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Mokoma, Kaibe. "Strategic asset selection taxonomy : fund of hedge funds." Master's thesis, University of Cape Town, 2010. http://hdl.handle.net/11427/9037.
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Includes bibliographical references (leaves 68-70).This thesis develops a logical methodology to be used to assess the hedge fund managers' return time series in comparison with their peers. This enables Fund of Hedge Funds portfolio manager to identify those with required factors to be included in a portfolio. The models that had been used as the industry standard for some time are derived on the assumption of normal distribution. Hence they use only mean and standard deviation to explain all data phenomenal attributes of time series. This study project uses higher order moments and some performance measures to rank order feasible portfolios of different hedge fund strategies based on their calculated metrics. Then determine the significance of t-Statistics, thus to observe the likelihood of achieving a particular return level relative to the downside associated with that target return and also on the behavioral hypothesis that investors prefer more to less. The study proposes and examines an alternative performance measures to facilitate the investment decision making. An indication of how this may be applied across a broad range of problems in hedge funds analysis. Some performance measures capture the higher order moments of the return distributions. This method makes intuitive sense since one of the key mandates of the hedge funds is to seek to capture most upside while protecting against downside.
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Alkassim, Faisal A. "Mutual fund performance : evidence of stock selection and market timing ability from Islamic mutual funds." Thesis, Bangor University, 2009. https://research.bangor.ac.uk/portal/en/theses/mutual-fund-performance--evidence-of-stock-selection-and-market-timing-ability-from-islamic-mutual-funds(ba6af4b3-4564-4fb3-897e-1868118f8ef6).html.
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The main objective of this thesis is to provide a detailed analysis of the performance of mutual funds with particular focus on Islamic funds. Studies that review the performance of Islamic funds are rare although there has been a significant growth in the number and assets in recent years. The average annual growth in the number of Islamic funds amounted to 18% and the average annual growth in total assets of such funds came to 42% between the year 2005 and 2006 according to Failaka International. In this thesis we use four stock selection models and three market timing models to evaluate the performance on a sample of Islamic mutual funds over the period 2000 and 2006 using weekly returns. Overall, the results from the performance study of Islamic mutual funds indicate that there is underperformance in terms of stock selection ability. Thus, there is a lack of market timing ability. In consequence, we test for robustness in market timing results by adopting a conditional market timing model similar to Prather and Middleton (2006) and Cuthbertson, Nitzsche, and O'Sullivan (2006). However, we arrive at negative conditional market timing results. Moreover, we test for evidence of performance persistence for Islamic mutual funds and the results suggest that there is evidence of negative performance persistence.
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Cuonz, Jan. "Allokation zwischen Traditional und Alternative Investments." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05606744001/$FILE/05606744001.pdf.
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Hügli, Martin. "Cash Value at-Risk Implications for Portfolio Management /." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01651066002/$FILE/01651066002.pdf.
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Ul, Haq Imtiaz. "Investor behaviour in the mutual fund industry." Thesis, University of Manchester, 2013. https://www.research.manchester.ac.uk/portal/en/theses/investor-behaviour-in-the-mutual-fund-industry(28b26d3a-fcf8-4010-92ca-49a802449891).html.
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This thesis is an attempt to advance our understanding of investor behaviour in one of the world’s largest markets, i.e. the mutual fund industry. It consists of three essays that answer the following questions: Does investor fund-selection ability explain the impressive growth of the U.K. mutual fund industry? Does the behaviour of U.S. mutual fund investors vary across the business cycle? And, how do investors react to U.S. mutual fund name changes? The first essay explores the role of investor fund-selection ability in explaining the growth of the mutual fund industry given that previous studies find that mutual funds underperform their benchmarks on average. I examine such ability in the context of the remarkable growth experienced by U.K. mutual funds during the decade of 2000-2010. Using three alternative measures of selection ability and two for performance measurement, I find that fund-selection ability is explained away by the momentum factor due to investors naively chasing recent winners. In addition, this essay is the first to examine the impact of fund visibility on selection ability. I find that fund visibility is an important factor in the investment decision-making process, and one that fund managers can potentially manipulate to their advantage. The second essay is motivated by recent findings that benchmark-adjusted returns to the fund industry are positive in periods of economic contractions. Previous literature is silent on investor behaviour in the face of superior average returns. This essay fills the gap in literature by examining investor’s fund-selection ability across the business cycle. I examine U.S. fund data from 1970-2011 and find that while genuine selection ability does not exist in any period, investors do behave differently across the business cycle. Specifically, investors no longer chase recent winners during contractions, despite no change in fund performance consistency. Instead, I find that investors are more concerned about controlling their risk exposure, especially to the market, during periods of economic downturn. The third essay examines investor reactions to U.S. mutual fund name changes, following the adoption of a new SEC ruling in 2001 to curtail misleading names. We uncover striking evidence that funds continue to undertake cosmetic name changes, and that such changes appear to mislead investors. I find that investors react more positively to cosmetic name changes than non-cosmetic ones. This result is not driven by marketing efforts. Instead, further examination reveals that this arises because cosmetic name changes frequently include industry ‘buzzwords’ in the new name, a tactic that is rewarded with higher flows to such funds. I also find that additional name changes by a fund continue to attract significant flows, although the magnitude of the flows decreases over each successive event. This essay provides compelling evidence in favour of investor irrationality and has implications for both practitioners and academics.
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Louivion, Simon, and Edward Sikorski. "A Three-Pronged Sustainability-Oriented Markowitz Model : Disruption in the fund selection process?" Thesis, KTH, Skolan för industriell teknik och management (ITM), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-264122.
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Since the term ESG was coined in 2005, the growth of sustainable investments has outpaced the overall asset management industry. A lot of research has been done with regards to the link between sustainability and financial performance, despite the fact that there is a lack of transparency in sustainability of listed companies. This thesis breaks down the word sustainability into two di↵erent categories, and in turn eleven di↵erent parameters. The result is the term Q score which represents a company’s sustainability. The purpose is to increase transparency in the fund selection process for asset managers. Further, a multiobjective optimization problem is solved to analyze the relationships between return, risk and sustainability. The main subject is that accommodating sustainability as a third parameter in addition to return and risk modifies the fund selection process. The result indicates that the relationships between sustainability, return and risk follow the ecient market hypothesis, implying that an investor would have to sacrifice risk and return in order to achieve higher sustainability. With that said, the results indicated that the sacrifice is relatively small, and that there are a number of sustainable portfolios that perform well. Moving on, the reporting of ESG company data is still lacking. For this reason, this master thesis acts as a precursor for any future development within the field.Sedan termen ESG utvecklades år 2005, har tillväxten av hållbara investeringar vuxit snabbare än den generella förvaltningsindustrin. Mycket forskning har gjorts kring hållbarhet kopplat till finansiell avkastning, men trots detta saknas det fortfarande en transparens rådande hållbarhet av noterade bolag. Detta examensarbete bryter ned termen hållbarhet till två kategorier, vilket i sin tur bryts ner till elva kvantifierbara parametrar. Resultatet blir ett så kallat Q score, som är ett värde på ett företags hållbarhet. Syftet med arbetet är att öka transparensen av fonders hållbarhetsarbete. Vidare löses ett optimeringsproblem med tre parametrar för att undersöka förållandena mellan avkastning, risk och hållbarhet. Resultatet indikerar att dessa förhållanden följer hypotesen om effektiva marknader, vilket innebär att en investerare måste offra avkastning och risk för att uppnå en mer hållbar portfölj. Med det sagt, indikererar resultatet att en investerare inte behöver offra mycket inom avkastning för att uppnå en hållbar portfölj. Vidare kvarstår det mycket arbete inom rapporteringen av ESG data på företagsnivå. Av detta skäl anses detta examensarbete vara en föregångare innan datan utvecklas vidare.
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Li, Chenlu. "Structural breaks in hedge fund performance and foreign exchange liquidity." Thesis, Loughborough University, 2017. https://dspace.lboro.ac.uk/2134/27065.
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Hedge fund managers are characterised as either market timers or asset pickers . Their superior performance can be attributed to either timing skill, selection ability or a combination of both. In the existing literature, average hedge fund performance across the entire time span under investigation is usually investigated and measured, and hence, potentially certain subtle but important features exhibited in different time periods can be averaged out in the analysis. This thesis investigates the structural breaks in the selection ability and timing skill of hedge fund managers. This research issue is of particular importance when the hedge fund performance before, during and after the recent financial crisis is compared and contrasted. This thesis conducts a structural break analysis of hedge fund managers performance in relation to market-wide liquidity and liquidity commonality in the foreign exchange (FX) market. Liquidity commonality captures the co-movement of individual asset liquidities. The measure adopted in the existing literature has several limitations. This thesis proposes a new measure, termed the Beta Index, which is derived from the time-varying exposure of individual liquidities to market liquidity movements. It is shown that the developed Beta Index is more able to identify the level of liquidity commonality in the FX market. It is also more flexible in measuring commonality with different data sampling frequency. The obtained empirical results have some practical implications. They show that the selection skill and timing ability of hedge fund managers are subject to regime switches. Under severe market conditions, most hedge fund managers possess the skill to time FX market-wide liquidity and are able to reduce losses from the FX market by reducing their funds FX exposure prior to the FX market-wide liquidity deteriorations. In the meantime, most hedge fund managers are able to deliver excess returns from time to time due to their selection ability. However, when sudden shocks of crisis occur, they fail to forecast the unexpected behaviour in the price of individual assets underlying the funds and display unsuccessful selection ability. In addition, the results suggest that many hedge funds are exposed to the FX liquidity commonality risk which impairs hedging strategies and diversification performance.
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Khouchaba, Ninos, and Emilia Svensson. "Optimal portfolio selection and risk-adjusted performance of 51 equity funds available in the Swedish premium pension." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-39881.
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In order to assure a livelihood for the working population after retirement, the national retirement pension was developed. The system is based on 18.5% of each tax-paying worker’s annual salary. The national retirement pension system in Sweden consist of two parts. The first and largest part contributing with 16 percentage points, of the 18.5%, is a defined benefit plan, named the income pension. The second part contributing with 2.5 percentage points, of the 18.5%, is the premium pension, which is a defined contribution plan. The premium pension is the sole part of the national retirement pension controlled by the individual employee, with the opportunity to actively invest in a broad selection of domestic and international funds. Investors not making a choice will be transferred into the governments default fund, named the seventh AP fund. By investing in funds, the premium pension is partly based on each worker’s annual salary but also on the development of the financial market. This thesis has two purposes, the first is to investigate if the default alternative, the seventh AP fund has had a superior risk-adjusted return compared to fifty of the most commonly selected equity funds available in the premium pension selection. The second purpose is to construct portfolios for active investors with different risk-tolerance in order to compare the risk-adjusted return between an investor that has made an active investment in comparison to an investor that has not made an active choice. To conclude, this thesis shows that there are superior funds to select, with regard to risk-adjusted return and risk-exposure, as an alternative to the seventh AP fund. In addition to this, the portfolio construction included in this thesis has proven that active participants can achieve results that are more compatible with their risk preferences in comparison to remaining in the default fund option. However, it is important for investors to remain active and alter their fund selections throughout the years, in order to attain the preferable outcome.
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Yan, W. "New algorithms for evolving robust genetic programming solutions in dynamic environments with a real world case study in hedge fund stock selection." Thesis, University College London (University of London), 2012. http://discovery.ucl.ac.uk/1380128/.
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This thesis presents three new genetic programming (GP) algorithms designed to enhance robustness of solutions evolved in highly dynamic environments and investigates the application of the new algorithms to financial time series analysis. The research is motivated by the following thesis question: what are viable strategies to enhance the robustness of GP individuals when the environment of a task being optimized or learned by a GP system is characterized by large, rapid, frequent and low-predictability changes? The vast majority of existing techniques aim to track dynamics of optima in very simple dynamic environments. But the research area in improving robustness in dynamic environments characterized by large, frequent and unpredictable changes is not yet widely explored. The three new algorithms were designed specifically to evolve robust solutions in these environments. The first algorithm ‘behavioural diversity preservation’ is a novel diversity preservation technique. The algorithm evolves more robust solutions by preserving population phenotypic diversity through the reduction of their behavioural intercorrelation and the promotion of individuals with unique behaviour. The second algorithm ‘multiple-scenario training’ is a novel population training and evaluation technique. The algorithm evolves more robust solutions by training a population simultaneously across a set of pre-constructed environment scenarios and by using a ‘consistency-adjusted’ fitness measure to favour individuals performing well across the entire range of environment scenarios. The third algorithm ‘committee voting’ is a novel ‘final solution’ selection technique. The algorithm enhances robustness by breaking away from ‘best-of-run’ tradition, creating a solution based on a majority-voting committee structure consisting of individuals evolved in a range of diverse environmental dynamics. The thesis introduces a comprehensive real-world case application for the evaluation experiments. The case is a hedge fund stock selection application for a typical long-short marketneutral equity strategy in the Malaysian stock market. The underlying technology of the stock selection system is GP which assists to select stocks by exploiting the underlying nonlinear relationship between diverse ranges of influencing factors. The three proposed algorithms are all applied to this case study during evaluation. The results of experiments based on the case study demonstrate that all three new algo-rithms overwhelmingly outperform canonical GP in two aspects of the robustness criteria and conclude they are viable strategies for improving robustness of GP individuals when the environment of a task being optimized or learned by a GP system is characterized by large, sudden, frequent and unpredictable changes.
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Morrell, Guy D. "Portfolio construction in the UK property market : an investigation of the relative importance of fund structure and stock selection in explaining performance." Thesis, University of Reading, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.250718.
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Bylund, Anna, and Jennie Pettersson. "Premiepensionen : ger ett aktivt val en högre pension?" Thesis, University of Gävle, Department of Business Administration and Economics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-4615.
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Syftet med denna uppsats är att undersöka huruvida en aktiv individ får högre framtida pensionsutbetalningar än en individ som låter kapitalet vara kvar i Premiesparfonden.
Vår undersökning har en deduktiv ansats, då ekonomiska teorier har utgjort grunden för de beräkningar som har gjorts. Beräkningarna bygger på hårddata, i form av historiska fondvärden, och studien är därmed kvantitativ. Tidigare undersökningar och beräkningar används för att styrka uppsatsen, som i och med detta är en sekundäranalys.
Den placeringsstrategi som visade sig ge högst framtida utbetalningar med hänsyn tagen till risken var den aktiva placeringen. De portföljer som de aktiva premiepensionstagarna har att välja mellan i vår studie, ger alla högre framtida utbetalningar än Premiesparfonden. Vidare kan tilläggas att Premiesparfonden är ett av alternativen som har för hög risk i förhållande till dess låga avkastning.
Det skulle vara intressant att om några år, då Premiespar-fonden har förändrats till generationsfonder, göra om denna studie och då undersöka om detta leder till högre pensionsutbetalningar för de icke-aktiva premiepensionstagarna.
Denna studie bidrar med och stärker, genom konkreta exempel, det som en del andra författare redan påpekat, att de icke- aktiva premiepensionsspararna får lägre framtida utbetalningar än de som är aktiva i sitt sparande.
The aim of this thesis is to compare if being an active premium pension saver give rise to higher future payments, than keeping the capital in the Premium Savings Fund.
This essay has a deductive approach, as we started to study financial theories. It also has a quantitative research, since our calculations are called statistical data, which are composed of these financial theories. Previous studies and calculations are used to prove our essay.
The best investment strategy with the highest future payments, regarding risk preferences, turned out to be the active choice. All the choices an active premium pension saver can make by choose one of our different portfolios, has proved higher future payments, than The Premium Pension Fund. Further, the Premium Savings Fund is one of alternatives which have a lower return, regarding to the high level of risk.
It would be interesting to remake this study, when the new funds "generationsfonderna" has been introduced, and to see if this alternative leads to higher future payments.
This study contributes, through substantial examples, what some other writers already have done. A non-active premium pension saver gets lower future payments then the active savers.
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Silva, Ana Paula Alves. "Heteromorfismo cromossômico em populações de Geophagus brasiliensis (Quoy & Gaimard, 1824) (Teleostei: Cichlidae) da bacia do Rio Doce, Brasil." Universidade Federal de Viçosa, 2012. http://locus.ufv.br/handle/123456789/4773.
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Karyological analysis of Geophagus brasiliensis (Quoy and Gaimard, 1824) was performed on 81 specimens from six localities, three geologically recent lakes and three stream collection sites. Techniques included conventional staining with Giemsa, NOR banding, C-banding and in situ hybridization (FISH) with 5S rDNA and 18s rDNA probes. The diploid number was 2n = 48 chromosomes, and fundamental number varied between 50-52. We observed four different karyotypes, based on heteromorphisms presented by the first chromosome pair and were not related to sex, NOR location or collection site. This heteromorphism is related to differences in the ratio arms, which led to variations in the karyotypic formulae (3sm +18 st +26 t; 2sm +20 st +26 t; 4sm +18 st +26 t). This heteromorphism may be related to chromosome rearrangements, such as pericentromeric inversions, deletions, and unequal crossing-over, which together with other processes, such as Muller s ratchet, background selection and dosage compensation caused size alterations in some chromosomes. The number of NORs varied within and between specimens, however most individuals had NOR bands in more than one chromosome pair, a distinctive feature of the Doce River populations. The 18S rDNA probe confirmed the presence of NORs in more than two chromosomes. The location of the 5S rDNA probe remained conserved in all samples, marking a pair of chromosomes. The heterochromatin blocks occurred predominantly in the centromeric / pericentromeric chromosomes, and this a characteristic of the Cichlidae family. Heterochromatin blocks in interstitial regions were observed in two pairs of chromosomes. The presence of two subtelocentric chromosomes, with fully heterochromatic small arms is a diagnostic feature of the populations of the Doce River Basin. We conclude that the populations of G. brasiliensis of the Rio Doce Basin present unique characteristics, as evidenced by four configurations of the first pair of chromosomes and different results obtained by banding techniques. Results suggest differential viability of the chromosomal variations described in this study.
A análise cariotípica de Geophagus brasiliensis (Quoy & Gaimard, 1824) foi realizada em 81 espécimes de seis localidades da bacia do rio Doce. Foram usadas as técnicas de coloração convencional com Giemsa, bandeamento NORs, bandeamento C e hibridização in situ (FISH) com sondas rDNA 18s e rDNA 5S. O número diplóide foi de 2n=48 cromossomos, com variação do número fundamental entre 50-52. Foram observados quatro diferentes cariótipos, com base em heteromorfismos apresentados pelo primeiro par cromossômico e não foram associados ao sexo, à NOR nem ao local de coleta. Esse heteromorfismo está relacionado com diferenças de razão de braços, o que acarretou variações nas fórmulas cariotípicas encontradas (3sm+18st+26t; 2sm+20st+26t; 4sm+18st+26t). Este heteromorfismo pode estar relacionado com rearranjos cromossômicos, como inversões pericentroméricas, deleções, e crossing-over desiguais, as quais, associadas a outros processos, como catraca de Muller, seleção de fundo e compensação de dosagem, determinaram a alteração do tamanho de alguns cromossomos. O número de NORs observadas teve variações intra e inter-individuais, contudo a maioria dos indivíduos apresentou marcações em mais de um par cromossômico, uma característica única das populações de G. brasiliensis da bacia do rio Doce. A sonda de rDNA 18S confirmou a presença de NORs em mais de dois cromossomos. A localização da sonda de rDNA 5S manteve-se conservada em todas as amostras, marcando par de cromossomos telocêntricos. Os blocos de heterocromatina ocorreram predominantemente nas regiões centroméricas/pericentromérica, sendo essa uma característica da família Cichlidae. Blocos de heterocromatina em regiões intersticiais foram observados em dois pares de cromossomos. A presença de dois subtelocêntricos apresentando seus braços menores totalmente heterocromáticos é uma característica diagnóstica das populações da bacia do rio Doce. Conclui-se que as populações de G. brasiliensis da bacia do rio Doce apresentam A análise cariotípica de Geophagus brasiliensis (Quoy & Gaimard, 1824) foi realizada em 81 espécimes de seis localidades da bacia do rio Doce. Foram usadas as técnicas de coloração convencional com Giemsa, bandeamento NORs, bandeamento C e hibridização in situ (FISH) com sondas rDNA 18s e rDNA 5S. O número diplóide foi de 2n=48 cromossomos, com variação do número fundamental entre 50-52. Foram observados quatro diferentes cariótipos, com base em heteromorfismos apresentados pelo primeiro par cromossômico e não foram associados ao sexo, à NOR nem ao local de coleta. Esse heteromorfismo está relacionado com diferenças de razão de braços, o que acarretou variações nas fórmulas cariotípicas encontradas (3sm+18st+26t; 2sm+20st+26t; 4sm+18st+26t). Este heteromorfismo pode estar relacionado com rearranjos cromossômicos, como inversões pericentroméricas, deleções, e crossing-over desiguais, as quais, associadas a outros processos, como catraca de Muller, seleção de fundo e compensação de dosagem, determinaram a alteração do tamanho de alguns cromossomos. O número de NORs observadas teve variações intra e inter-individuais, contudo a maioria dos indivíduos apresentou marcações em mais de um par cromossômico, uma característica única das populações de G. brasiliensis da bacia do rio Doce. A sonda de rDNA 18S confirmou a presença de NORs em mais de dois cromossomos. A localização da sonda de rDNA 5S manteve-se conservada em todas as amostras, marcando par de cromossomos telocêntricos. Os blocos de heterocromatina ocorreram predominantemente nas regiões centroméricas / pericentromérica, sendo essa uma característica da família Cichlidae. Blocos de heterocromatina em regiões intersticiais foram observados em dois pares de cromossomos. A presença de dois subtelocêntricos apresentando seus braços menores totalmente heterocromáticos é uma característica diagnóstica das populações da bacia do rio Doce. Conclui-se que as populações de G. brasiliensis da bacia do rio Doce apresentam características únicas, associadas à existência de quatro configurações do primeiro par cromossômico e aos diferentes resultados obtidas nas técnicas de bandeamento realizadas. Os resultados também sugerem uma viabilidade diferenciada das variáveis cromossômicas descritas nesse trabalho.
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Cotrim, Felipe Mascarenhas. "Um estudo sobre a capacidade de gestores de fundos multigestor adicionarem valor aos cotistas." reponame:Repositório Institucional do FGV, 2012. http://hdl.handle.net/10438/13475.
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With lhe increase of lhe number of assei managers and an even larger a number of investments alternatives in lhe Brazilian hedge fund industry, Fund of Hedge Funds became an alternative for investors planning to diversify their investments through financiai specialists. The intention of this study is to evaluate lhe capacity of Brazilian Funds of Hedge Funds (FoHF), classified as Multimercados Multigestor, to generate abnormal returns (alpha). For this porpoise we studied a sample of 1421 Fund of Hedg Funds between January of 2005 and December of 2011. The results of multi-factor model regressions, derived from Jensen's model (1968), suggest that only 3.03% of lhe funds in lhe sample can add value. The three main potential sources of alpha generalion in Funds of Hedge Funds come from lhe strategic allocation of lhe portfolios, lhe anticipation of market movements (market timing) and lhe capacity of FoHF managers to select lhe best assei managers in lhe industry to com pose its portfolio (fund selection). To evaluate lhe Brazilian FoHF manager's ability to anticipate market movements we included quadratic terms in lhe multi-factor models, as proposed by Treynor and Mazuy (1966). The results showed lha! managers, on average, could not add value by market timing. To evaluate lhe strategic allocation ability and lhe fund's selection abilities, we created a new variable with lhe information about lhe asseis in lhe porlfolio of each fund in lhe sample in every different month. The tests indicated that FoHF managers, on average, could no! add value by selecting lhe best managers, but lhe strategic allocation ability showed a positive contribution to FoHF's return. We also studied lhe alpha generation capacity before costs. lt raised lhe percentage of funds with positive alpha to 6.39% of lhe funds in lhe sample, but it was no! able to change lhe signal of lhe average alpha, lha! remained nega tive.
Com o aumento do número de gestores especializados em um número cada vez maior de possibilidades de investimentos na indústria de fundos brasileira, os fundos Multigestor se tornaram uma alternativa para os investidores que procuram diversificar seus investimentos e delegam às instituições financeiras o trabalho de alocar os recursos dentro das diferentes estratégias e fundos existentes no mercado. O intuito deste estudo é avaliar a capacidade de gerar retornos anormais (alfa) dos fundos de fundos da indústria brasileira, classificados como Fundos Multimercados Multigestor. Para isso foi estudada uma amostra com 1.421 fundos Multigestor com tributação de Longo Prazo no período de janeiro de 2005 a dezembro de 2011. A análise dos resultados encontrados através de regressões de modelos de vários fatores, derivados do modelo de Jensen (1968), sugere que apenas 3,03% dos fundos estudados conseguem adicionar valor a seus cotistas. Foram estudadas ainda as três principais fontes potenciais de geração de alfa dos fundos de fundos, a escolha das estratégias que compõe a carteira do fundo (alocação estratégica), a antecipação de movimentos de mercado (market timing) e a capacidade selecionar os melhores fundos dentro de cada estratégia (seleção de fundos). A partir da inclusão de termos quadráticos, conforme proposto pelos modelos de Treynor e Mazuy (1966) pode-se verificar que os fundos Multigestor, em média, não conseguem adicionar valor tentando antecipar movimentos de mercado (market timing). Através da construção de uma variável explicativa com a composição estratégica de cada fundo da amostra em cada período de tempo, pode-se verificar que os gestores de fundos de fundos, em média, também fracassam ao tentar selecionar os melhores fundos/gestores da indústria. Já a escolha das estratégias que compõe a carteira do fundo (alocação estratégica) mostrou contribuir positivamente para o retorno dos fundos. Ainda foi avaliada a capacidade de gerar alfa antes dos custos, o que elevou o percentual de fundos com alfa positivo para 6,39% dos fundos estudados, mas foi incapaz de alterar o sinal do alfa médio, que permaneceu negativo.
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Nolte, Diana. "Hedge-Fonds im Portfolio von Privatinvestoren Konsequenzen für die Anlageberatung." Lohmar Köln Eul, 2009. http://d-nb.info/997753331/04.
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Schiller, Benjamin, Clemens Deusser, Jeronimo Castrillon, and Thorsten Strufe. "Compile- and run-time approaches for the selection of efficient data structures for dynamic graph analysis." Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2017. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-214219.
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Graphs are used to model a wide range of systems from different disciplines including social network analysis, biology, and big data processing. When analyzing these constantly changing dynamic graphs at a high frequency, performance is the main concern. Depending on the graph size and structure, update frequency, and read accesses of the analysis, the use of different data structures can yield great performance variations. Even for expert programmers, it is not always obvious, which data structure is the best choice for a given scenario.
In previous work, we presented an approach for handling the selection of the most efficient data structures automatically using a compile-time approach well-suited for constant workloads.
We extend this work with a measurement study of seven data structures and use the results to fit actual cost estimation functions. In addition, we evaluate our approach for the computations of seven different graph metrics. In analyses of real-world dynamic graphs with a constant workload, our approach achieves a speedup of up to 5.4× compared to basic data structure configurations.
Such a compile-time based approach cannot yield optimal results when the behavior of the system changes later and the workload becomes non-constant. To close this gap we present a run-time approach which provides live profiling and facilitates automatic exchanges of data structures during execution. We analyze the performance of this approach using an artificial, non-constant workload where our approach achieves speedups of up to 7.3× compared to basic configurations.
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Schiller, Benjamin, Clemens Deusser, Jeronimo Castrillon, and Thorsten Strufe. "Compile- and run-time approaches for the selection of efficient data structures for dynamic graph analysis." Springer International Publishing, 2016. https://tud.qucosa.de/id/qucosa%3A29974.
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Graphs are used to model a wide range of systems from different disciplines including social network analysis, biology, and big data processing. When analyzing these constantly changing dynamic graphs at a high frequency, performance is the main concern. Depending on the graph size and structure, update frequency, and read accesses of the analysis, the use of different data structures can yield great performance variations. Even for expert programmers, it is not always obvious, which data structure is the best choice for a given scenario.
In previous work, we presented an approach for handling the selection of the most efficient data structures automatically using a compile-time approach well-suited for constant workloads.
We extend this work with a measurement study of seven data structures and use the results to fit actual cost estimation functions. In addition, we evaluate our approach for the computations of seven different graph metrics. In analyses of real-world dynamic graphs with a constant workload, our approach achieves a speedup of up to 5.4× compared to basic data structure configurations.
Such a compile-time based approach cannot yield optimal results when the behavior of the system changes later and the workload becomes non-constant. To close this gap we present a run-time approach which provides live profiling and facilitates automatic exchanges of data structures during execution. We analyze the performance of this approach using an artificial, non-constant workload where our approach achieves speedups of up to 7.3× compared to basic configurations.
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Schulze, Felix, Deeksha Malhan, Khassawna Thaqif El, Christian Heiss, Anja Seckinger, Dirk Hose, and Angela Rösen-Wolff. "A tissue-based approach to selection of reference genes for quantitative real-time PCR in a sheep osteoporosis model." Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2018. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-232280.
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BACKGROUND:
In order to better understand the multifactorial nature of osteoporosis, animal models are utilized and compared to healthy controls. Female sheep are well established as a model for osteoporosis induced by ovariectomy, calcium and vitamin D low diet, application of steroids, or a combination of these treatments. Transcriptional studies can be performed by applying quantitative real time PCR (RT-qPCR). RT-qPCR estimates mRNA-levels of target genes in relation to reference genes. A chosen set of reference genes should not show variation under experimental conditions. Currently, no standard reference genes are accepted for all tissue types and experimental conditions. Studies examining reference genes for sheep are rare and only one study described stable reference in mandibular bone. However, this type of bone differs from trabecular bone where most osteoporotic fractures occur. The present study aimed at identifying a set of reference genes for relative quantification of transcriptional activity of ovine spine bone and ovine in vitro differentiated mesenchymal stromal cells (MSC) for reliable comparability.
METHODS:
Twelve candidate reference genes belonging to different functional classes were selected and their expression was measured from cultured ovMSCs (n = 18) and ovine bone samples (n = 16), respectively. RefFinder was used to rank the candidate genes.
RESULTS:
We identified B2M, GAPDH, RPL19 and YWHAZ as the best combination of reference genes for normalization of RT-qPCR results for transcriptional analyses of these ovine samples.
CONCLUSION:
This study demonstrates the importance of applying a set of reference genes for RT-qPCR analysis in sheep. Based on our data we recommend using four identified reference genes for relative quantification of gene expression studies in ovine bone or for in vitro experiments with osteogenically differentiated ovine MSCs.
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Schulze, Felix, Deeksha Malhan, Khassawna Thaqif El, Christian Heiss, Anja Seckinger, Dirk Hose, and Angela Rösen-Wolff. "A tissue-based approach to selection of reference genes for quantitative real-time PCR in a sheep osteoporosis model." BioMed Central, 2017. https://tud.qucosa.de/id/qucosa%3A30735.
Full textAbstract:
BACKGROUND:
In order to better understand the multifactorial nature of osteoporosis, animal models are utilized and compared to healthy controls. Female sheep are well established as a model for osteoporosis induced by ovariectomy, calcium and vitamin D low diet, application of steroids, or a combination of these treatments. Transcriptional studies can be performed by applying quantitative real time PCR (RT-qPCR). RT-qPCR estimates mRNA-levels of target genes in relation to reference genes. A chosen set of reference genes should not show variation under experimental conditions. Currently, no standard reference genes are accepted for all tissue types and experimental conditions. Studies examining reference genes for sheep are rare and only one study described stable reference in mandibular bone. However, this type of bone differs from trabecular bone where most osteoporotic fractures occur. The present study aimed at identifying a set of reference genes for relative quantification of transcriptional activity of ovine spine bone and ovine in vitro differentiated mesenchymal stromal cells (MSC) for reliable comparability.
METHODS:
Twelve candidate reference genes belonging to different functional classes were selected and their expression was measured from cultured ovMSCs (n = 18) and ovine bone samples (n = 16), respectively. RefFinder was used to rank the candidate genes.
RESULTS:
We identified B2M, GAPDH, RPL19 and YWHAZ as the best combination of reference genes for normalization of RT-qPCR results for transcriptional analyses of these ovine samples.
CONCLUSION:
This study demonstrates the importance of applying a set of reference genes for RT-qPCR analysis in sheep. Based on our data we recommend using four identified reference genes for relative quantification of gene expression studies in ovine bone or for in vitro experiments with osteogenically differentiated ovine MSCs.
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Dubinovičius, Ruslanas. "II pakopos pensijų fondų investicijų grąžos vertinimas verslo cikluose." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2014. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2014~D_20140603_135620-41700.
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Magistro baigiamajame darbe išanalizuoti ir įvertinti Lietuvos II pakopos pensijų fondų investicijų grąžos pokyčiai verslo cikluose, iškelta fondo pasirinkimo problema bei pateikti siūlymai kaip šią problemą spręsti pensijų fondų dalyviams. Pirmoje darbo dalyje teoriniu aspektu analizuojama Lietuvos pensijų sistema, pateikiami teigiami ir neigiami kaupiamųjų fondų aspektai ir pateikiama verslo ciklų samprata. Antroje dalyje atliekama II pakopos pensijų fondų metinėse ataskaitose skelbiamų rodiklių analizė, nagrinėjami dažniausiai mokslinėje literatūroje sutinkami pensijų fondų vertinimo metodai bei pateikiamas darbo tyrimo modelis ir apibrėžiama darbo eiga. Trečioje dalyje pateikiama trumpa 2013 metų pabaigoje veiklą vykdžiusių II pakopos pensijų fondų apžvalga ir panaudojant Šarpo metodiką bei kitus pagrindinius fondų vertinimo kriterijus yra atrenkami efektyviausiai valdomi skirtingų strategijų pensijų fondai. Identifikavus verslo ciklus Lietuvoje, atliekama efektyviausiai valdomų skirtingų strategijų pensijų fondų investicijų grąžos analizė kiekvienoje verslo ciklo fazėje. Atliekama techninė analizė ir sudaromos tiesinės daugianarės regresijos lygtys, naudojamos prognozuoti investicijų grąžos pokyčius remiantis faktiniais fondų apskaitos vienetų vertės pokyčiais ir makroekonominiais rodikliais.Master's Work analyzed and evaluated Lithuanian pillar II pension funds return on investment changes in business cycles, a series of suggestions is given for pension funds participants how to solve the problem of pension fund selection. The first part examines theoretical aspect of Lithuanian pension system, an overview of its positive and negative aspects and defined concept of business cycles. In second section analyzed indicators provided in the annual reports of pillar II pension funds, mostly encountered pension fund valuation methods in the scientific literature and workflow is defined. The third part present short review of Lithuanian pillar II pension funds which operated in 2013 and using Sharpe methodology and other most important valuation methods are selected efficiently managed by different strategies of pension funds. After identification of the business cycles in Lithuania, carried out in most effectively managed, by different strategies of pension funds, the return on investment analysis for each phase of the business cycle Technical analysis and the straight multiple regression equations used to predict changes in investment return based on the actual value of the fund units of accounting changes and macroeconomic indicators.
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Piccioni, Junior João Luiz. "Preferências de ações de gestores de fundos mútuos estrangeiros na América Latina." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/8562.
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In this paper, we observe the preferential characteristics of Foreign Mutual Fund Managers when investing in Latin America. The main objective was checking the hypothesis that those managers prefer companies with characteristics that amplifies its visibility, in other words, that reduces information asymmetry, a possible explanation for the existence of home bias. For this purpose, we observe mutual funds positions based on shareholders lists of the companies listed at the stock exchanges of the countries of the sample in three different periods (June 2008, 2009 and 2010). The results show that this class of investors prefers companies’ attributes that amplify their contact with international markets, like international listing, bigger analyst coverage and being part of exporter sectors, reinforcing the idea that information asymmetry reduces the ability of asset selection and, therefore, justifying home bias theory. The study also compare preferences of foreign fund managers with domestic ones, located in Latin America, and shows evidence that home basis fund managers expand their portfolio towards a market portfolio, and has different preferences that those observed by foreign fund managers.
Nesse trabalho são observadas as características preferencias dos gestores de fundos mútuos estrangeiros ao selecionar ações na América Latina. O objetivo foi verificar a hipótese de que esses gestores preferem companhias que possuam características que geram grande visibilidade, ou seja, que reduzam a assimetria de informação, uma das possíveis explicações para a existência do home bias. Para isso, foram observadas as posições dos fundos mútuos a partir das listas de acionistas das companhias listadas nas bolsas dos países da amostra em três períodos diferentes (junho de 2008, 2009 e 2010). A análise revela que essa classe de investidores prefere companhias que possuam atributos que ampliem seu contato com mercados internacionais, tais quais, a listagem internacional, maior cobertura de analistas e que façam parte de setores exportadores, reforçando a ideia de que a assimetria de informação reduz a capacidade de seleção de ativos por parte dos participantes de mercado e, portanto, justificando a teoria do home bias. O estudo ainda compara as preferências dos gestores estrangeiros com gestores domiciliados na América Latina e mostra evidências de que os gestores de fundos mútuos domésticos possuem maior dispersão de investimentos nas companhias listadas e, consequentemente, possuem preferências diferentes daquelas observadas para os gestores estrangeiros.
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Bergh, G. "Hedge funds and higher moment portfolio selection." Master's thesis, University of Cape Town, 2005. http://hdl.handle.net/11427/5881.
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Includes bibliographical references.This study confirms the findings of Davies, Kat and Lu (2003) and Feldman, Chen and Goda (2002) that Global Macro and Equity Market-Neutral strategies are crucial constituents in a fund of hedge funds portfolio. When comparing optimised multi-asset class portfolios including an allocation to hedge funds, the results show that meanvariance optimisation overallocates to the hedge fund class on the basis of its high reward to volatility ratio.
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Zhao, Jianghong. "Essays on Mutual Funds." Diss., The University of Arizona, 2006. http://hdl.handle.net/10150/195297.
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The first essay examines the relation between fund performance and stock selection process. I classify mutual funds into two groups according to their distinctive stock selection approaches: tire kickers who rely on fund managers' personal judgment and fundamental analysis to pick stocks, and quant jocks who use computer-based models to select stocks. I examine how the stock selection approach affects mutual fund performance and economies of scale. I document an increasing trend of quantitative techniques used by mutual funds, in addition to some unique characteristics of quant jocks. Quant jocks and tire kickers have similar factor-adjusted alphas, but quant jocks have higher Sharpe ratios. Quant jocks tend to be much smaller than tire kickers. I explore possible explanations for the size difference. I find that although quant jocks can cheaply screen a large universe of stocks, the stocks that quant jocks invest in are smaller and less liquid, which results in higher transaction costs and limited scalability of quantitative investment strategies. The second essay investigates mutual fund managers' private information about future stock returns as revealed in their portfolio holdings. Specifically, we develop three different stock alpha estimators to predict stock returns based on portfolio compositions and past performance of mutual funds. We find that investment strategies based on our stock alpha estimators perform well, when using information on recent fund holdings and fund purchases. This evidence suggests that fund managers' stock selection skills are quite persistent, and vary widely in the cross-section. We also compare our strategies with 12 quantitative investment signals based on market anomalies, and find that our strategies are not subsumed by these quantitative signals. Thus, our stock alpha estimators reflect private skills of active fund managers that are unrelated to known anomalies. Finally, we develop a conditional stock alpha estimator using information on stock characteristics and fund characteristics. Investment strategies based on the conditional stock alphas deliver further improved performance.
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Chen, Xuanjuan. "Three essays on stock selection ability and agency problem of mutual funds /." View online ; access limited to URI, 2005. http://0-wwwlib.umi.com.helin.uri.edu/dissertations/dlnow/3186899.
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Ali, Rania Ahmed Azmi Mohammad. ""Goal programming for portfolio selection with applications to mutual funds"." Thesis, University of Portsmouth, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.516801.
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Bianchi, Robert John. "Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk." Queensland University of Technology, 2007. http://eprints.qut.edu.au/16477/.
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Portfolio selection has a long tradition in financial economics and plays an integral role in investment management. Portfolio selection provides the framework to determine optimal portfolio choice from a universe of available investments. However, the asset weightings from portfolio selection are optimal only if the empirical characteristics of asset returns do not violate the portfolio selection model assumptions. This thesis explores the empirical characteristics of traditional assets and hedge fund returns and examines their effects on the assumptions of linearity-in-the-mean testing and portfolio selection. The encompassing theme of this thesis is the empirical interplay between traditional assets and hedge fund returns. Despite the paucity of hedge fund research, pension funds continue to increase their portfolio allocations to global hedge funds in an effort to pursue higher risk-adjusted returns. This thesis presents three empirical studies which provide positive insights into the relationships between traditional assets and hedge fund returns. The first two empirical studies examine an emerging body of literature which suggests that the relationship between traditional assets and hedge fund returns is non-linear. For mean-variance investors, non-linear asset returns are problematic as they do not satisfy the assumption of linearity required for the covariance matrix in portfolio selection. To examine the linearity assumption as it relates to a mean-variance investor, a hypothesis test approach is employed which investigates the linearity-in-the-mean of traditional assets and hedge funds. The findings from the first two empirical studies reveal that conventional linearity-in-the-mean tests incorrectly conclude that asset returns are nonlinear. We demonstrate that the empirical characteristics of heteroscedasticity and autocorrelation in asset returns are the primary sources of test mis-specification in these linearity-in-the-mean hypothesis tests. To address this problem, an innovative approach is proposed to control heteroscedasticity and autocorrelation in the underlying tests and it is shown that traditional assets and hedge funds are indeed linear-in-the-mean. The third and final study of this thesis explores traditional assets and hedge funds in a portfolio selection framework. Following the theme of the previous two studies, the effects of heteroscedasticity and autocorrelation are examined in the portfolio selection context. The characteristics of serial correlation in bond and hedge fund returns are shown to cause a downward bias in the second sample moment. This thesis proposes two methods to control for this effect and it is shown that autocorrelation induces an overallocation to bonds and hedge funds. Whilst heteroscedasticity cannot be directly examined in portfolio selection, empirical evidence suggests that heteroscedastic events (such as those that occurred in August 1998) translate into the empirical feature known as tail-risk. The effects of tail-risk are examined by comparing the portfolio decisions of mean-variance analysis (MVA) versus mean-conditional value at risk (M-CVaR) investors. The findings reveal that the volatility of returns in a MVA portfolio decreases when hedge funds are included in the investment opportunity set. However, the reduction in the volatility of portfolio returns comes at a cost of undesirable third and fourth moments. Furthermore, it is shown that investors with M-CVaR preferences exhibit a decreasing demand for hedge funds as their aversion for tail-risk increases. The results of the thesis highlight the sensitivities of linearity tests and portfolio selection to the empirical features of heteroscedasticity, autocorrelation and tail-risk. This thesis contributes to the literature by providing refinements to these frameworks which allow improved inferences to be made when hedge funds are examined in linearity and portfolio selection settings.
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Himbert, Esther. "Analysis of German real estate funds: selection criteria for investment opportunities perspective." Thesis, KTH, Fastigheter och byggande, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-147656.
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This study is focused on real estate funds formed in Germany and has two major purposes: first to investigate the liquidity crisis and followed change of the legal framework for German real estate funds and secondly to demonstrate the impact on investment selection criteria of German real estate investment companies . By both quantitative and qualitative methods the thesis approaches those two different purposes. The quantitative part provides theoretical background about the construct of open-end and closed-end real estate funds and about the triggers and effects of the liquidity crisis. The qualitative part consists of an online survey that was sent to German real estate investment companies in which respondents indicated their preferred criteria for real estate investment opportunities. Furthermore telephone interviews on this topic were conducted with four German real estate investment experts. In the end the findings from the survey and the interviews are applied to a case study about a trophy asset in Luxembourg, in order to analyze if this property meets the investment criteria of German real estate funds. The survey and the conducted interviews indicate that German real estate investment companies have adapted to the risk-averse investment behaviour of investors and preferably make safe haven investments in terms of the investment style, the location of the real estate asset and the characteristics of the property itself and its tenants. The case study as well confirms this result.
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Pehrs, Corinna, Jamil Zaki, Liila Taruffi, Lars Kuchinke, and Stefan Koelsch. "Hippocampal-Temporopolar Connectivity Contributes to Episodic Simulation During Social Cognition." Macmillan Publishers Limited, part of Springer Nature, 2018. https://tud.qucosa.de/id/qucosa%3A31830.
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People are better able to empathize with others when they are given information concerning the context driving that person’s experiences. This suggests that people draw on prior memories when empathizing, but the mechanisms underlying this connection remain largely unexplored. The present study investigates how variations in episodic information shape the emotional response towards a movie character. Episodic information is either absent or provided by a written context preceding empathic film clips. It was shown that sad context information increases empathic concern for a movie character. This was tracked by neural activity in the temporal pole (TP) and anterior hippocampus (aHP). Dynamic causal modeling with Bayesian Model Selection has shown that context changes the effective connectivity from left aHP to the right TP. The same crossed-hemispheric coupling was found during rest, when people are left to their own thoughts. We conclude that (i) that the integration of episodic memory also supports the specific case of integrating context into empathic judgments, (ii) the right TP supports emotion processing by integrating episodic memory into empathic inferences, and (iii) lateral integration is a key process for episodic simulation during rest and during task. We propose that a disruption of the mechanism may underlie empathy deficits in clinical conditions, such as autism spectrum disorder.
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Bueno, Bruna Helena Belchior Machado da Silva. "The effects of OF ETF creation on the price efficiency of underlying stocks." Master's thesis, NSBE - UNL, 2012. http://hdl.handle.net/10362/9580.
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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsIn this assignment I build an intuitive panel regression model, in order to achieve a clear isolation of the impact of the inception of the first Exchange Traded Fund created on the FTSE100 index on the price efficiency of its underlying stocks. The main finding of this analysis is that price efficiency at the individual stock market decreases after ETF introduction. Thus, the adverse selection hypothesis highlights the shift of liquidity traders to the basket security, leaving informed traders exposed in the individual market. This decrease is evident and significant for different time range samples employed, as well as for the several measures of price efficiency used.
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Petzer, Greydon E. "Portfolio asset selection through the use of modified moving averages and steepest gradient techniques." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52406.
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Thesis (MBA)--Stellenbosch University, 2001.ENGLISH ABSTRACT: Many tracker funds exist in the South African market in which investors can invest their money. Growing in:popularity is the index funds that, instead of investing in individual shares invest into funds that track and guarantee returns related to specific indices. One such fund is the All Share Index 40 (ALSI40) Tracker Fund. The index is equity based to reflect the performance of the ordinary South African share market. Companies selected for inclusion in the ALSI40 Index are generally larger companies of sound financial standing having widely traded and marketable securities. As the ALSI40 is therefore a reflection of the total market as a whole, investing into such a Tracker Fund would only gain average returns over the long run. A modeled developed through using a twenty-day moving average to signal buy and sell periods, coupled with individual share gradients likened to future share growth potential is evaluated to determine if such a model would gain returns above the Tracker Fund and therefore gain returns above the ALSSI40 Index. The study project is wholly based on technical analysis, specific to the shares that constitute the ALSI40 Index. Through the selection of these shares fundamental analysis is taken care of and emphasis is placed on a technical trading technique developed. The technique is based on a two-stage model. Firstly, switch points are determined that indicate buy and sell signals through applying a 20-day moving average to the daily closing price of the selected shares. When the moving average is tracking below the closing price a buy signal is generated, and when the gradient of the moving average turns negative a sell signal is generated. Using these 'switch points', the second stage of the model is entered into through the allocation of weights to individual shares that conform to the buy selection criteria. The weights are determined using the gradient of the linear regression analysis equation. The gradient is synonymous with the growth potential of the share at the time a switching takes place. Through the use of the above model it was found that returns well above the holding period return of the ALSI40 Index are achievable. Evaluation of the model on a calendar year basis yielded a 113% over and above the return yielded by the ALSI40 Index for 1999. Similarly, positive returns were yielded for the 2000 calendar year and thus entrenching the trading technique as being successful. The major downside to the model is the number of switches dictated through strict adherence to the developed model. For example, 110 switches were necessary during 1999 to achieve the 113% over and above yield. Assuming switching fees of 1% per switch, margins that beat the holding period return of the ALSI40 would rapidly be eroded away. Although successful in achieving the aim of beating returns of the ALSI40, the model and computer code developed is robust and primitive in form. Numerous options exist to optimise the model, and thereby the potential to generate even greater returns. Optimisation would include a better 'gradient' function and procedure to reduce switching costs. The switching technique used is the most efficient obtainable from a single moving average.
AFRIKAANSE OPSOMMING: Daar bestaan vele 'tracker" fondse in Suid-Afrika waarin beleggers hulle geld kan belê. Die mees gewilde van hierdie fondse is die indeksfondse wat groei verwant aan spesifieke indekse waarborg, en dus direkte belegging in individuele aandele vervang. Een so 'n indeksfonds is die "All Share Index 40 (ALSI40) Indeks "Tracker" Fonds. Hierdie indeks is gebaseer op aandeelhouersbelang (gewone aandele) om die opbrengs van die gewone Suid-Afrikaanse aandelemark te reflekteer. Die gekose maatskappye vir insluiting in die ALSI40 indeks is gewoonlik die groter maatskappye met 'n gesonde finansiële status, met verhandelbare en verkoopbare sekuriteite. Aangesien die ALSI40 dus 'n weerspieëling is van die totale Suid-Afrikaanse aandelemark as 'n geheel, sal belegging in 'n 'tracker" fonds slegs gemiddelde groei oor die langtermyn lewer. 'n Model ontwikkel deur middel van die gebruik van 'n 20 dag bewegende gemiddelde om koop en verkoop tydstippe aan te dui, gekoppel aan individuele aandeelhellings te einde toekomstige aandeelgroei-potensiaalaan te toon, word beoordeel om te bepaal of so 'n model groei bo the 'tracker" fonds sal lewer, en dus ook groei bo die ALSI40 Indeks. The studieprojek is in geheel gebaseer op tegniese analise, met spesifieke verwysing na die aandele wat in die ALSI40 Indeks bestaan. Deur die seleksie van hierdie aandele is die fundamentele analise by implikasie reeds aangespreek en word die ontwikkelde tegniese verhandelingstegniek beklemtoon. Die tegniek is gebaseer op 'n twee-fase model. Eerstens, herbelegginspunte word bepaal, welke punte koop- en verkoopseine aandui deur middel van die toepassing van 'n 20 dag bewegende gemiddelde op die daaglikse sluitingsprys van die aandele. Wanneer die bewegende gemiddelde benede die sluitingsprys beweeg, word 'n koopsein genereer, en wanneer die helling van die bewegende gemiddelde negatief draai, word 'n verkoopsein genereer. Deur hierdie punte te gebruik, word die tweede fase van die model binnegetree deur die allokasie van gewigte aan die individuele aandele wat voldoen aan die koop-seleksie kriteria. Die gewigte word bepaal deur die helling van die lineêre regressie vergelyking. Die helling is sinoniem met die groeipotensiaal van die aandeel soos op die tydstip wat die herbelegging plaasvind. Deur gebreuik te maak van die bogenoemde model, is dit bevind dat die groei bo die hou periode van die ALS140 bereik kan word. Beoordeling van die model gebaseer op 'n kalenderjaar, het groei van 113% bo die 1999 groei van die ALS140 indeks gelewer. Soortgelyk is positiewe groei vir die 2000 kalenderjaar gelewer, wat derhalwe die verhandelingstegniek as suksesvol bevestig. Die grootste teenkant van die model is die aantal herbeleggings wat genereer word deur streng toepassing van die model. Byvoorbeeld, 110 herbeleggings was nodig gedurende 1999 om die 113% groei bo die indeks te bereik. Met die aanname dat herbeleggingskostes van 1% per herbelegging gehef word, word marges wat deur die houperiode-opbrengs van die ALS140 bereik kan word, vinnig uitgeroei. Alhoewel die model suksesvol is in die bereiking van die doel om die ALS140 opbrengs te verbeter, is die model en die rekenaarprogram wat ontwikkel is kragtig en primitief. 'n Groot aantal opsies is beskikbaar om die model te verbeter, en derhalwe die potensiaal om selfs hoër groei te genereer. Sulke opsies sal 'n verbeterde helling-funksie insluit asook 'n proses om herbeleggingskostes te verminder. Die herbeleggingstegniek wat gebruik is, is die effektiefste tegniek wat beskikbaar is vir 'n enkele bewegende gemiddelde.
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Drut, Bastien. "Socially responsible investment and portfolio selection." Doctoral thesis, Universite Libre de Bruxelles, 2011. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209829.
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This thesis aims at determining the theoretical and empirical consequences of the consideration of socially responsible indicators in the traditional portfolio selection. The first chapter studies the significance of the mean-variance efficiency loss of a sovereign bond portfolio when introducing a constraint on the average socially responsible ratings of the governments. By using a sample of developed sovereign bonds on the period 1995-2008, we show that it is possible to increase sensibly the average socially responsible rating without significantly losing in terms of diversification. The second chapter proposes a theoretical analysis of the impact on the efficient frontier of a constraint on the socially responsible ratings of the portfolio. We highlight that different cases may arise depending on the correlation between the expected returns and the socially responsible ratings and on the investor’s risk aversion. Lastly, as the issue of the efficiency of socially responsible portfolios is a central point in the financial literature, the last chapter proposes a new mean-variance efficiency test in the realistic case where there is no available risk-free asset.Doctorat en Sciences économiques et de gestion
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Morrison, Catriona A. "Salt selection for pharmaceutical use." Thesis, University of Strathclyde, 2012. http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=17068.
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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.
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Memmel, Christoph. "Schätzrisiken in der Portfoliotheorie : Auswirkungen und Möglichkeiten der Reduktion /." Lohmar ; Köln : Eul, 2004. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=012869843&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA.
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Brinkmann, Ulf. "Robuste Asset-Allocation /." Bad Soden/Ts. : Uhlenbruch, 2007. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016280816&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Huang, Kelvin. "The Impact of Minimum Investment Barriers on Hedge Funds: Are Retail Investors Getting the Short End of Performance?" Thesis, Kingston, Ont. : [s.n.], 2008. http://hdl.handle.net/1974/1647.
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Kiebist, Jan, Kai-Uwe Schmidtke, Jörg Zimmermann, Harald Kellner, Nico Jehmlich, René Ullrich, Daniel Zänder, Martin Hofrichter, and Katrin Scheibner. "A peroxygenase from Chaetomium globosum catalyzes the selective oxygenation of testosterone." Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2017. http://nbn-resolving.de/urn:nbn:de:bsz:14-qucosa-222847.
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Unspecific peroxygenases (UPO, EC 1.11.2.1) secreted by fungi open an efficient way to selectively oxyfunctionalize diverse organic substrates, including less-activated hydrocarbons, by transferring peroxide-borne oxygen. We investigated a cell-free approach to incorporate epoxy and hydroxyl functionalities directly into the bulky molecule testosterone by a novel unspecific peroxygenase (UPO) that is produced by the ascomycetous fungus Chaetomium globosum in a complex medium rich in carbon and nitrogen. Purification by fast protein liquid chromatography revealed two enzyme fractions with the same molecular mass (36 kDa) and with specific activity of 4.4 to 12 U mg−1. Although the well-known UPOs of Agrocybe aegerita (AaeUPO) and Marasmius rotula (MroUPO) failed to convert testosterone in a comparative study, the UPO of C. globosum (CglUPO) accepted testosterone as substrate and converted it with total turnover number (TTN) of up to 7000 into two oxygenated products: the 4,5-epoxide of testosterone in β-configuration and 16α-hydroxytestosterone. The reaction performed on a 100 mg scale resulted in the formation of about 90 % of the epoxide and 10 % of the hydroxylation product, both of which could be isolated with purities above 96 %. Thus, CglUPO is a promising biocatalyst for the oxyfunctionalization of bulky steroids and it will be a useful tool for the synthesis of pharmaceutically relevant steroidal molecules.
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Hermas, Mahdi. "Path selection in agile overlaid-star networks." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=18297.
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The existence of multiple overlaid stars in Agile All-Photonic Networks raises the important question which of the stars is selected for the transfer of a given timeslot. A scheduler running a path selection algorithm in each edge node will make this decision based on factors such as end-to-end packet delay, Quality of Service for applications and congestion in the network. The deployment of the scheduler will also provide load balancing over core nodes, contributing to better performance of the network and efficient use of its resources. We first touch upon edge node design in a multi-core context, then a set of possible edge node scheduling algorithms is investigated and assessed. Comparisons are then done by running simulations of networks that employ our devised algorithms to find out the most attractive one of them to our application. The simulations run over a software platform we have developed.L’existence de structures étoiles multiples dans les réseaux agiles tout-photoniques soulève une importante question : laquelle des structures doit être choisie pour transférer un certain timeslot . Un programmateur exécutant un algorithme de sélection de trajets dans chaque noeud en bordure du réseau prendra cette décision en se basant sur des facteurs tels que le délai de bout en bout des paquets, la qualité de service des applications et l’embouteillage. Le déploiement du programmateur permettra aussi d’équilibrer la charge parmi les coeurs du réseau, améliorant ainsi la performance et l’utilisation de ses ressources. Nous discuterons d’abord du design des noeuds périphériques dans un contexte de coeurs multiples, et ensuite nous investiguerons et évaluerons différents algorithmes de planification. Des comparaisons sont effectuées à partir de simulations de différents réseaux employant nos algorithmes afin de trouver lesquels offrent la meilleure performance pour notre application. Les simulations sont exécutées sur une plateforme que nous avons programmée.
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Eng, Jeffrey K. L. "Genetic selection by ivermectin on Onchocerca volvulus." Thesis, McGill University, 2006. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=111844.
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Onchocerca volvulus is a parasitic filarial nematode responsible for human onchocerciasis, a disease commonly known as "River Blindness". Although there are no well documented cases of ivermectin resistance in O. volvulus, reports of suboptimal responses to ivermectin have appeared. The purpose of this thesis was to examine genetic polymorphisms in O. volvulus and to determine whether there was genetic evidence of ivermectin selection on O. volvulus genes. Analysis of 17 genes from O. volvulus was undertaken in two populations of worms, either from ivermectin-naive patients or from patients who had been repeatedly treated with ivermectin annually. In 14 of the genes no differences in genetic polymorphism were found (although polymorphisms were identified). However, chi square analysis (chi2=0.05) indicated significant differences in allele frequencies for a P-glycoprotein, a beta-tubulin and a putative dyf=8 gene. Analysis of the O. volvulusbeta-tubulin alleles identified three amino acid substitutions in the H3 region with ivermectin selection. Microtubules play a key structural role in the formation of neurons, and in ivermectin-resistant Haemonchus contortus, amphidial neurons show distorted microtubule bundles. Polymerization and depolymerization assays of the recombinant O. volvulus beta-tubulin alleles showed interesting differences between the polymerized tubulin using the two different alleles. It is speculated that similar differences could cause the disorganization of the microtubules identified in the amphidial neurons in ivermectin resistant H. contortus. In addition to the coding mutations, a 24 bp deletion in the adjacent intron to the H3 was detected. A PCR diagnostic assay was developed to genotype individual macro- and microfilariae. Further analyses were conducted to investigate the possibility of a direct relationship between ivermectin and beta-tubulin. Data obtained from equilibrium dialysis experiments indicated that BODIPY FL ivermectin bound to purified O. volvulus alpha- and beta-tubulins. More interesting, non-fluorescent ivermectin and taxol competed with the BODIPY FL ivermectin. The work presented in this thesis provides evidence of genetic selection by ivermectin on O. volvulus and suggests a putative binding site for ivermectin on tubulin. These data provide novel information on ivermectin selection in O. volvulus and on the possible involvement of tubulin in ivermectin resistance.
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Brown, Timothy P. (Timothy Phillip). "Selection indices in retrospect for dairy cattle." Thesis, McGill University, 1989. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=59266.
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Selection differentials and selection indices in retrospect were calculated to determine the relative emphasis placed on production and type traits through bull selection. Indices in retrospect including only production traits indicated that, for Holsteins, fat yield was the trait most heavily selected for between 1978 and 1987, followed by protein percent and then milk yield. Fat percent and protein yield had negative index weights throughout the nine year period. In Ayrshires, similar weights were observed except that milk yield index weights were negative throughout the nine year period. It was found that the relative weight placed on type was small and did not affect the relative weights place on production traits. Within Holsteins, differences in bull selection when multiple services were required to successfully service a cow indicated that selection for overall size was reduced in later services. Within Ayrshires, there were no differences in any production or type trait within multiple services.
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Coleman, Kimberley. "A new capture-recapture model selection criterion /." Thesis, McGill University, 2007. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=101841.
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Capture-recapture methods are used to estimate population size from overlapping, incomplete sources of information. With three or more sources, dependence between sources may be modelled using log-linear models. We propose a Coefficient of Incremental Dependence Criterion (CIDC) for selecting an estimate of population size among all possible estimates that result from hierarchical log-linear models. A penalty for the number of parameters in the model was selected via simulation for the three-source and four-source settings. The performance of the proposed criterion was compared to the Akaike Information Criterion (AIC) through simulation. The CIDC was found to modestly outperform the AIC for data generated from a population size of approximately 100, with AIC performing consistently better for larger population sizes. Modifications to the criterion such as incorporating the estimated population size and the type of source interaction present should be investigated, along with the mathematical properties of the CIDC.
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Miller, Gary James. "A structural database for pharmaceutical salt selection." Thesis, University of Strathclyde, 2010. http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=22582.
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Salt formation is an important technique used in preclinical pharmaceutical development to modulate and optimise the physicochemical properties of a drug molecule containing an ionisable functional group. The current approach to salt selection relies on semi-empirical screening of the pharmaceutical molecule in combination with different counterions for the formation of a crystalline salt. This approach is necessitated by the limited understanding of the relationships between molecular and supramolecular structure and properties and the stoichiometry and ionisation state of the resultant crystalline solid. Presented in this work is a structural database containing 110 novel multi-component crystalline systems produced by the co-crystallisation of a library of pharmaceutically acceptable organic acid counterions with basic molecules that model the functional groups found on pharmaceutically active molecules. The structures were characterised by single crystal X-ray diffraction and their hydrogen bond interactions and molecular packing arrangements were examined using Mercury and XPac. This enabled the identification of robust hydrogen bonded synthons and supramolecular constructs for salts of secondary or tertiary amine bases in combination with different types of counterion. These observations were correlated to the molecular structures of the salt formers and a series of "salt selection rules" that can be potentially used to guide counterion selection for a novel pharmaceutical molecule were established. The applicability of these rules was assessed by the crystallisation of a validation set of 29 novel fluoroquinolone structures. Variable-temperature X-ray powder diffraction and structure determination from powder diffraction data were employed to generate four novel anhydrous salts from their corresponding hydrates. Comparison of the hydrogen bond interactions and molecular packing arrangements allowed the examination of the structural role of water in determining and stabilising the supramolecular structures of the hydrated systems.
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Müllerová, Irena. "Systém hodnocení a výběru grantových projektů v rámci Evropského sociálního fondu 2007-2013 v České republice: Komparativní studie." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-4072.
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Systems for implementing the Structural Funds have always been crucial to the impact of the Cohesion policy. At the heart of all programs of the Structural Funds are the systems for apprising and selecting projects, determining the efficiency and effectiveness of the program implementation. The aim of this paper is to examine the implementation of the Structural Funds in the 2007-2013 period in the Czech Republic in terms of effective resource allocation through grant projects. The examination focuses on the responsibilities and methods in the project appraisal and selection used under the Operational Program Education for Competitiveness and compares them to similar procedures applied by the European Commission in management of the community Life Long Learning Program in the current financial period. Based on discussion of the respective systems, the paper highlights the main differences between the systems and proposes for consideration several changes to the project selection under the Operational Program Education for Competitiveness to increase its effectiveness and transparency of the system.
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Osmanlic, Fuad [Verfasser], Carolin [Akademischer Betreuer] Körner, and Carolin [Gutachter] Körner. "Modeling of Selective Laser Sintering of Viscoelastic Polymers / Fuad Osmanlic ; Gutachter: Carolin Körner ; Betreuer: Carolin Körner." Erlangen : Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU), 2019. http://d-nb.info/1198486449/34.
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Sum, Maisie. "Variant selection during the austenite-to-martensite transformation." Thesis, McGill University, 1998. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=21328.
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Variant selection rules are described that predict the austenite-to-mariensite transformation textures of an Fe-30% Ni alloy. The occurrence of variant selection is explained in detail using the crystal plasticity model of Bishop and Hill and the Kurdjumov-Sachs transformation relationship. A correlation is established between the slip systems of the former and the rotation axes of the latter. The selection criteria are based on a combination of slip activity, that is, active slip systems defined in terms of positive shears, and permissible dislocation reactions. Thus some of the variants selected are associated with slip systems that are active, while the remainder are accounted for by the in-plane reaction of active dislocations to form inactive or unstressed dislocations. The variant selection criteria are tested against two strain paths; plane strain rolling and axisymmetric compression. Extensive studies were conducted on the former strain path and revealed excellent agreement between the measured and predicted transformation textures. A more detailed analysis is still required for the axisymmetric compression strain path, although, the results obtained indicate that the variant selection model does indeed generate a transformation texture that is consistent with the experimental one.
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Brassard, Jonathan Thomas. "Phenotypic selection in Impatiens pallida and Impatiens capensis." Thesis, McGill University, 1989. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=61934.
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Elmore, Joshua Lee, and 艾昇. "Motivated Reasoning and Mutual Fund Selection." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/01843277967427584873.
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碩士國立交通大學
企業管理碩士學程
100
Retirement planning was previously the responsibility of governments and companies, but that is currently changing. In the United States, most companies have moved or are moving from the traditional fixed benefit retirement plans to fixed contribution plans. The primary investment vehicle of these retirement plans are mutual funds, and their importance is seen in the fact that more than USD $2 trillion from retirement plans were invested in mutual funds. Generally speaking, mutual funds can be divided into two categories: actively managed ones and passively managed funds. Within the passively managed category, there is a subcategory of funds called index funds. Index funds are made to copy the performance of stock exchanges such as the S&P 500. While actively managed funds dominate the mutual fund market, their long term performance has been disappointing. A recent study showed that only 0.6% of actively managed funds could beat the overall market over a 30 year period. While mutual fund performance versus general market performance is an area with a long history of research in the financial community, its results are mostly unknown to the general public. In addition to ignorance, investors often fall victim to motivated reasoning that changes their evaluation of information. A commonly held belief is that that funds which have a recent record of outperforming the market will continue to do so in the future, and so investors look for funds with higher performance. Unfortunately, this popular assumption is false. When the ignorance about actively managed mutual fund performance is combined with mutual fund advertising and investors’ motivated reasoning, the results could be detrimental to retirement planning. However, financial regulations assume that investors are rational and will choose the best option when information is made available to them, but is this prerequisite assumption valid? The purpose of this study is to determine whether people can overcome motivated reasoning and make choices that incorporate newly presented information. The results from this study show that the subjects were unable to make use of the financial information presented to them. The implications of these findings show that changes in mutual fund advertising practice and in investor education should be implemented to protect investors in the new world of retirement planning.
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LiYuTai and 李育泰. "Hedge fund selection in business cycle." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/19966448397749424222.
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碩士長庚大學
企業管理研究所
96
Abstract Hedge Fund literally represents an attempt to immunize the portfolio from systematic risk. However, since the collapse of LTCM in 1998, Mother-Rock closing down after suffering major losses in the natural gas market when price increasing sharply in 2006, and subprime mortgage market that began in the United States becoming a global financial crisis in 2007, it has become clear that hedge funds are also involved in systemic risk exposures and correlated to the underlying market fluctuations. These “disappointing” facts remind investors the necessity to select different hedge funds over a broad range of economic cycles.Up to this point, this paper empirically tests the performance of different types of hedge funds in a time period that encompasses both bullish and bearish market environments utilizing a historical hedge fund data. In particular, modified Sharpe ratio is adopted as performance measurement of testing samples. The results suggest that Global hedge funds have outperformed other hedge funds over the final stage of bull markets, thanks to the fund managers who actively look into a market with high volatility and take advantages of expected price movements of undervalued/overvalued assets, in turn, offer higher returns. The study also finds that Merger arbitrage hedge funds appear to be superior over a period of up and down market environments. A more likely interpretation is that arbitrage funds tend to focus on the persistence of positive yields in each transaction, rather than a big gain in one single transaction. Moreover, in bullish markets, acquisitions can offer opportunities for fund managers to take long position of targeted companies when price is low and sustain the price differences that occur after a merger or acquisition offer is announced. By so doing, managers can effectively assure a profit.
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Wang, Hao, and 王皓. "A Study of Mutual Fund Investors’ Fund Selection Ability in Taiwan." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/93202490953118332745.
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碩士銘傳大學
金融研究所
89
When mutual fund are getting popular recently in Taiwan, the issue of whether the investors’ fund selection ability is getting more and more important. We are interesting on the question: Can investors forecast mutual fund performance? This paper will find the relationship between the decision of the mutual fund and the future mutual fund performance. In order to including the new mutual fund, the study uses the portfolio approach which based on the new money signals to investigate the mutual fund performance. And the empirical results shows that aggregate newly invest money in equity mutual funds is able to forecast short-term future fund performance. We also find the large funds outperforms the small funds. And the performance of money inflow better than outflow the funds both in the large funds and in the small funds. There is also a statistically significant evidence that the fund which performance well in the past period also performance well in the next period. However not all the investor in Taiwan use the repeat winner strategy to select mutual fund.
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Ta, Lan Hung, and 藍鴻達. "The Brand Effect of Fund Family on Investor's Selection of Mutual Funds." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/40601534075227065902.
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碩士大葉大學
管理學院碩士在職專班
103
To investigate the behavior of return on investment (ROI) on domestic equity mutual funds, the study presents its effects upon the capital market flow of funds. The samples were obtained from monthly open-ended equity mutual funds between January 2008 and December 2013 by different mutual fund management companies’ publications. Data were analyzed with regression models, the crucially empirical results are summarized as follows: It was confirmed from empirical research that investors subscription funds based on the great benefit ROI of funds, including the same family of funds. In addition, a favorable correlation was observed between great benefit ROI of family funds and subscription /redemption amount, indicating the investors traded in those funds more frequently. By contrast, the overall subscription amount is greater than the redemption amount from the capital market flow of funds, and therefore investors are still willing to put their money into great benefit ROI of funds, including the same family of funds.
50
Wang, Ching-Hsien, and 王景賢. "A Composite Period Approach for Mutual Fund Selection - The Case of Global Equity Mutual Fund." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/55609286355968119268.
Full textAbstract:
碩士輔仁大學
金融研究所
97
Investors, who no matter invest by searching for investing information themselves or following others' suggestiopns, have already had certain direction or types of investing before they invest. The problem would be that there are too many funds that comply with certain type or direction. How many people could choose the top performance funds? Or for the second choice, are there any ways for investors to ensure to choose those funds that outperform peer funds? Therefore, this article is trying to classify and score global equity type of funds by using the easiest access fund return information to observe risk-adjusted fund performance for the past certain period. The back test was done by the afordmentioned scores, results of classification and expected future investing returns. The back test was expected to verify that funds with higher scores could also have higher return in the future. Investors could easily classify funds by scoring funds in different periods and invest in those funds with higher scores to increase their relative returns.