions has indeed caused fluctuating performance of actively managed Swedish mutual funds. It has also spurred academics to investigate the role and effect of active management and attached management fees. The main purpose of this research is to investigate if there exist differences between the performance of benchmark indices and the performance of actively managed equity funds, balanced funds and money market funds provided by seven Swedish banks; Folksam, Länsförsäkringar, Handelsbanken, Nordea, SEB, Skandia and Swedbank. We also seek to investigate if the level of fee and total risk affect the fund performance. The research was deductively conducted with a quantitative method of inquiry. The ontological and epistemological positions are objectivism and positivism. Our sample of 21 Swedish mutual funds, with daily price observations was investigated between 2004 and 2011, with a division of four subperiods. To answer our research question and sub-questions, ten fictive portfolios were created and five hypotheses were formulated based on previous research and theories within the field. The data was analyzed with paired samples T-tests and multiple linear regression analyses. The portfolios included three risk-adjusted fund performance measures and Value at Risk. We have concluded that on average both balanced funds and money market funds have performed worse than their benchmark indices in the period 2004 to 2011. The equity funds have also performed worse than their benchmark index but the difference is not statistically significant. The balanced funds had the highest return, the money market funds second highest return and equity funds the lowest return. Supported by the multiple regression analyses, we have concluded that fund performance is negatively related to the level of total risk in the period 2004 to 2011. There is no statistical relationship between fund performance and fund provider. We finally conclude that fund return during the entire investigation period, is negatively related to management fees.
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BARAN, RENATO. "PERFORMANCE ANALYSIS OF ACTIVE MANAGED INVESTMENTS FUNDS A COMPARATIVE STUDY". PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2004. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=4648@1.
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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOEsta dissertação tem como objetivo comparar os índices de desempenho de média-variância com os critérios de dominância estocástica de primeira, segunda e terceira ordens para fundos de gerenciamento ativo presentes no mercado brasileiro. Foram analisados 84 fundos de ações entre maio de 1999 e abril de 2001. Para o cálculo da dominância estocástica foi criada uma função em Matlab que, a partir dos retornos dos fundos, compara-os entre si e retorna quais os fundos mais dominantes em relação aos outros. O que se concluiu é que os indivíduos que selecionam seus investimentos com base somente nos índices de média-variância podem tomar decisões que contrariam seus critérios de aversão ao risco e de aversão crescente ao risco. Igualmente, o desempenho de fundos de investimento medido apenas através dos critérios de dominância estocástica não significará necessariamente um maior excesso de retorno com relação ao risco corrido. Para se tomar uma decisão de investimento bem estruturada, o investidor deve considerar todos os momentos da distribuição dos retornos e realizar uma análise tanto por média-variância quanto por dominância estocástica.
The scope of this dissertation is the comparison between the meanvariance based performance measurers of active management Brazilian-based stock funds and stochastic dominance of first, second and third orders criteria. 84 funds were considered and the period studied goes from May 1999 to April 2001. For the stochastic dominance calculus a Matlab function was created so that, with the funds returns as inputs, it gives the most dominating funds in relation to the others. The conclusion of this study is that individuals that chose investments taking account solely mean-variance measurers can make decisions that goes against their criteria of risk aversion and absolute decreasing risk aversion. In the same way, investments funds performance measured only by stochastic dominance criteria will not lead necessarily to a highest reward-to- risk ratio. Regarding a well structured investment decision, investors should consider all moments of the distribution of returns and perform not only a mean- variance but also a stochastic dominance analysis.
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Cheng, Ming Kit. "A study on the performance of passively-managed hedged ETFs". HKBU Institutional Repository, 2019. https://repository.hkbu.edu.hk/etd_oa/629.
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This study examines the performance of recently introduced passively-managed exchange-traded hedged funds (HETFs). Using data that cover the period 2008 to 2017 of all available HETFs under global macro and long-short classifications with sufficient number of observations, the study provides the most complete and update measure and documentation of the performance of these two fund categories. Little research has been done on HETFs' performance in despite of the rapid growth and expected future expansion of their market sizes, since the introduction of HETFs expands for ordinary investors investment opportunity set that were only available to high net wealth individuals and institutions. Using a simple 3-three factor model including equity, bond and volatility factors, it shows long-short HETFs cannot closely follow the returns of their corresponding indexes as global macro HETFs. By using Fung and Hsieh's (2004) 7-factor model, and Edelman, Fung and Hsieh's (2012) revised 8-factor model, significant negative alphas are found for strategy portfolios. The relatively poor performance of the HETFs can be attributed to their high expense ratio and their failure to closely track the benchmark index.
Książki na temat "Managed funds"
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Managed portfolios and mutual funds. San Diego: Harcourt Brace Professional Pub., 1996.
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Posmeck, Andreas. Futures Funds und Managed Futures. Wiesbaden: Deutscher Universitätsverlag, 1994. http://dx.doi.org/10.1007/978-3-322-83456-0.
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Hanrahan, Pamela F. Managed investments law. Parkville, Vic: Centre for Corporate Law and Securities Regulation, 1998.
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Abbott, Grant. Guide to self managed super funds. Wyd. 2. Sydney: CCH Australia, 2004.
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Abbott, Grant. Guide to self managed super funds. Wyd. 3. Sydney: CCH Australia, 2006.
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Theresa, Hamacher, red. The fund industry: How your money is managed. Hoboken, N.J: John Wiley & Sons, 2011.
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Nessen, Paul Von. A practical guide to managed investments. Wyd. 3. Pyrmont, N.S.W: Lawbook Co., 2008.
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Nessen, Paul Von. A practical guide to managed investments. Wyd. 2. Sydney: Lawbook Co., 2002.
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Nessen, Paul Von. A practical guide to managed investments. Sydney, NSW: LBC Information Services in association with Center for Commercial and Property Law, Queensland University of Technology, 1998.
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Rhodes, Mark. Past imperfect?: The performance of UK equity managed funds. London: Financial Services Authority, 2000.
Znajdź pełny tekst źródłaCzęści książek na temat "Managed funds"
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Fevurly, Keith R. "Hedge Funds". W The Handbook of Professionally Managed Assets, 165–87. Berkeley, CA: Apress, 2013. http://dx.doi.org/10.1007/978-1-4302-6020-2_9.
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Tower, Edward. "Performance of Actively Managed versus Index Funds: The Vanguard Case". W Mutual Funds, 211–36. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118266397.ch12.
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Fevurly, Keith R. "Private Equity Funds". W The Handbook of Professionally Managed Assets, 209–28. Berkeley, CA: Apress, 2013. http://dx.doi.org/10.1007/978-1-4302-6020-2_11.
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Fevurly, Keith R. "Closed-End Funds". W The Handbook of Professionally Managed Assets, 111–28. Berkeley, CA: Apress, 2013. http://dx.doi.org/10.1007/978-1-4302-6020-2_6.
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Fevurly, Keith R. "Exchange-Traded Funds". W The Handbook of Professionally Managed Assets, 145–61. Berkeley, CA: Apress, 2013. http://dx.doi.org/10.1007/978-1-4302-6020-2_8.
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Šiková, Zuzana. "Rozhodný limit a jeho přesažení". W Interakce práva a ekonomie, 250–63. Brno: Masaryk University Press, 2021. http://dx.doi.org/10.5817/cz.muni.m210-9934-2021-15.
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This paper deals with a relevant threshold, occurs of exceeding and calculations of asset value of investment funds or other managed assets that are managed. The paper also focuses on the process of the manager when there is exceeded the relevant threshold without authorization from Czech National Bank. Managers shall constantly assess the overall value of the managed funds and other managed asset and should provide an appropriate mechanism warning especially with regard to risk management. The aim of the paper is a deeper analysis of the term relevant threshold, to which subjects it applies and how it can be calculated.
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Posmeck, Andreas. "Die Konzeption von Futures Funds". W Futures Funds und Managed Futures, 54–96. Wiesbaden: Deutscher Universitätsverlag, 1994. http://dx.doi.org/10.1007/978-3-322-83456-0_4.
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Posmeck, Andreas. "Die Performance von Futures Funds". W Futures Funds und Managed Futures, 97–113. Wiesbaden: Deutscher Universitätsverlag, 1994. http://dx.doi.org/10.1007/978-3-322-83456-0_5.
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Posmeck, Andreas. "Einleitung". W Futures Funds und Managed Futures, 1–3. Wiesbaden: Deutscher Universitätsverlag, 1994. http://dx.doi.org/10.1007/978-3-322-83456-0_1.
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Posmeck, Andreas. "Einordung der Futures-Märkte in das System der Rohstoff- und Finanzmärkte". W Futures Funds und Managed Futures, 4–36. Wiesbaden: Deutscher Universitätsverlag, 1994. http://dx.doi.org/10.1007/978-3-322-83456-0_2.
Pełny tekst źródłaStreszczenia konferencji na temat "Managed funds"
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NASTASE (PAUN), Lidia Alexandra, Maria Adelina CRISTEA i Raluca ZORZOLIU. "European funds managed by IT". W The 4th International Conference on Economic Sciences and Business Administration. Fundatia Romania de Maine, 2017. http://dx.doi.org/10.26458/v4.i1.36.
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"The Role of Property in Ethical Managed Funds". W 9th European Real Estate Society Conference: ERES Conference 2002. ERES, 2002. http://dx.doi.org/10.15396/eres2002_117.
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Vyšniauskas, Povilas, i Viktorija Stasytytė. "The Analysis of Mutual Funds’ Performance in Lithuanian Financial Market". W Contemporary Issues in Business, Management and Education. Vilnius Gediminas Technical University, 2017. http://dx.doi.org/10.3846/cbme.2017.063.
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This Article examines performance of mutual funds, which are available for Lithuanian investors in Lithuanian financial market to invest in. Lithuanian mutual funds market is very new comparing with the global financial markets. Majority of mutual funds in Lithuania are imported by Scandinavian banks as well as internationally managed, only few mutual funds are managed in Lithuania. The analysis includes Lithuanian and non-Lithuanian mutual funds in Lithuanian financial market. Period from 2008 to 2016 is analysed in order to get significant results. This study aims to analyse the performances of mutual funds in Lithuanian market on the basis of risk and return criteria using different tools such as Sharpe ratio, Treynor ratio, and Jensen Alpha and others. Also there is analysed variation of these performance measures during selected time period, and discovered periods, when mutual funds perform above and below than market indices.
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Lemeshko, Oleksandra. "INVESTIGATION OF PERFORMANCE ORIGINS OF MANAGED EQUITY FUNDS FROM EU". W 4th International Multidisciplinary Scientific Conference on Social Sciences and Arts SGEM2017. Stef92 Technology, 2017. http://dx.doi.org/10.5593/sgemsocial2017/hb11/s03.085.
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Tipa, Violeta. "Ivan Turbincă’s story: the road to the big screen". W Simpozionul Național de Studii Culturale, Ediția a 2-a. Institute of Cultural Heritage, Republic of Moldova, 2022. http://dx.doi.org/10.52603/9789975352147.11.
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One of the few masterpieces, created at the Moldova-film studio based on a work from the national classics, was and will remain the film Se caută un paznic/ Looking for a guard (1967) directed by Gheorghe Vodă, a film inscribed in the golden fund of national cinematography. Today, the film is of interest as a separate work, which managed to convey the author’s visions and his national spirituality, as well as the history of its creation. The materials kept in the funds of the National Archive of the Republic of Moldova allow us to restore more or less the epic of this cinematographic work, starting with 1964, when Vlad Ioviță, a young graduate of the Advanced Courses in Screenwriting and Directing, inspired by the well-known tale Ivan Turbincă by the classic of our literature Ion Creangă, submits the offer for the film. By studying archive materials, we will be able to follow the pilgrimages of the literary script until the release of the film Se caută un paznic in 1968 on the big screen. The journey of the literary script to the big screen opens new perspectives in the awareness of the socio-cultural and ideological conditions, which provoked such an original vision of Creanga’s tale.
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Kendirli, Selçuk, i Muhammet Çankaya. "Effects of USD Exchange Rate over the Istanbul Stock Market 30 Index and Investigation of the Relationship between Them". W International Conference on Eurasian Economies. Eurasian Economists Association, 2015. http://dx.doi.org/10.36880/c06.01278.
Pełny tekst źródłaStreszczenie:
It is known that financial markets have important place in today's economy. Individuals could be evaluated their saving with their own research or they could be evaluated their savings with financial experts recommendations. A large portion of those funds of individual or institutional investors managed are directed to the stock market of the country. When considered in terms of Turkey, Istanbul Stock Exchange is examples for this topic.
The changes in economic data, is influenced to many variables especially the stock market. It is perceived in the market as bad data that the rising in unemployment, the reduction of industrial production, the increases in interest rates and cost of credit, the increase in foreign exchange rates.
In this study, it was investigated the causality of the dollar exchange rate between Istanbul Stock Exchange National 30 Index (BIST-30) with "Granger Causality Test". Monthly values are used including the period of 2009:1 (January of 2009) between period of 2014:12 (December 2014) as data set. We used the first trading day closing values in the calculation of monthly returns for the period. At the end of the study, we couldn’t find any causal relationship between the dollar exchange rate and the BIST-30 Index.
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"FUND MANAGER PERFORMANCE: HOW PERSISTENT IS THE PERFORMANCE OF UK REAL ESTATE FUND MANAGERS?" W 15th Annual European Real Estate Society Conference: ERES Conference 2008. ERES, 2008. http://dx.doi.org/10.15396/eres2008_209.
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Ivanov, A., Ya Dzhaginyan, Tatyana Bezrukova i Anatoliy Shtondin. "EFFICIENCY OF LEVERAGED CAPITAL RAISINGMODERN". W Manager of the Year. FSBE Institution of Higher Education Voronezh State University of Forestry and Technologies named after G.F. Morozov, 2022. http://dx.doi.org/10.34220/my2021_75-81.
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Making calculations on operational and financial leverage is the main tool for justifying the need for borrowed funds of financing, the positive and negative effects of financial leverage are studied. The dynamics of the structure of the borrowed capital of the enterprise is given, an objective assessment of the current state of the enterprise is given. The article discusses the need to implement the results of financial leverage to make optimal management decisions.
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Kuksova, Irina, i N. Bugakova N.S. "METHODOLOGY OF ANALYSIS OF ACCOUNTS RECEIVABLE OF THE ENTERPRISE". W Manager of the Year. FSBE Institution of Higher Education Voronezh State University of Forestry and Technologies named after G.F. Morozov, 2022. http://dx.doi.org/10.34220/my2021_104-109.
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In modern market relations, no company can avoid the occurrence of receivables. The creditor organization uses it as an extension of the sale of its products, works or services, and the debtor organization considers it as an opportunity to use additional working capital. Accounts receivable means the funds available to the enterprise that are diverted from the turnover, which has a negative impact on the financial condition of the economic entity. The growth of accounts receivable often leads to a crisis situation in the enterprise. The article considers the nature of accounts receivable, the factors that affect its increase and occurrence, as well as the method of analysis.
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Jiang, Zhiping, i Huiying Li. "Compensation Contract for Managers of Passive Funds". W 2020 International Conference on Wireless Communications and Smart Grid (ICWCSG). IEEE, 2020. http://dx.doi.org/10.1109/icwcsg50807.2020.00091.
Pełny tekst źródłaRaporty organizacyjne na temat "Managed funds"
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Kacperczyk, Marcin, Clemens Sialm i Lu Zheng. On the Industry Concentration of Actively Managed Equity Mutual Funds. Cambridge, MA: National Bureau of Economic Research, wrzesień 2004. http://dx.doi.org/10.3386/w10770.
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Koessl, Gerald. The system of limited-profit housing in Austria. Liège: CIRIEC, 2022. http://dx.doi.org/10.25518/ciriec.wp202204.
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Limited-profit housing plays a significant role in Austria’s housing market. Around a quarter of all households live in homes owned or managed by a limited-profit housing association (LPHA). These associations are characterised by a distinct business model, based on the premise of cost-recovery and revolving funds. By deviating both from the logic of for-profit housing and from public housing, LPHAs occupy a distinct ‘Third Sector’ role in Austria’s housing market. This paper describes the key mechanisms and principles of limited-profit housing, including how they are financed, how rents are set, what components are included in price calculations and how they use revolving funds to finance future affordable housing construction. The paper also elaborates the impact of the limited-profit business model on rent levels and draws on a recent study to demonstrate their wider economic impacts.
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Arnold, Zachary, Ngor Luong i Ben Murphy. Understanding Chinese Government Guidance Funds: An Analysis of Chinese-Language Sources. Center for Security and Emerging Technology, marzec 2021. http://dx.doi.org/10.51593/20200098.
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China’s government is using public-private investment funds, known as guidance funds, to deploy massive amounts of capital in support of strategic and emerging technologies, including artificial intelligence. Drawing exclusively on Chinese-language sources, this report explores how guidance funds raise and deploy capital, manage their investment, and interact with public and private actors. The guidance fund model is no silver bullet, but it has many advantages over traditional industrial policy mechanisms.
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Agrawal, Asha Weinstein, Hilary Nixon i Cameron Simmons. Investing in California’s Transportation Future: Public Opinion on Critical Needs. Mineta Transportation Institute, grudzień 2020. http://dx.doi.org/10.31979/mti.2020.1861.
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In 2017, the State of California adopted landmark legislation to increase the funds available for transportation in the state: Senate Bill 1 (SB1), the Road Repair and Accountability Act of 2017. Through a combination of higher gas and diesel motor fuel taxes, SB1 raises revenue for four critical transportation needs in the state: road maintenance and rehabilitation, relief from congestion, improvements to trade corridors, and improving transit and rail services. To help state leaders identify the most important projects and programs to fund within those four topical areas, we conducted an online survey that asked a sample of 3,574 adult Californians their thoughts on how the state can achieve the SB1 objectives. The survey was administered from April to August 2019 with a survey platform and panel of respondents managed by Qualtrics. Quota sampling ensured that the final sample closely reflects California adults in terms of key socio-demographic characteristics and geographic distribution. Key findings included very strong support for improving all transportation modes, reducing air pollution and greenhouse gas emissions from transportation, and more convenient options to travel without driving. Respondents placed particular value on better maintenance for both local streets and roads, as well as highways. Finally, the majority of respondents assessed all types of transportation infrastructure in their communities as somewhat or very good.
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Kacperczyk, Marcin, Stijn Van Nieuwerburgh i Laura Veldkamp. Time-Varying Fund Manager Skill. Cambridge, MA: National Bureau of Economic Research, listopad 2011. http://dx.doi.org/10.3386/w17615.
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Emme, Leticia, Pilar Rodriguez, Rafael Plaza, Ariana Rojas, Belissa Rojas i Yuri Soares. Sustainable Investing: A Playbook for VC Funds. Inter-American Development Bank, grudzień 2022. http://dx.doi.org/10.18235/0004631.
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In todays world, all private entities need to adopt a consistent approach to managing sustainability, including Venture Capital (VC) Funds. A sustainability approach helps to identify and better manage risks faced by the VC fund. It also improves efficiency, predictability and planning, the quality of investments, and increases transparency and accountability. The VC industry lags other asset classes in the adoption of sustainability approaches. Due to their small size, agile operation, and focus on innovation and technology, there are few bespoke sustainability resources for VC Funds, making it more difficult for them to apply ESG principles. As a result, VC Funds have largely been observers in an ever-changing sustainability agenda. This Sustainable Investment Playbook provides a blueprint for VC Funds who wish to implement a sustainability approach. It was designed together with VC Funds, and aims to be a practical tool, providing a review of the existing literature and resources available, as well as a step-by-step guidance on how to implement a sustainability approach, covering all stages of the venture investment cycle. Time is of the essence for VC funds and VC-backed companies; Sustainable Investing is a must but not yet a given.
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Chevalier, Judith, i Glenn Ellison. Career Concerns of Mutual Fund Managers. Cambridge, MA: National Bureau of Economic Research, luty 1998. http://dx.doi.org/10.3386/w6394.
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Lim, Jongha, Berk Sensoy i Michael Weisbach. Indirect Incentives of Hedge Fund Managers. Cambridge, MA: National Bureau of Economic Research, marzec 2013. http://dx.doi.org/10.3386/w18903.
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Lakonishok, Josef, Andrei Shleifer, Richard Thaler i Robert Vishny. Window Dressing by Pension Fund Managers. Cambridge, MA: National Bureau of Economic Research, luty 1991. http://dx.doi.org/10.3386/w3617.
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Ibert, Markus, Ron Kaniel, Stijn Van Nieuwerburgh i Roine Vestman. Are Mutual Fund Managers Paid For Investment Skill? Cambridge, MA: National Bureau of Economic Research, kwiecień 2017. http://dx.doi.org/10.3386/w23373.
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