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Dissertations / Theses on the topic 'Funds management'

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Published: 4 June 2021
Last updated: 25 July 2025

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1

Madigele, Loago Thabang wa ga Mmamogapi Banking &amp Finance Australian School of Business UNSW. "Relative performance of alternative investment vehicles: hedge funds, funds of funds, and CTA funds." Awarded by:University of New South Wales. School of Banking and Finance, 2005. http://handle.unsw.edu.au/1959.4/32313.

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This thesis examines the degree to which alternative funds deviate from their style-benchmark and how this is related to past performance and fund size, and how it impacts future risk and returns. Additionally the thesis examines how security selection and market timing skills differ across varying degrees of deviation from the benchmark. The thesis uses data for hedge funds, funds of funds, and CTA funds from the Center for International Securities and Derivatives Markets and employs fund???s tracking error relative to their style-benchmark to estimate the level of drift. The style-benchmarks
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2

Gabriel, Liane Costa. "Pension funds : asset liability management." Master's thesis, Instituto Superior de Economia e Gestão, 2018. http://hdl.handle.net/10400.5/16385.

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Mestrado em Finanças<br>O nível de financiamento e o risco de insolvência dos fundos de pensão são temas cada vez mais relevantes devido às dificuldades sentidas nos últimos anos resultantes das mudanças demográficas, como o envelhecimento da população e o aumento da longevidade, e da crise financeira de 2008, a Grande Recessão. Uma forma de otimizar os ativos e os passivos e ao mesmo tempo gerir os riscos de um fundo é usando modelos de gestão de ativos-passivos. A escolha do modelo de otimização deve ter em conta as características específicas e o objetivo risco-retorno do fundo. Esta tese é
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3

McLemore, Ping Wang. "Do Mutual Funds Have Decreasing Returns to Scale? Evidence from Fund Mergers." Diss., The University of Arizona, 2015. http://hdl.handle.net/10150/555943.

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Using fund mergers as shocks to fund size, I analyze return-to-scale properties of mutual funds. The results show that acquiring funds experience performance deterioration after abnormal size increases due to mergers. Funds that have a larger shock in size at the time of mergers are more likely to experience worse declines in performance after the events. In the post-merger period, investors redeem their shares from the poorly performing acquiring funds, and both the declining performance and persistent capital outflows lead to decreases in size. As fund size decreases, performance tends to re
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Brecailo, Helizander (Helizander de Oliveira). "Activist hedge funds." Thesis, Massachusetts Institute of Technology, 2008. http://hdl.handle.net/1721.1/44443.

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Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2008.<br>Includes bibliographical references.<br>Hedge funds have played a significant role in shareholder activism in the U.S. They have appeared quite frequently in the media as the driving force behind changes in firms' management that generate higher returns on their investments. Nonetheless, many wonder whether they really bring long-term value and benefits to firms, stakeholders, or financial markets, or whether hedge funds net returns for their investments only. The purpose of this thesis, which is writt
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de, Mingo López Diego Víctor. "Demand and management of mutual funds." Doctoral thesis, Universitat Jaume I, 2019. http://hdl.handle.net/10803/665469.

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This doctoral thesis proposes the evaluation of different aspects related to the efficiency and analysis of the behaviour of mutual funds and their demand. The sample analysed focuses on more than 17,000 share-classes related to 5,255 US open-end funds that invest mainly in equities of the same market. This thesis contributes to the extant literature on estimating properly the mutual fund demand and the effect of its determinants, as well as on assessing both the behaviour and the performance of the funds in relation to their level of management activity. The implications of these studies are
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Fri, Samuel, and Joakim Nilsson. "Risk management in Swedish hedge funds." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-15235.

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Background: Risk management has always been a complex topic, especially when it comes to hedge funds. Since hedge funds are able to utilize many kinds of financial instruments it is difficult to find a risk management strategy that goes well with them. Not much research regarding the Swedish hedge fund industry and its risk management has been done; hence we find it an interesting topic to focus this thesis on. Purpose: The purpose of this thesis is to increase the knowledge of how Swedish hedge fund managers perceive and manage different types of risk and how they construct their portfolios w
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7

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 Finance<br>Os 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 fu
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Agapova, Anna. "Cross-Sectional Differences between Topic 1: Money Market Mutual Funds and their Role in the Mutual Fund Families. Topic 2: Innovations in Financial Products. Conventional Mutual Funds versus Exchange Traded Funds." Digital Archive @ GSU, 2007. http://digitalarchive.gsu.edu/finance_diss/10.

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The first essay examines cross-sectional differences between money market mutual funds (MMMFs), in the context of the sponsoring fund family. While extant studies have shown that fund family characteristics impact the management of open-end equity mutual funds, results of this study’s analysis find that fund family characteristics also affect the management of MMMF assets, contributing to differences in the maturity of the fund’s holdings, expenses, and realized returns. I find that an MMMF is not simply a transitional account with a short-term low-risk investment objective, but rather, a crit
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9

Lane, Mark A. "Management changes and their impact on closed-end fund performance /." free to MU campus, to others for purchase, 1997. http://wwwlib.umi.com/cr/mo/fullcit?p9841163.

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10

Botha, Marius. "Risk management in hedge funds / Marius Botha." Thesis, North-West University, 2005. http://hdl.handle.net/10394/814.

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Investing in hedge funds has become very popular in recent years. Previously, their main focus was on the high net-worth investors. These individuals perform their own risk management and they are, according to law, allowed to invest in any asset or product they desire, whilst ordinary citizens and institutions cannot. The focus is now changing as more pension funds are exploring new ways to invest. Hedge funds are realizing this and are currently adapting to accommodate the institutional investors, and they now have to adjust to more regular reporting and more strenuous risk management. This
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11

BOUERI, ADRIANA MARIA RIBEIRO. "ACTIVE PORTFOLIO MANAGEMENT BASED IN PENSION FUNDS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2002. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=2781@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>Muitos dos trabalhos em finanças, como os que envolvem modelos financeiros,concentram-se na busca de formas de rejeitar as suposições sobre as quais estes se baseiam. Contudo, uma questão importante, é verificar se um determinado modelo supera ou é superado pelas alternativas existentes.Assim foi feito nesta pesquisa, que tem como objetivo principal mostrar que o gerenciamento ativo de carteiras dos fundos de pensão, com todas as limitações constantes em sua legislação cria valor, se comparado ao gerenciamento passivo. Ou
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Mwakisisile, Andongwisye John. "Asset Liability Management for Tanzania Pension Funds." Licentiate thesis, Linköpings universitet, Optimeringslära, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-147853.

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This thesis presents a long-term asset liability management for Tanzania pension funds. As an application, the largest pension fund in Tanzania is considered. This is a pay-as-you-go pension fund where the contributions are used to pay current benefits. The Pension plan analyzed is a final salary defined benefit. Two kinds of pension benefit are considered, a commuted (at retirement) and a monthly (old age) pension. A decision factor in the analysis is the increased life expectancy of the members of the pension fund. The presentation is divided into two parts. First is a long-term projection of th
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Enderli, Daniel. "Kreditgeschäft von Hedge Funds." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03604352002/$FILE/03604352002.pdf.

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14

Engström, Stefan. "Success factors in asset management /." Stockholm : Economic Research Institute, Stockholm School of Economics (EFI), 2001. http://www.hhs.se/efi/summary/589.htm.

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15

Federico, Salvatore. "Stochastic optimal control problems for pension funds management." Doctoral thesis, Scuola Normale Superiore, 2009. http://hdl.handle.net/11384/85662.

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16

Källström, Mattias, and Vidar Bratland. "Money For Nothing? : A Study About the Performance of Actively Managed Swedish Mutual Funds." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-56651.

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Following the development and popularity of mutual funds among Swedish investors, the question of active fund management and return has become a central issue for private investors. 99 percent of the Swedish population invests in mutual funds, comprising a total net fund value of almost 2,000 billion SEK. The idea behind active management is for a charged fee, to generate a return higher than the return of the market. But statistics indicate a low level of competition between the largest providers and only one out of ten funds performs better than its index. Financial instability due to the la
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17

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.<br>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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18

Jain, Sameer 1967. "An empirical study of hedge funds." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/8009.

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Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2003.<br>Includes bibliographical references (p. 77-79).<br>Hedge Funds are one of the fastest growing, yet least understood, category of alternate investment vehicles. They are pooled investment vehicles that use leverage, short-selling, dynamic hedging and derivatives to implement investment strategies significantly different from the non-leveraged, long-only approach traditionally followed by investors. This Thesis explores and validates characteristics, attributes and behavior of the generic category of Hed
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19

Hallberg, David, and Erik Renström. "Modelling management fees of mutual funds using multiple linearregression." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-209769.

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This paper seeks to investigate whether management fees, set by mutual funds, rely on a set of explanatory variables. The study includes equity, bond, and money market funds, all investing in securities registered in Sweden. Results obtained from the project show that changes in assets under management, standard deviation, and tracking error, for a course of 5 years, can provide some explanation to what management fees mutual funds set. In turn, this raises many interesting questions on how capital flows and fund differentiation affects the fees. Also, a market analysis of the Swedish fund mar
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20

Borghilli, Cristina <1989&gt. "Mutual funds –Volatility managed portfolios by Morningstar Investment Management." Master's Degree Thesis, Università Ca' Foscari Venezia, 2014. http://hdl.handle.net/10579/4898.

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In this paper we analyze the asset management industry, concentrating on the market of mutual funds. We also provide a detailed description of the Modern Portfolio Theory and its development with the Capital Asset Pricing Model, with particular concentration on the trade-off relationship between the maximization of portfolio returns and the minimization of portfolio risk. The analysis is supported by the study of the portfolio management held by Morningstar Investment Management for a financial instrument created for the company Clerical Medical. Morningstar Investment Management manages three
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Streatfield, Michael P. "Hedge funds : fees, return revisions, and asset disclosure." Thesis, University of Oxford, 2012. http://ora.ox.ac.uk/objects/uuid:62ce2e64-820b-4d0a-b914-676c958a540f.

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This thesis is a collection of three essays on hedge funds with contributions to the empirical understanding of their fees, and their voluntary disclosure of returns and assets under management, using a large consolidation of widely-employed publicly available hedge fund databases. First, time-series variation in reported fees is analysed using fund launches within hedge fund management companies, and conditioning fees at launch on fund family characteristics. Larger and better performing fund families launch high fee funds. Funds with high management fees at launch do not perform any differen
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Kearney, Michael J. (Michael Joseph). "Uncertainty and individual discretion in allocating research funds." Thesis, Massachusetts Institute of Technology, 2019. https://hdl.handle.net/1721.1/121833.

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Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2019<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (pages 31-34).<br>There is a long-standing tradition in public research funding agencies of distributing funds via peer review, which aggregates evaluations of proposed research ideas from a group of external experts. Despite complaints that this process is biased against novel ideas, there is poor understanding of an alternative system that may overcome this bias: the use of individual discretion. Here, we
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Allen, William D. "Essays on closed-end funds internal versus external management and insider trading /." Diss., Columbia, Mo. : University of Missouri-Columbia, 2006. http://hdl.handle.net/10355/4400.

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Thesis (Ph. D.)--University of Missouri-Columbia, 2006.<br>The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed July 31, 2007). Includes bibliographical references.
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24

Abona, Emil. "The Relationship between Swedish Equity Funds´Management Fees and Performance." Thesis, Jönköping University, JIBS, Economics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-823.

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<p>An increasing number of people in Sweden and in the rest of the world are becoming more interested in the mutual fund sector. Investments in mutual funds have grown rapidly these past few years. Nilsson (2004) wrote that 85 percent of the Swedish population invested in mutual funds in 2004. The Swedish Investment Fund Association also found an increase in investments in mutual funds; 83 billion Swedish crowns were invested in mutual funds in 2005, an increase from 56 billion in 2004.</p><p>The purpose of this thesis is to evaluate whether or not there is a relationship between low fee, midd
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Wan, Timothy Y. M. "Pricing and risk management of hedge funds : a new framework." Thesis, Imperial College London, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.589996.

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We propose a new framework for the analysis of hedge funds and the modelling of their per- formance. This approach is based on our finding that the investment styles declared by fund managers are unreliable and are uninformative about fund performance. The framework has been designed to cluster hedge funds using an innovative technique based on artificial neural networks. The framework is tested on a large selection of different data sets and the resulting clusters provide the best matches with known solutions when compared to existing methods. The framework applied to hedge funds is a valuabl
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Castro, Artur Eduardo da Nave e. "Mutual funds in shares in Brazil: performance and expertise management." Universidade Federal do CearÃ, 2010. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=8399.

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nÃo hÃ<br>This article analyzes the Brazilian stock mutual funds market, proposing dynamic rankings constructed from different risk-return performance metrics during the period from 1998 to 2009. We can evidence an unusual level of persistence, especially among the funds with better performance due to the expertise of managers. The quarterly rebalancing of portfolios based on these rankings allows us to infer that in scenarios characterized by economic boom, the equal weighted strategies in funds winners provide significant increases in average monthly earnings, risk reduction associated with
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Nogueira, Thiago Alves. "Analysis of performance management and investment funds multimarket in Brazil." Universidade Federal do CearÃ, 2012. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9308.

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nÃo hÃ<br>This work analyzes the performance graph and quantitative metrics under different gain, volatility, skewness, kurtosis and dynamic performance of portfolios composed of 85 investment funds Hedge in Brazil, vis-Ã-vis the major market benchmarks and traditional options investments. In this context, this empirical study is aligned with Matos e Artur (2011) strategies to address dynamic composition during the period 2005 to 2010, annual basis, containing the 10 winners and 10 funds Loosers. In scenarios characterized by economic boom or recovery of financial markets, the adoption of acti
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Silva, Ana Balbina Gomes. "Mutual funds investment holdings in brazil: incentives, management and convergence." Universidade Federal do CearÃ, 2011. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9545.

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nÃo hÃ<br>This article discusses the convergence patterns in time series of real accumulated return on a panel containing 68 stock mutual funds in Brazil, from January 1998 to June 2007, using the semiparametric methodology developed by Phillips and Sul (2007). In despite of the classical portfolio theory and the characteristics of this relevant market â high levels of regulation, transparency and informational efficiency and low transaction costs â, we can evidence a wide heterogeneous behavior, with four convergence clubs, which have transitional dynamics and very specific composition. A pri
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Padilha, Guilherme Castro. "Analysis of efficiency of funds management investment shares in brazil." Universidade Federal do CearÃ, 2012. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=10157.

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Conselho Nacional de Desenvolvimento CientÃfico e TecnolÃgico<br>This article analyzes the effect of decisions on resource allocation among items of operating expenses, administrative and otherwise, in the unilateral moments of the distribution of returns on Brazilian stock mutual funds. We follow methodologically Chambers, Chung and Fare (1996, 1998), using the Directional Distance Function (DDF) technique, which allows us to measure the behavior of the average value, and semicurtose semivariance of returns of funds, together with inputs associated with the internal allocation of resources. T
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Yang, Jingyun. "Cross-trading and Liquidity Management: Evidence from Municipal Bond Funds." Thesis, University of Oregon, 2018. http://hdl.handle.net/1794/23771.

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The high flow-performance sensitivity in open-end municipal bond funds motivates fund managers to actively manage funding liquidity risk and reduce the costs of flow-driven transactions. Funds with volatile past flows build up liquidity buffers by holding more cash and liquid municipal bonds in their portfolios. Funds rely on cash and liquid securities in flow management. Unconventional liquidity management tools, such as cross-trading between funds in the same family, are used by municipal bond funds in extreme situations. Fund families coordinate cross-trades between open- and low-value clos
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Alves, Raul AragÃo. "Management of commercial banks versus independent assets management, using capm model - Brazil equity funds." Universidade Federal do CearÃ, 2015. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=14792.

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nÃo hÃ<br>Este artigo busca contribuir com um estudo para identificar os melhores gestores entre Bancos Comerciais e Assets Independentes de fundos de investimento em aÃÃes do tipo ANBIMA Ibovespa Ativo (FIA). Para analisar e diferenciar os melhores gestores, foi utilizada a metodologia Capital Asset Price Model (CAPM), proposto por Willian Sharpe (1964) e o Alfa de Jensen para capturar o quanto o gestor gerou de retorno acima do esperado pelo nÃvel de risco da carteira do fundo. A base de dados composta em painel contendo apenas FIA com cotas mensais de dezembro de 2003 a janeiro de 2014. Com
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Hoseinzade, Saeid. "Essays in asset management and corporate bonds." Thesis, Boston College, 2016. http://hdl.handle.net/2345/bc-ir:106889.

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Thesis advisor: Pierluigi Balduzzi<br>Thesis advisor: Jonathan Reuter<br>In the first essay of this dissertation, I study the impact of fund redemptions and resulting sell-offs on corporate bond yields. To control for unobserved changes in fundamentals, I study within-issuer variation of yield changes, resulting from differential exposure to redemptions and sell-offs. In contrast to previous findings for equity funds, I find no evidence indicating that bond funds destabilize the corporate bond market by moving prices beyond fundamental values. I attribute this finding to bond fund management.
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Singh, Yuvraj. "Design and implementation of multi-asset funds in India." Thesis, Massachusetts Institute of Technology, 2011. http://hdl.handle.net/1721.1/65818.

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Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2011.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (p. 88-93).<br>India, over the past decade, has steadily emerged as a center of attractive investment opportunities, owing to high GDP growth rates and rising levels of per capita income. Asset management in India is going through a steady metamorphosis with rapidly growing AUM attributable to an influx of foreign investment and a steadily increasing investable surplus, albeit in the face of changing regulation. Although valuati
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Ling, Leng. "Two Essays on Managerial Behaviors in the Mutual Fund Industry Essay 1: A Life-Cycle Analysis of Performance and Growth in U.S. Mutual Funds Essay 2: Can Mutual Fund Window-Dressing Promote Fund Flows?" unrestricted, 2008. http://etd.gsu.edu/theses/available/etd-06132008-144714/.

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Thesis (Ph. D.)--Georgia State University, 2008.<br>Title from file title page. Jason Greene, Gerald Gay, committee co-chairs; Harley Ryan, Conrad Ciccotello, committee members. Electronic text (93 p. : ill. (some col.)) : digital, PDF file. Description based on contents viewed Oct. 13, 2008. Includes bibliographical references.
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Rietbergen, Muriel Isolde. "Long-term asset and liability management for minimum guaranteed return funds." Thesis, University of Cambridge, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.613768.

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Shevchenko, Kira. "Governance duties of agents in outsourced funds management of UK pensions." Thesis, Canterbury Christ Church University, 2016. http://create.canterbury.ac.uk/16227/.

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The aim of the thesis is to investigate whether the corporate governance of professional pension fund managers supports outsourced funds management for the UK pensions industry; significant as the largest client of the UK financial services industry with over £2 trillion in assets under management (Godfrey, 2014). The study examines fund manager corporate governance from the perspective of agency theory. The thesis proposes that pension fund managers, some of the largest corporate entities globally, exhibit the same corporate governance induced behaviour as corporate entities in the real econo
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Lemoine, Killian. "Essays on strategic asset allocation and risk management of pension funds." Thesis, Paris 9, 2013. http://www.theses.fr/2013PA090063.

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Depuis une dizaine d'années, une part croissante de fonds de pension rencontrent des difficultés financières. Cette détérioration a soulevé des questions sur la gestion de ces institutions et sur l'efficacité du cadre réglementaires. Cette thèse a pour objet d'analyser les comportements financiers et la gestion des risques opérés par les fonds de pension à prestation définies et les institutions assimilées. En premier lieu, nous relions les choix d'investissement à la question du contrôle managériale. Notre analyse suggère que la bonne gestion des fonds de pension nécessite un partage optimal
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Yoshima, Samy Osamu Abud. "Optimal performance fees and flow of funds in asset management contracts." reponame:Repositório Institucional do FGV, 2006. http://hdl.handle.net/10438/213.

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Made available in DSpace on 2008-05-13T13:16:53Z (GMT). No. of bitstreams: 1 2057.pdf: 629103 bytes, checksum: cb35778ae8199559646cbffd58527df6 (MD5) Previous issue date: 2005-08-08<br>This paper investigates the importance of ow of funds as an implicit incentive in the asset management industry. We build a two-period bi- nomial moral hazard model to explain the trade-o¤s between ow, per- formance and fees where e¤ort depends on the combination of implicit ( ow of funds) and explicit (performance fee) incentives. Two cases are considered. With full commitment, the investor s relevant trade
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Zumbühl, Daniel. "Performance-Analysis of Distressed Securities Hedge Funds." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01655554002/$FILE/01655554002.pdf.

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McCourt, Maurice. "Essays on private equity and mutual funds." Thesis, Cergy-Pontoise, Ecole supérieure des sciences économiques et commerciales, 2018. http://www.theses.fr/2018ESEC0003.

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La compétence des gestionnaires de placements est l'un des sujets les plus étudiés en finance, de sorte que les lecteurs peuvent se demander pourquoi il existe encore des thèses comme celle-ci qui lance trois nouveaux Essais sur le sujet. Pris ensemble, ces essais contribuent à divers flux de la littérature de gestion des investissements en jetant un regard neuf sur les compétences dans les classes d'actifs où il est difficile de mesurer (private equity), ou si le sujet n'a pas été étudié en profondeur.). Les résultats donnent des résultats contrastés, car il existe des preuves substantielles
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Noakes, Michael A. "Factor-based replication of hedge funds using a state space model." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/21753.

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It has been suggested that the Kalman filter technique may be used to improve the quality of hedge fund replication, compared to existing replication techniques. This study uses the Kalman filter technique, along with three variations of the rolling-window regression technique, to create clones which attempt to replicate the returns of various categories of hedge fund indices. These clones are created over several scenarios and are used to compare the ability of the Kalman filter and rolling-window regression techniques. The clones are constructed using South African specific asset class and i
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42

Sandhya, Vallapuzha. "Agency Problems in Target-Date Funds." Digital Archive @ GSU, 2012. http://digitalarchive.gsu.edu/finance_diss/19.

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Target-Date Funds (TDFs) facilitate retirement planning by varying asset allocation over time with the goal of reducing portfolio risk. We explore potential agency problems in TDFs by examining their return performance and flow-performance relation. We find that TDFs under-perform balanced funds (BFs) which are also approved as a default option along with TDFs in 401(k) plans with automatic enrollment. We show that the under-performance is driven by TDFs that have a fund-of-fund structure and constituent funds with high expense ratios or poor performance within the fund family. Additionally, w
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43

Reis, Amy Lynne. "A study of the performance of high yield bond funds." Thesis, Massachusetts Institute of Technology, 1987. http://hdl.handle.net/1721.1/37698.

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44

Stovall, Shawn Eric. "Global electronic funds transfer between small and medium sized companies." Thesis, Massachusetts Institute of Technology, 2006. http://hdl.handle.net/1721.1/37228.

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Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2006.<br>Includes bibliographical references (leaf 64).<br>Cross-border electronic funds transfer is a rapidly expanding field for business and consumer payments. Large multi-national corporations have been able to invest the capital necessary to create infrastructures or work with banking institutions to facilitate payments in the past, but small and medium sized companies were limited in their ability to utilize electronic payment systems. The growth of global business has created a need for effective payment
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45

Bohlandt, Florian Martin. "Single manager hedge funds - aspects of classification and diversification." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/85859.

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Thesis (PhD)--Stellenbosch University, 2013.<br>A persistent problem for hedge fund researchers presents itself in the form of inconsistent and diverse style classifications within and across database providers. For this paper, single-manager hedge funds from the Hedge Fund Research (HFR) and Hedgefund.Net (HFN) databases were classified on the basis of a common factor, extracted using the factor axis methodology. It was assumed that the returns of all sample hedge funds are attributable to a common factor that is shared across hedge funds within one classification, and a specific factor
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46

Lee, Adrian David Banking &amp Finance Australian School of Business UNSW. "Active equity fund management: Benchmarking and trading behaviour." Publisher:University of New South Wales. Banking & Finance, 2009. http://handle.unsw.edu.au/1959.4/43403.

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This thesis investigates key issues concerning how active equity fund managers add value: measuring alpha (Chapter 3), generating alpha (Chapters 4, 5 and 6) and transaction cost minimisation (Chapter 7). Chapter 3 proposes important methodological adjustments to the widely adopted benchmarking methodology of Daniel, Grinblatt, Titman and Wermers (1997). Applying this modified benchmark to a sample of active funds and simulated passive portfolios that mimic fund manager style characteristics, statistically lower tracking error is documented, compared with using the standard methodology. These
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47

Brandt, Lily. "The macroeconomic impact of asset restrictions on pension funds." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/21381.

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Thesis (MBA)--Stellenbosch University, 2012.<br>Asset restrictions are prudential regulations applied by regulators around the globe. In essence, they prescribe asset restrictions as a risk-control measure to establish appropriate capital requirements for regulated institutions. The aim of prudential regulations and standards is to protect consumers who acquire the products and services offered by these institutions. Pension funds in Namibia must comply with Regulation 28 of the Pension Funds Act, 1956. Regulation 28 is the prudential regulation that governs investment limits for pension
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48

Selik, Michael Andrew. "Analysis of four alternative energy mutual funds." Thesis, Georgia Institute of Technology, 2010. http://hdl.handle.net/1853/37236.

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We analyze four alternative energy mutual funds using a multi-factor capital asset pricing model with generalized autoregressive conditionally heteroskedastic errors (CAPM-GARCH). Our findings will help portfolio managers and others who seek to predict the return on investment in alternative energy firms. We find that alternative energy firms tend to be riskier than the general US stock market, have a low, but significant and positive response to oil prices, and have a significantly high and negative response to the value of the dollar relative to other currencies. Our results also suggest tha
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49

Brown, David C., and Shaun William Davies. "Moral hazard in active asset management." ELSEVIER SCIENCE SA, 2017. http://hdl.handle.net/10150/625951.

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We consider a model of active asset management in which mutual fund managers exert unobservable effort to earn excess returns. Investors allocate capital to actively managed funds and passively managed products. In equilibrium, investors are indifferent between investing an additional dollar with an active manager or with a passively managed product. As passively managed products become more attractive to investors, active managers’ revenues from portfolio-management services fall, reducing their effort incentives. More-severe decreasing-returns-to-scale are also associated with reduced incent
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50

Schutte, Juane. "The role of an administrator in hedge fund operational risk management." Thesis, Nelson Mandela Metropolitan University, 2008. http://hdl.handle.net/10948/891.

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With the financial crisis of 2008 and more retirement funds and insurance companies entering the hedge fund industry, the safety of investor assets has become vital. According to a worldwide study by Kundro and Feffer (2002:42), operational risk factors account for almost half of hedge fund failures. The issues that underlie the operational risk factors relate to valuation of the fund’s assets and liabilities. Unless certain valuation practices become more widespread, hedge funds face a potential crisis of confidence with institutional and high net worth investors (Kundro and Feffer, 2002:42).
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