Search results

The purpose of this paper is to carry out a literature review to determine which variables have the greatest impact on the survival capacity of mutual funds, and if these variables also have an influence on the various ways in which mutual funds disappear.

The authors carry out a systematic review of the literature on mutual funds and identify the main features that affect their capacity for survival.

The results show that most of the articles are based on data from the US market and that the two most studied variables are the return and the size of the fund. Furthermore, the relationship between the behaviour of variables and the disappearance of funds has mainly been analysed by comparing surviving and non-surviving funds, but without specifying the way in which they disappeared. Finally, the results show that there is no single methodology for examining the survival of funds.

In the financial literature, no previous literature review has focused on the factors that influence the survival capacity of mutual funds. The authors consider that this review will provide a broader and more realistic vision of the level of academic interest in this field and identify any gaps that exist in the literature available.

Many studies have discussed mutual funds performance, especially about the persistence of excess returns. Regression is the most common method to be used to research the fund persistence. Dutta (2002) proposes a simpler approach – a direct annual examination of whether a fund beats a market proxy or not, to research the persistence in American mutual fund returns. In this study, authors use a similar methodology to analyse New Zealand growth mutual funds. In addition, a statistically robust method is juxtaposed as a comparison. The study finds that the most of the funds sampled during the period 1996‐2003 are unable to better the benchmark of the world index.

The first authorized property unit trusts in the UK were created in September 1991, and have operated unspectacularly since then, as the current property climate has not, in general, been encouraging. Similar Canadian investment vehicles first appeared in the early 1980s, and experienced significant growth through the property boom of the mid‐1980s. Since then, with decreasing property values many of these funds have been forced to reorganize. Yet, the structure of the Canadian funds would have complied with the most significant aspects of the UK regulations. The consideration of the nature of the manifold difficulties of the Canadian funds suggests that the regulations established in the UK may not prevent similar problems. Accordingly, the specifics of the Canadian funds and the manner in which their structure added further levels of risk to that inherent in their underlying assets should be considered relative to the possible future performance of similar vehicles in the UK.

The purpose of this paper is to contrast three investment choices within the reach of individual investors: naive portfolios of Brazilian stocks; actively managed stock funds; and the Ibovespa index, which represents passive management as well as to offer insights on the performance of professional asset managers in this large emerging market.

Equally weighted portfolios contained between 5 and 30 stocks to keep transaction costs low. Stock selection used the Ibovespa constituents and considered value (dividend yield (DY) and price-to-book ratio), momentum (past returns), and liquidity, as well as the Sharpe ratio (SR) over the 2003-2012 period, rebalancing three times a year.

Cumulative returns of naive portfolios are large. They frequently outperform the index for all values of n. They also outperform stock funds, particularly when the invested amount exceeds US$25,000, due to transaction costs. Yet, expected out-of-sample SRs corrected for errors in estimates are very low, suggesting that one should not count on this historical performance in the future. Naive portfolios may simply be more exposed to additional value, size, and momentum risks. Results are sensitive to time period selection.

Naive portfolios may be attractive to individual investors in Brazil relative to stock funds, which seem to strive to keep volatility low and may be better when the investment amount is low. There may be merit for value or momentum stock selection strategies when forming small equally weighted portfolios.

The paper contrasts realistic stock investing alternatives for individuals, it provides a view of stock fund performance in Brazil, and offers practical implications that may be pertinent in other emerging stock markets.

Contrastar três opções de investimento ao alcance de investidores individuais: carteiras ingênuas de ações brasileiras; fundos de ações de gestão ativa; e o índice Ibovespa, que representa a gestão passiva. Oferecer informações sobre o desempenho de gestores de ativos profissionais neste grande mercado emergente.

As carteiras igualmente ponderadas continham entre 5 e 30 ações para manter os custos de transação baixos. A seleção de ações utilizou os componentes do Ibovespa e considerou o valor (rendimento de dividendos e relação preço/valor patrimonial), momentum (retornos passados) e liquidez, bem como o Índice de Sharpe no período 2003-2012, rebalanceando três vezes ao ano.

Os retornos acumulados de carteiras ingênuas são grandes. Eles frequentemente superam o índice para todos os valores de N. Eles também superam os fundos de ações, particularmente quando o montante investido excede US$ 25,000, devido aos custos de transação. Contudo, os Índices de Sharpe esperados fora de amostra corrigidos por erros nas estimativas são muito baixos, sugerindo que não se deve contar com este desempenho histórico no futuro. As carteiras ingênuas podem simplesmente estar mais expostas a fatores riscos adicionais, tal como os de valor, tamanho e momentum. Os resultados são sensíveis à seleção do período de tempo.

As carteiras ingênuas podem ser atrativas para os investidores individuais no Brasil em relação aos fundos de ações, que parecem se esforçar para manter a volatilidade baixa e podem ser melhores quando o valor do investimento é baixo. Pode haver mérito para estratégias de seleção de ações de valor ou momentum ao formar carteiras igualmente ponderadas pequenas.

O artigo contrasta alternativas realistas de investimento em ações para indivíduos, oferece uma visão do desempenho dos fundos de ações no Brasil e oferece implicações práticas que podem ser pertinentes em outros mercados emergentes.

This study aims to assess the relationship between cash management and fund performance in index fund portfolios.

Using a sample of 104 index mutual funds that track the Standard and Poor 500 stock market index from January 1999 to December 2016, the authors employ quintile portfolios and different regression models to assess the differences in risk-adjusted monthly returns experienced by index funds managing different cash levels in their portfolios. To ensure the robustness of the results, different sub-periods and market states are considered in the analyses as well as other exogenous factors and fund characteristics affecting the level of portfolio cash holdings and index fund performance.

Results show that index funds holding higher levels of cash and cash equivalents performed significantly worse than their low-cash counterparts. This evidence remains even after considering different sub-periods and bullish and bearish market conditions and controlling for fund expenses and other variables that could drive this cash-performance relationship.

This study expands the extant literature analyzing cash management in the mutual fund industry. More specifically, the analyses focus on index fund portfolios that replicate a specific benchmark, given that their performance differences should not be related to the market evolution but to the factors derived from the fund management and other exogenous issues. These findings are of interest to managers and investors willing to improve their risk-adjusted returns while investing as diversified as a stock market index.

El objetivo de este estudio es analizar la relación existente entre la gestión de efectivo y el desempeño consiguiente en las carteras de fondos de inversión indexados.

Utilizando una muestra de 104 fondos que replican el índice bursátil Standard and Poor's 500 desde enero de 1999 hasta diciembre de 2016, se emplean carteras hipotéticas que invierten en fondos similares y diferentes análisis de regresión para analizar las diferencias en las rentabilidades ajustadas mensuales entre fondos indexados que gestionan diferentes niveles de efectivo en sus carteras. Por motivos de robustez, se tienen en cuenta diversos subperiodos y estados de mercado, así como otros factores exógenos y características de los fondos que afectan tanto al nivel de efectivo mantenido en la cartera indexada como al desempeño de la misma.

Los resultados muestran que los fondos indexados que gestionan niveles de efectivo más elevados experimentan un desempeño significativamente menor que otros fondos comparables que mantienen menores porcentajes de efectivo en sus carteras de inversión. Se obtiene una evidencia similar tras considerar diferentes subperiodos y momentos alcistas y bajistas de mercado, así como al considerar los gastos propios de cada fondo y otras variables que podrían afectar esta relación entre el rendimiento y el efectivo gestionado.

Este estudio contribuye a la literatura existente que analiza la gestión de efectivo en la industria de fondos de inversión. Más específicamente, los análisis se centran en carteras de fondos que replican un índice bursátil específico, dado que las diferencias en sus rendimientos en este tipo de fondos no deberían originarse por la evolución del mercado, sino a causa de factores relacionados con la gestión de sus carteras y otros componentes exógenos al índice bursátil. Estos hallazgos son de interés para gestores e inversores que pretendan mejorar sus rentabilidades ajustadas al invertir mediante una estrategia tan diversificada como un índice bursátil.

The purpose of this paper is to introduce a non‐normality premium (NNP) to identify the extra return that will compensate an investor for a non‐normal return distribution. The NNP quantifies the economic significance of non‐normality to complement a statistical significance test of non‐normality, such as the Jarque‐Bera test.

The NNP is patterned after the risk premium, the amount that compensates an investor for the risk of an investment. The theoretical NNP is examined on the margins with Taylor series approximation and applied to hedge fund data.

An increase of 1 in the skewness has the same effect on an investor as an increase in the mean of 2.5 basis points per month. An increase of 1 in the kurtosis has the same effect on an investor as a decrease in the mean of 0.15 basis points per month. A sample of 716 hedge funds revealed that while 72 per cent statistically reject normality, only 29 per cent require more than a single basis point per month difference in the mean to compenscate an investor for the non‐normality.

The NNP allows for a valuation on the higher moments (skewness and kurtosis) of an investor's return distribution. The evaluation is tailored to the individual through use of a utility function. Once applied to an alternative investment vehicle, it is learned that rejecting normality is not sufficient grounds to suspect that the non‐normality is important to investors.

This paper analyses whether the active management and the fundamentals of the pension fund allow products that beat their peers to be identified in terms of risk-adjusted performance.

The sample is composed of all the pension funds active in the period 2000 to 2017 investing in the Eurozone. What this means is that a greater similarity is guaranteed in terms of benchmark, assets available for investment and currency. All the data have been retrieved from the Morningstar Direct database.

The paper reveals that the degree of concentration and value for money are important determinants of performance. In this sense, the strategies of investing in concentrated portfolios that differ from the benchmark and with undervalued assets in terms of price earnings ratio (PER)-return on assets (ROA) achieve better results.

This is one of the few papers that shows the effect of active management and value investing strategies’ on the performance of pension funds.

本文旨在分析、我們能否根據退休基金的積極管理及其基本原理, 找到就風險調整表現而言之最優勝產品.

我們的樣本包括於2000年至2017年期間活躍於歐元區內投資活動的所有退休基金。這意味著、樣本確保了相關之退休基金就基準、可供投資的資產及貨幣而言、均擁有較大的相似性。所有數據均從晨星基金資料庫檢索得來的。.

本文顯示、集中程度和價值比率是決定表現的重要因素。在這個意義上說，如投資在與基準不同的及附有就本益比 – 資產收益率 (PER - ROA) 而言被低估的資產的那些集中投資組合上, 這會是效果較佳的策略.

探討積極管理和價值投資策略如何影響退休基金表現的學術研究為數不多, 本文乃屬這類研究。.

The purpose of this paper is to propose that simple measures of linear association are unable to capture accurately the dependence between the survival of hedge funds and funds of funds, respectively. The paper then aims to advocate the use of copulas to model the joint survival of hedge funds and funds of funds managed by the same manager.

The paper uses both a one‐step approach where the margins and the copula parameters are estimated jointly, and a two‐step approach where the margins are fitted first and the copula parameter is estimated thereafter given the fixed margins. The margins are estimated non‐parametrically, semi‐parametrically, and parametrically, respectively.

First, the paper finds that Kendall's tau and Spearman's rho are anywhere between three and eight times larger than the corresponding sample based measures when various families of copulas are employed. Second, additional tests show that the two survival functions are strongly dependent, with the degree of nonlinear association increasing in the lower left quadrant.

This is the first paper to use copulas to model the joint survival of hedge funds and funds of funds. The results highlight the asymmetric dependence between hedge funds and funds of funds, which has implications for risk management practices.