Dissertations / Theses on the topic 'Mutual Funds Investment Options'

Mestrado em Economia Monetária e Financeira<br>Uma análise comparativa da rentabilidade através de estatística descritiva, regressões e capacidade replicação do benchmark foi realizada para Exchange-traded Funds (ETFs), fundos de investimento de índices e de ações e o respetivo benchmark (PSI 20) para o período compreendido entre 2010 e 2015 para a indústria portuguesa de fundos de investimento. Para um horizonte temporal mais alargado (2010 - 2017), foi analisada a existência de diferenças (e a sua persistência) entre o preço do ETFs e o seu respetivo valor de unidade de participação (VUP). Concluiu-se que o ETF analisado não apresenta sempre uma melhor rentabilidade relativa (diferença entre a rentabilidade do fundo e do benchmark) por comparação com fundos de investimento de índice. Não obstante, o ETF exibe uma maior capacidade não só de replicar o benchmark quando este varia negativamente, como também de diminuir a volatilidade das diferenças entre a sua rentabilidade e a do benchmark. Ainda relativamente ao ETF, verifica-se que o mesmo se encontra, em termos médios, a negociar a um valor baixo de desconto (0,00007 €), existindo evidência de persistência destes desvios para pelos menos dois dias de negociação.<br>A comparative descriptive statistics, regression and index tracking return investigation between Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark during the 2010-2015 period is conducted for the Portuguese fund industry. For a larger interval (2010 - 2017), ETFs are tested for price inefficiency (existence of deviations between prices and the Net Asset Value) and its persistence. It is found that ETF do not always outperform index funds in replicating the variations of the PSI 20 index, despite exhibiting better tracking ability when facing downside deviations of the benchmark and a better capacity of smoothing tracking deviations. Regarding ETFs price efficiency and its persistence, the study reveals that the analyzed ETF is priced at a low average discount of €0.00007 with evidence of deviations persistence of at least two days.<br>info:eu-repo/semantics/publishedVersion

Dans l'Essai 1, nous démontrons clairement que la relation flux-performance est convexe, mais uniquement dans la gamme des fonds à performance moyenne à élevée. Nous montrons qu'elle est en fait concave dans la gamme des fonds à performance faible à moyenne. La principale conclusion de l'essai 3 est que la composition du portefeuille du fonds a un impact sur la sensibilité de la performance des flux (SPF) du fonds. Plus précisément, un gestionnaire de fonds commun de placement peut réduire la sensibilité au rendement des flux en augmentant la pondération totale du portefeuille d'actions dans les titres défensifs et les titres sensibles, lorsque le premier est plus efficace. Dans l'essai 2, j'examine les fonds communs de placement d'actions actifs qui se rapprochent le plus des nouveaux investisseurs. Cette action est surprenante par sa nature même. Il s'agit d'une forme de refus de clients payants qui entraîne une perte de revenus, du moins à court terme. Je montre que la performance des fonds proches des nouveaux investisseurs diminue aussi fortement que celle des fonds de taille comparable et de performance passée qui restent ouverts<br>In light of this, Essays 1 and 3, co-authored with Vijay Yadav, study the sensitivity of investment flows to past performance, also known as flow-performance sensitivity (FPS). The main aim of Essay 1 is to contribute towards the ongoing debate regarding the shape of the flow-performance relationship in the equity mutual fund industry. Essentially, the question is whether the relationship is linear or non-linear. Whereas Essay 1 addresses the shape of the flow-performance relationship, Essay 3 studies the determinants of its strength. Past performance is a signal that is used by investors when making investment allocation decisions. The main finding of Essay 3 is that the composition of the fund portfolio has an impact on the FPS of the fund. More specifically, a mutual fund manager can decrease flow-performance sensitivity by increasing the total equity portfolio weights of defensive stocks and sensitive stocks, where the former is more effective. In Essay 2, I examine active equity mutual funds that close to new investors

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 portfolios of funds with an increasing risk profile following a volatility management strategy.

This thesis focuses on the analysis of Catastrophe bond mutual funds [CBMFs] and is organized into four chapters. The first chapter, "An identification-robust analysis of Catastrophe bond mutual funds: zero-beta neutrality under tradability", offers identification-robust evidence on whether CBMFs are zero-beta based on the analysis with only tradable risk factors. Statistical significance of factor risk premiums and cross-sectional loadings is examined in a multivariate, identification-robust setting to inform on the zero-beta performance of CBMFs. The latter is assessed against the Capital Asset Pricing Model [CAPM] without the risk-less asset proposed by Black (1972) [BCAPM], Quadratic CAPM, Cummins-Weiss, Fama-French-Carhart benchmarks and models with Fontaine and Garcia (2012) and Pástor and Stambaugh (2003) liquidity factors. Multiple markets are considered individually and jointly. Beta pricing inference proceeds using the method of Beaulieu, Dufour and Khalaf (2013) robust to weak identification. Instead of non-tradable factors, their mimicking portfolio returns are used in the analysis to facilitate tradable-only factor setting. Results indicate that coskewness, funding liquidity and fixed-income factors are often priced or incur significant factor betas. There is also evidence of risk premiums and joint beta significance for stock, corporate bond and commercial mortgage-backed securities benchmarks. Empirical findings overall suggests that CBMFs underperformed as zero-beta assets. The second chapter, "Zero-beta inference on Catastrophe bond mutual funds: identification- robust evidence with non-tradable factors", examines formally the zero-beta neutrality of CBMFs allowing for some risk factors to be non-tradable. Zero-beta analysis focuses on cross-sectional betas with their joint significance tested for each factor. This is augmented with inference on risk prices and the zero-beta rate to assess whether factor risks are priced. CBMFs are modeled in the QCAPM setting with either stock, corporate bond, government bond or commercial mortgage-backed security [CMBS] market return and its square as respectively tradable and non-tradable factors. The zero-beta performance of CBMFs is also assessed against an extended BCAPM benchmark with either Fontaine and Garcia (2012) or Pástor and Stambaugh (2003) non-tradable liquidity factor considered in addition to the tradable market return. Inference on risk prices and the zero-beta rate builds on the method of Beaulieu, Dufour and Khalaf (2018) which remains exact and simultaneous for any sample size even if the parameter recovery is impaired. Empirically, although identification strength diminishes in the setting with non-tradable factors, relaxing tradability improves model fit across all benchmarks. In particular, QCAPM (reix gardless of the market) is no longer rejected for any period and so is the model with the funding liquidity factor. Goodness-of-fit also improves for the model with the marketwide liquidity factor. In periods for which models were rejected under factor tradability, allowing for some factors to be non-tradable also yields set estimates for the zero-beta rate and risk prices that are informative for beta pricing. In particular, this reveals evidence of priced coskewness risk across all markets over the long-run and for stock, corporate bond and CMBS benchmarks after the 2007-09 US recession. In the same periods, funding liquidity risk is also priced and so is the marketwide liquidity risk over the full sample. Given significant betas on the market return, the latter prevails as a relevant factor even in a setting with other factors being non-tradable. Overall, there is evidence suggesting that CBMFs deviated from performing as zero-beta investments with coskewness and liquidity as contributing factors. These results reinforce findings in the Chapter 1. The third chapter, "An alpha and risk analysis of Catastrophe bond mutual funds: exact, simultaneous inference", examines CBMFs in terms of their ability to produce a positive alpha and the extent of their sensitivity to the developments in financial markets. Inference on alphas and the riskiness of CBMFs relies on exact, simultaneous confidence sets assembled respectively for cross-sectional intercepts and factor loadings in the multivariate linear regression [MLR] model. Set construction proceeds using the analytical inversion procedure of Beaulieu, Dufour and Khalaf (2018) in a Least-Squares case and its extension to a Student-t setting. Proposed in this chapter, the extension involves replacing the Fisher-based cut-off point in the analytical solution of Beaulieu, Dufour and Khalaf (2018) with its simulation-based counterpart obtained under Student-t errors. The empirical analysis of CBMFs reveals evidence of a positive alpha following the 2011 Tohoku earthquake in Japan and indicate that CBMFs are likely to have at most moderate sensitivity to fluctuations in financial markets. These results are robust against CAPM, QCAPM and Fama-French benchmarks and observed in both Gaussian and Student-t settings. The fourth chapter, "Endogeneity in a zero-beta analysis: joint, finite sample inference on Catastrophe bond mutual funds", revisits the zero-beta assessment of CBMFs taking into account factor endogeneity. In particular, this chapter extends the univariate Durbin-Wu-Hausman [DWH] test (Durbin, 1954; Wu, 1973; Hausman, 1978) of exogeneity to a multivariate setting. Unlike the univariate DWH test, the proposed multivariate extension allows to assess factor exogeneity jointly across equations. This chapter also proposes an extended version of the multivariate Wilks-based instrumental variables [IV] test of Dufour, Khalaf and Kichian (2013) to a setting with regressors, and consequently their instruments, that remain the same across equations. Both extended tests allow for possibly non-Gaussian errors and maintain size correctness for a sample with any number of observations even in the setting with weak instruments. Applying the extended methods to the analysis CBMFs provides evidence against joint factor exogeneity in some cases across CAPM and QCAPM in both Gaussian and Student-t settings. In some periods when the joint factor exogeneity is rejected, results for the zero-beta analysis differ depending on whether the IV-based or non-IV test was applied. Unlike in the case without instrumenting, extended Wilks-based IV test of joint beta significance is significant at the 5% level before the 2007-09 US recession for both CAPM and QCAPM regardless of the distributional setting (Gaussian or Student-t). The same result also obtains for QCAPM during the economic downturn. Over the long-run, there is evidence of jointly significant factor loadings obtained with and without instrumenting. Overall, empirical results suggest that performance of CBMFs differs from that of zero-beta assets.

In the seven decades following the Investment Company Act of 1940 coming into force in the United States, the mutual fund industry has undergone dramatic changes including, some argue, a transition from stewardship to salesmanship with asset-gathering becoming the industry’s driving force. As fund managers incrementally assumed a more pronounced role in the investment fund industry, an emerging strand of finance literature focused on their characteristics and their potential impact on investment performance. While a large body of academic research concurs that fund managers cannot outperform systematically better than chance, there are also a significant number of studies that link the psychological characteristics of investors to their investment performance. Importantly, we know that fund managers, as a representative sample of professional investors, often have to operate under enormous anxiety and associated psychic pressures. In their effort to cope with these pressures and make sense of an immensely unpredictable and complex work environment, a wide range of psychic defences and behavioural biases may be triggered. The purpose of this research is to investigate, on the one hand, to what extent mutual fund managers are prone to overconfidence and associated behavioural biases such as self-serving attribution. On the other hand, the extent to which overconfidence, proxied by a wide range of variables including overoptimism, excessive certainty and excessive self-reference, may have any bearing on fund performance is of interest. The fundamental question is why, how, and through which mechanisms does overconfidence affect performance. The underlying research questions are motivated by three large areas of research: studies of mutual fund performance and persistence, studies of financial accounting narratives, and studies of professional investor psychology. I also explore how overconfidence is fundamentally generated and, in a sense, resorted to by fund managers as a defence mechanism against the psychic pressures of having to work in a highly intangible, complex and uncertain environment. Drawing on evidence from fund manager reports written for investors, I explain how they use the medium of narratives, and in particular stories, to make sense of what they do as fund managers and their added value for clients. I demonstrate how analysing fund manager commentaries, both through computer-assisted corpus-linguistic approaches and through the “close reading” method, sheds light on the link between fund manager psychology and investment performance. In particular, from the perspective of narrative analysis, I explain how fund managers write their reports in distinguishably different genres depending, among others, on their past performance record, fund size and investment style. In addition, I establish in a longitudinal study that the overall economic environment in which fund managers operate does influence the rhetoric of fund manager reports as well as the evidence for the Pollyanna hypothesis. My findings also suggest that excessive overconfidence is associated, to a large extent, with diminished future investment returns. While superior past returns are expected to increase fund manager confidence which, in turn, may introduce the overconfidence bias in the investment decision-making process and thus diminish returns (through inefficient stock selection, suboptimal market timing and other possible mechanisms), this is not a simple regression towards the mean. The asset pricing model employed in my empirical analysis, the Carhart four-factor model, controls for the effect of previous-year momentum, and my overconfidence measures are only slightly correlated with the momentum figures. Hence, one is led to the conclusion that the narrative-based variables used in this study indeed capture some aspect of the professional investor psychology, and are capable of enhancing the explanatory power of conventional asset-pricing models such as Carhart’s. In investigating the dynamic relationship between fund manager overconfidence and investment performance, the cross-sectional variations in my study demonstrate that superior past performance boosts overconfidence as measured by all proxies employed. In addition, there appears to be an inverted-U relationship between overconfidence and subsequent investment performance. In particular, a hedging strategy based on shorting funds with extremely overconfident managers and going long in funds with normally (over)confident managers, yields positive average returns. The impact of overconfidence on subsequent returns is robust across different investment styles, although it is stronger among growth-oriented funds. Incorporating average scores for fund manager overconfidence over longer periods yields similar results. In addition, fund manager duration appears to correlate with managerial overconfidence in the long term.

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 private financial institution as the manager, the incentives related to the lower administrative fees and performance fees and the relevance of riskadjusted return measured by different risk metrics are able to differ between a looser and a winner fund, influencing them to pursue an active strategies capable to âbeat the marketâ. All these evidences are corroborated when in an aggregated analysis, where we construct equal-weighted portfolios formed using the funds of each club.<br>Este estudo analisa os padrÃes de convergÃncia em sÃries temporais de ganho real acumulado de um painel contendo 68 fundos de investimento em aÃÃes no Brasil, de janeiro de 1998 e junho de 2007, a partir do uso da metodologia semiparamÃtrica de Phillips e Sul (2007). Contrariando a teoria de clÃssica de carteiras e as caracterÃsticas deste relevante mercado â elevados nÃveis de regulaÃÃo, transparÃncia e eficiÃncia informacional e baixos custos de transaÃÃo â, evidenciase um comportamento fortemente heterogÃneo, com a formaÃÃo de quatro clubes de convergÃncia, os quais possuem dinÃmicas de transiÃÃo e composiÃÃo bastante especÃficas. A natureza privada da pessoa jurÃdica gestora, os incentivos associados à cobranÃa de baixas taxas administrativas, alÃm de taxas de performance, e a Ãnfase nos ganhos compensados por diferentes mÃtricas de risco diferenciam os fundos loosers dos winners, influenciando estes a optarem por estratÃgias ativas capazes de obter ganhos acumulados maiores que os de mercado. Todas estas evidÃncias sÃo corroboradas quando da anÃlise mais agregada a partir dos portfolios equal-weighted formados a partir dos fundos de cada clube.

In this study, we examine the predictive power of Morningstar’s new ratings for mutual funds’ future performance and compare its predictive power with four competing predictors. We also examine Morningstar’s new ratings’ predictive power in bull and bear periods. Furthermore, we compare the predictive power of the new and old star-ratings. We perform all these tests for both U.S. and Canadian equity funds. We use a regression model and non-parametric tests in this study. The results suggest Morningstar’s new ratings accurately rank funds and predict out-of-sample performance of only five-star rated complete funds for short- and medium-terms for U.S., and for medium-term only for Canada. Also, predictive power of Morningstar’s new ratings is low compared to four alternative predictors for both countries. Further, the new star ratings accurately predicts for bear period for both markets. The old ratings (new ratings), however relatively predict better for U.S. funds (Canadian funds).<br>ix, 184 leaves ; 29 cm

The study critically reviews the application of the Sharia investment screening process, from both Sharia and practical perspectives. In practice, there appears to be inconsistencies in the Sharia investment screening criteria among Islamic investment institutions, especially in terms of the tolerance level, as well as the changing of the Sharia rules. This certainly affects the confidence in the Sharia screening criteria standards, which might adversely affect the Islamic mutual funds industry. The non-income generating aspects, such as social and environmental concerns, are not incorporated in the contemporary Islamic investment screening process. This seems to be rather paradoxical, since it contradicts the Sharia-embedded ethical values of fairness, justice and equity. The thesis contends that external audits regarding the implementation of Sharia rules should be adopted to ensure the compliance of the investment with Sharia guidelines. Furthermore, it is desirable for Sharia boards to adopt corporate governance practice and take proactive roles, especially in Muslim countries, in order to influence companies to adopt Sharia-compliant investment practices. The tolerance levels of conventional finance activities of companies in Muslim countries should be re-evaluated and lowered in the Islamic investment screening criteria. This is partly due to the popularity and wide availability of Islamic banking and alternative Sharia instruments to interest-based finance, coupled with the fact that Muslim shareholders form the majority and hence, can vote to influence companies to adopt Sharia-compliant financing modes. In addition, the study provides empirical evidence that the Sharia screening process does not seem to have an adverse impact on either the absolute or the risk-adjusted performance of Islamic equity mutual funds in Saudi Arabia, compared to their conventional counterpart equity mutual funds and also compared to their market benchmarks. This is regardless of the geographical investment focus subgroup examined and the market benchmark used (whether Islamic or conventional). Furthermore, the systematic risk analysis shows that in most cases Islamic equity mutual funds in Saudi Arabia tend to be significantly less exposed to market risk compared to their conventional counterpart equity mutual funds, and compared to their conventional market benchmarks. Thus, the assumption that Sharia investment constraints lead to inferior performance and riskier investment portfolios because of the relatively limited investment universe seems to be rejected. This implies that Muslim investors in Saudi Arabia can choose Islamic investments that are consistent with their beliefs without being forced to either sacrifice performance or expose themselves to higher risk. The investment style analysis also shows that the Sharia screening process does not seem to influence Islamic equity mutual funds in Saudi Arabia towards small or growth companies compared to their conventional counterparts of similar geographical investment focus. Moreover, the study provides empirical evidence that the performance difference between Islamic and conventional socially responsible indices is insignificant despite applying different sets of screening criteria. However, Islamic indices tend to be associated with relatively lower systematic risk compared to their conventional socially responsible counterparts. Therefore, Islamic investment portfolios can be marketed to socially responsible investors who share similar beliefs in terms of excluding certain industries such as tobacco, alcohol, pornography, defense, etc., in spite of no financial filters being used by conventional socially responsible investors. This finding is especially appealing in Muslim countries where there are usually no mutual funds categorized as socially responsible, but rather Islamic. Moreover, the study also provides empirical evidence that incorporating conventional sustainability criteria into the traditional Sharia screening process does not lead to inferior performance or higher exposure to systematic risk. The results indicate that regardless of the restriction used - whether Islamic, socially responsible or Islamic socially responsible - restricted investment portfolios do not seem to be associated with inferior performance or higher exposure to risk. This finding opens the door for Sharia scholars and Muslim investors to reconsider broader social and environmental aspects as part of the Sharia investment screening process. With regards to investment style, Islamic and Islamic socially responsible indices seem to be skewed towards growth cap as compared to their conventional and conventional socially responsible indices, while Islamic socially responsible also leans towards a large cap. This implies that despite the performance similarity between, Islamic, conventional and conventional socially responsible indices, the returns driver of each type of investment tends to be different.

Mestrado em Finanças<br>O índice PSI 20 é o padrão de referência por excelência da Euronext Lisboa. No entanto, os gestores de fundos portugueses que investem em ações nacionais podem não ter a possibilidade de replicar a carteira do PSI 20, devido às restrições ao investimento impostas pela regulação europeia para os mercados financeiros, nomeadamente as Diretivas UCITS. Este trabalho vai analisar até que ponto estas limitações podem ser impeditivas da performance dos fundos de investimento. É feita uma caracterização da legislação aplicável, bem como do segmento de fundos de investimento em ações nacionais que atuam no mercado nacional. Criou-se um índice alternativo ao PSI 20 para o período 2004-2011, respeitando os limites legais ao investimento, que servirá como benchmark da performance da amostra de fundos de investimento, que inclui todos os fundos em atividade durante o período completo em análise. Verificou-se que a nova série de rendimentos do mercado obtida, conquanto não sendo estatisticamente diferente do PSI 20, apresentou um retorno superior e volatilidade ligeiramente inferior. Procedeu-se à avaliação da performance utilizando indicadores clássicos. Os resultados obtidos sugerem que a maior diversificação imposta pela legislação não tem necessariamente um impacto negativo sobre os retornos obtidos, e que a comparação com um índice sujeito às mesmas regras dos fundos não leva a conclusões mais favoráveis à gestão ativa. Não se encontrou qualquer prova que os gestores de fundos, enquanto grupo, consigam obter de forma consistente uma performance acima do retorno do mercado, ajustado pelo risco.<br>While the PSI 20 blue-chip index has been widely used as a benchmark for the Portuguese stock exchange, it may not be replicable by fund managers due to investment limits imposed in UCIT European regulation. This dissertation compares the relative performance of a set of Portuguese mutual funds against both the standard PSI 20 benchmark and a modified version which fully respects said limits. Results show that the greater diversification imposed by the legal rules does not necessarily imply a sacrifice in terms of returns, and that no evidence was found of consistent, abnormal returns by active management, when evaluated by the modified benchmark.

This dissertation presents five research essays evaluating the performance of managed funds in light of the investment strategy and manager characteristics exhibited by institutional investment companies. An analysis of investment performance with respect to a fund managers strategy provides important information in determining whether performance objectives have been achieved. There are a number of different types of investment strategies managed funds may adopt. However, the primary dichotomy is on the basis of whether the portfolio manager implements either an active or index approach. Active managers attempt to outperform the market through the use of price-sensitive information, whereas a passive manager's objective is to replicate the returns and risk of a target benchmark index. The evaluation of investment manager characteristics is also evaluated. This is motivated on the basis that asset management entities place significant emphasis on both the articulation and differentiation of their investment style relative to competitors, and selling the strengths of their portfolio management skills (in terms of past performance) as well identifying the key individuals comprising their investment team and their unique attributes. For active equity managers, the methods used in constructing portfolios and implementing the investment strategy include security selection, in terms of 'top-down' or 'bottom-up' strategies, value-biased, growth-biased or style-neutral strategies, and portfolios exhibiting market capitalisation biases (i.e. preferences to large or small-cap securities). In terms of active bond portfolio management, the most common strategies include duration management and yield curve positioning. Active managers' strategies are likely to extend beyond stock selection, in particular, where the fund manager adjusts the portfolio's composition in anticipation of favourably capitalising on future movements in the market. For index managers, replication of both the returns and risk of the underlying index may be achieved through either full-replication of constituent stocks comprising the index, or through non-replication techniques (stratified sampling and/or optimisation). Each essay provides a unique contribution to the literature with respect to the performance of active and index funds, as well as an analysis of funds that invest specifically in domestic equities, domestic fixed interest, and diversified funds that invest across the broad spectrum of asset classes. The origins of the performance evaluation literature are ascribed to Cowles' (1933) pioneering work, and the literature has given increasing attention to the topic. However the most fundamental issue considered in almost all previous studies of managed fund performance is the extent to which actively managed portfolios have earned superior risk-adjusted excess returns for investors. The literature has overwhelmingly documented (with a small number of exceptions) that active funds have been unable to earn superior returns, either before or after expenses (e.g. Jensen (1968), Elton et al. (1993), Malkiel (1995), Gruber (1996)). While the international evidence is supported by the few Australian managed fund studies available, Australian research remains surprisingly scarce. This is perplexing considering the sheer size of the investment industry in Australia (around $A717 billion as at 30 June 2001) and the importance placed on the sector with respect to successive Federal Governments' retirement income policies. The objectives of this dissertation therefore involve an analysis of managed fund performance with respect to differences in investment strategies (i.e. active and index), as well as providing an analysis of funds invested in equities, bonds and diversified asset classes (or multi-sector portfolios). The first essay evaluates the market timing and security selection capabilities of Australian pooled superannuation funds. These funds provide institutional investors with exposure to securities across many different asset classes, including domestic and international equities, domestic and international fixed interest, property and cash. Surprisingly, the specific analysis of multi-sector funds is scarce in the literature and limited to Brinson et al. (1986, 1991), Sinclair (1990), and Blake et al. (1999). This essay also evaluates performance for the three largest asset classes within diversified superannuation funds and their contribution to overall portfolio return. The importance of an accurately specified market portfolio proxy in the measurement of investment performance is demonstrated, where the essay employs performance benchmarks that account for the multi-sector investment decisions of active investment managers in a manner that is consistent with their unique investment strategy. This approach rectifies Sinclair's (1990) analysis resulting from benchmark misspecification. Consistent with the literature, the empirical results indicate that Australian pooled superannuation funds do not exhibit significantly positive security selection or market timing skill. Given the evidence in the literature surrounding the inability of active funds to deliver superior returns to investors, lower cost index funds have become increasingly popular as an alternative investment strategy. Despite the significant growth in index funds since 1976, when the first index mutual fund was launched in the U.S., research on their performance is sparse in the U.S. and non-existent in Australia. The second essay provides an original analysis of the Australian index fund market, with specific analysis applicable to institutional Australian equity index funds offered by fund managers. While indexing is theoretically straightforward, in practice there exist potential difficulties in exactly matching the return of the underlying index. Therefore the magnitude of tracking error is likely to be of concern to investors. This essay documents the existence of significant tracking error for Australian index funds, where the magnitude of the difference between index fund returns and index returns averages between 7.4 and 22.3 basis points per month for funds operating at least five years. However, there is little evidence of bias in tracking error, implying that these funds neither systematically outperform or underperform their benchmark on a before cost basis. Further analysis documents that the magnitude of tracking error is related to fund cash flows, market volatility, transaction costs and index replication strategies used by passive investment managers. The third essay presents evidence of the performance of U.S. mutual funds, where attention is given to both active and index mutual funds for which the applicable benchmark index is the S&P 500. This essay examines both the magnitude and variation of tracking error over time for S&P 500 index mutual funds. The essay documents seasonality in S&P 500 index mutual fund tracking error, where tracking error is significantly higher in the months of January and May, together with a seasonal trough in the quarters ending March-June-September-December. Statistical evidence indicates tracking error is both positively and significantly correlated with the dividend payments arising from constituent S&P 500 securities. In terms of a performance comparison between actively managed and index funds, active funds on average are found to significantly underperform passive benchmarks. On the other hand, S&P 500 index mutual funds earned higher risk-adjusted excess returns after expenses than large capitalisation-oriented active mutual funds in the period examined. These results suggest the S&P 500 is consistent with capital market efficiency, implying an absence of economic benefit accruing to the average investor utilising actively managed U.S. equity mutual funds. The fourth essay presented in the dissertation examines the performance of Australian investment management organisations with direct reference to their specific characteristics and strategies employed. Using a unique information source, performance is evaluated for actively managed institutional balanced funds (or diversified asset class funds), Australian share funds and Australian bond funds. Performance is evaluated with respect to the investment strategy adopted, the experience and qualifications held by investment professionals, and the tenure of the key investment professionals. This essay also evaluates the performance of senior sector heads to determine the skills of individuals driving the investment process, even though these individuals may migrate to competitor organisations. The essay finds evidence that a significant number of active Australian equity managers earned superior risk-adjusted returns in the period, however active managers perform in line with market indices for balanced funds and Australian bond funds. A number of manager characteristics are also found to predict risk-adjusted excess returns, systematic risk and investment expenses. Of particular note, performance of balanced funds is negatively related to the institution's age and the loyalty of non-senior investment staff. Performance is also found to be significantly higher for managers that predominantly operate their portfolios using a bottom-up, stock selection approach. Interestingly, the human capital of managers, measured as the years of tertiary education undertaken, does not explain risk-adjusted excess returns. Systematic risk is positively related to an institutions age and negatively related to both senior manager loyalty and the implementation of bottom-up portfolio management strategies. In terms of management expenses, fees are directly related to the Australian equities benchmark allocation, the years of tertiary education, the number of years service (loyalty) for non-senior investment professionals and the total years experience of senior money managers. This concluding essay also documents that changes in top management have significant performance effects. In the 12-month period after a change in fixed income director or chief investment officer, performance is significantly lower and significantly higher, respectively. There is no significant difference in performance where changes in top management occur for Australian equities. The years of service (loyalty) provided to asset management firms by equities directors is inversely related to risk-adjusted return. The fifth and final essay examines the investment performance of active Australian bond funds and the impact of investor fund flows on portfolio returns. This essay represents a significant and original analysis in terms of its contribution to the literature, given the absence of Australian bond fund performance analytics and also the limited attention provided in the U.S. Both security selection and market timing performance is evaluated using both unconditional models and conditional performance evaluation techniques, which account for public information and the time-variation in risk. Overall, the results of this essay are consistent with the U.S. and international mutual fund evidence, where performance is found to be consistent with an efficient market. While actively managed institutional funds perform broadly in line with the index before expenses, the paper documents significant underperformance for actively managed retail bond funds after fees. The study also documents that retail fund flows negatively impact on market timing coefficients when flow is not accounted for in unconditional models.

This dissertation presents five research essays evaluating the performance of managed funds in light of the investment strategy and manager characteristics exhibited by institutional investment companies. An analysis of investment performance with respect to a fund managers strategy provides important information in determining whether performance objectives have been achieved. There are a number of different types of investment strategies managed funds may adopt. However, the primary dichotomy is on the basis of whether the portfolio manager implements either an active or index approach. Active managers attempt to outperform the market through the use of price-sensitive information, whereas a passive manager's objective is to replicate the returns and risk of a target benchmark index. The evaluation of investment manager characteristics is also evaluated. This is motivated on the basis that asset management entities place significant emphasis on both the articulation and differentiation of their investment style relative to competitors, and selling the strengths of their portfolio management skills (in terms of past performance) as well identifying the key individuals comprising their investment team and their unique attributes. For active equity managers, the methods used in constructing portfolios and implementing the investment strategy include security selection, in terms of 'top-down' or 'bottom-up' strategies, value-biased, growth-biased or style-neutral strategies, and portfolios exhibiting market capitalisation biases (i.e. preferences to large or small-cap securities). In terms of active bond portfolio management, the most common strategies include duration management and yield curve positioning. Active managers' strategies are likely to extend beyond stock selection, in particular, where the fund manager adjusts the portfolio's composition in anticipation of favourably capitalising on future movements in the market. For index managers, replication of both the returns and risk of the underlying index may be achieved through either full-replication of constituent stocks comprising the index, or through non-replication techniques (stratified sampling and/or optimisation). Each essay provides a unique contribution to the literature with respect to the performance of active and index funds, as well as an analysis of funds that invest specifically in domestic equities, domestic fixed interest, and diversified funds that invest across the broad spectrum of asset classes. The origins of the performance evaluation literature are ascribed to Cowles' (1933) pioneering work, and the literature has given increasing attention to the topic. However the most fundamental issue considered in almost all previous studies of managed fund performance is the extent to which actively managed portfolios have earned superior risk-adjusted excess returns for investors. The literature has overwhelmingly documented (with a small number of exceptions) that active funds have been unable to earn superior returns, either before or after expenses (e.g. Jensen (1968), Elton et al. (1993), Malkiel (1995), Gruber (1996)). While the international evidence is supported by the few Australian managed fund studies available, Australian research remains surprisingly scarce. This is perplexing considering the sheer size of the investment industry in Australia (around $A717 billion as at 30 June 2001) and the importance placed on the sector with respect to successive Federal Governments' retirement income policies. The objectives of this dissertation therefore involve an analysis of managed fund performance with respect to differences in investment strategies (i.e. active and index), as well as providing an analysis of funds invested in equities, bonds and diversified asset classes (or multi-sector portfolios). The first essay evaluates the market timing and security selection capabilities of Australian pooled superannuation funds. These funds provide institutional investors with exposure to securities across many different asset classes, including domestic and international equities, domestic and international fixed interest, property and cash. Surprisingly, the specific analysis of multi-sector funds is scarce in the literature and limited to Brinson et al. (1986, 1991), Sinclair (1990), and Blake et al. (1999). This essay also evaluates performance for the three largest asset classes within diversified superannuation funds and their contribution to overall portfolio return. The importance of an accurately specified market portfolio proxy in the measurement of investment performance is demonstrated, where the essay employs performance benchmarks that account for the multi-sector investment decisions of active investment managers in a manner that is consistent with their unique investment strategy. This approach rectifies Sinclair's (1990) analysis resulting from benchmark misspecification. Consistent with the literature, the empirical results indicate that Australian pooled superannuation funds do not exhibit significantly positive security selection or market timing skill. Given the evidence in the literature surrounding the inability of active funds to deliver superior returns to investors, lower cost index funds have become increasingly popular as an alternative investment strategy. Despite the significant growth in index funds since 1976, when the first index mutual fund was launched in the U.S., research on their performance is sparse in the U.S. and non-existent in Australia. The second essay provides an original analysis of the Australian index fund market, with specific analysis applicable to institutional Australian equity index funds offered by fund managers. While indexing is theoretically straightforward, in practice there exist potential difficulties in exactly matching the return of the underlying index. Therefore the magnitude of tracking error is likely to be of concern to investors. This essay documents the existence of significant tracking error for Australian index funds, where the magnitude of the difference between index fund returns and index returns averages between 7.4 and 22.3 basis points per month for funds operating at least five years. However, there is little evidence of bias in tracking error, implying that these funds neither systematically outperform or underperform their benchmark on a before cost basis. Further analysis documents that the magnitude of tracking error is related to fund cash flows, market volatility, transaction costs and index replication strategies used by passive investment managers. The third essay presents evidence of the performance of U.S. mutual funds, where attention is given to both active and index mutual funds for which the applicable benchmark index is the S&P 500. This essay examines both the magnitude and variation of tracking error over time for S&P 500 index mutual funds. The essay documents seasonality in S&P 500 index mutual fund tracking error, where tracking error is significantly higher in the months of January and May, together with a seasonal trough in the quarters ending March-June-September-December. Statistical evidence indicates tracking error is both positively and significantly correlated with the dividend payments arising from constituent S&P 500 securities. In terms of a performance comparison between actively managed and index funds, active funds on average are found to significantly underperform passive benchmarks. On the other hand, S&P 500 index mutual funds earned higher risk-adjusted excess returns after expenses than large capitalisation-oriented active mutual funds in the period examined. These results suggest the S&P 500 is consistent with capital market efficiency, implying an absence of economic benefit accruing to the average investor utilising actively managed U.S. equity mutual funds. The fourth essay presented in the dissertation examines the performance of Australian investment management organisations with direct reference to their specific characteristics and strategies employed. Using a unique information source, performance is evaluated for actively managed institutional balanced funds (or diversified asset class funds), Australian share funds and Australian bond funds. Performance is evaluated with respect to the investment strategy adopted, the experience and qualifications held by investment professionals, and the tenure of the key investment professionals. This essay also evaluates the performance of senior sector heads to determine the skills of individuals driving the investment process, even though these individuals may migrate to competitor organisations. The essay finds evidence that a significant number of active Australian equity managers earned superior risk-adjusted returns in the period, however active managers perform in line with market indices for balanced funds and Australian bond funds. A number of manager characteristics are also found to predict risk-adjusted excess returns, systematic risk and investment expenses. Of particular note, performance of balanced funds is negatively related to the institution's age and the loyalty of non-senior investment staff. Performance is also found to be significantly higher for managers that predominantly operate their portfolios using a bottom-up, stock selection approach. Interestingly, the human capital of managers, measured as the years of tertiary education undertaken, does not explain risk-adjusted excess returns. Systematic risk is positively related to an institutions age and negatively related to both senior manager loyalty and the implementation of bottom-up portfolio management strategies. In terms of management expenses, fees are directly related to the Australian equities benchmark allocation, the years of tertiary education, the number of years service (loyalty) for non-senior investment professionals and the total years experience of senior money managers. This concluding essay also documents that changes in top management have significant performance effects. In the 12-month period after a change in fixed income director or chief investment officer, performance is significantly lower and significantly higher, respectively. There is no significant difference in performance where changes in top management occur for Australian equities. The years of service (loyalty) provided to asset management firms by equities directors is inversely related to risk-adjusted return. The fifth and final essay examines the investment performance of active Australian bond funds and the impact of investor fund flows on portfolio returns. This essay represents a significant and original analysis in terms of its contribution to the literature, given the absence of Australian bond fund performance analytics and also the limited attention provided in the U.S. Both security selection and market timing performance is evaluated using both unconditional models and conditional performance evaluation techniques, which account for public information and the time-variation in risk. Overall, the results of this essay are consistent with the U.S. and international mutual fund evidence, where performance is found to be consistent with an efficient market. While actively managed institutional funds perform broadly in line with the index before expenses, the paper documents significant underperformance for actively managed retail bond funds after fees. The study also documents that retail fund flows negatively impact on market timing coefficients when flow is not accounted for in unconditional models.

I examine the motivations of mutual fund families when deciding what mutual funds to launch, when to launch them, and how they are going to be launched. I begin by analyzing the influence of investor preferences on the flow to open-end mutual funds by associating flow to a fund with the degree to which the fund has an in-favor or trendy name. Results show that funds which conform to market-wide trends generate significantly higher inflows compared to less trendy funds. In my third chapter I examine the decision to launch a fund and show that investment companies have motivation, in the absence of any investment ability, to launch a trendy fund. Launching a trendy fund is beneficial to the fund family, generating additional revenue through fee collection, but is potentially harmful to investors with trendy fund startups underperforming non-trendy fund startups by over 1% per year. My fourth chapter examines the process of mutual fund incubation and shows that funds generate greater inflows post-incubation as a result of investors' positive response to incubation period performance. However, incubation appears to be used for reasons beyond generating a track record of performance. Specifically, fund families are more likely to release underperforming incubated funds if they are struggling to attract inflows to a large objective class.

Preview:     SEB Investment Strategy is the function in SEB that supports business units SEB      Private Banking and SEB Retail with investment philosophy and investment            process. The framework of SEB Investment Strategy encompasses to manage a     structured investment philosophy and process to produce a range of investment                    options and portfolios for different target groups. From January 2006 to October        2009 forty “Proposal for fund portfolios” were produced each containing         writing on market condition and expectations plus portfolio recommendations.        Each time four portfolios consisting of six mutual funds was recommended,                    Fund Portfolio 30, 50, 70 and 100. Fund Portfolio 30 (FP30) contained           30% equity fund and 70% fixed-income funds. By same reasoning FP50           contains 50/50 equity- and fixed-income funds, FP70, 70% equity funds and         30% fixed-income funds and FP100 only equity funds.   Purpose:      The aim of this work is to evaluate these SEB Investment Strategy recommended       portfolios for private SEB Retail clients from January 2006 to December 2009.    Evaluation is done by comparing the performance of recommended portfolios       with portfolios produced by applying Vasicek´s Technique and simplified   optimization technique.   Method:     To allow work with Vasicek´s Technique in which we are dependent on a market        portfolio, I have created an Index which includes SEB Mutual Funds and their         share of the Index is determined from each fund´s total assets in relation to the    sum of the total assets under management of all funds inclusive in the Index.   Index consists of 40 mutual funds 2002-2007 and 37 mutual funds 2008         and 2009. The total supply of funds has been reduced to the above numbers by             the following criteria:   Clients must be able to invest in funds through conventional SEB Fund Account. No initiation fees or sales charges. Minimum historical Net Asset Value prices (NAV-prices) from 2nd January 2002. Daily trading and at least 300 million SEK in assets under management. No Fund-in-Fund products. Only SEB or SEB Choice funds.   The closing daily NAV-prices (time series) of these funds have been obtained from seb.se/fonder from 2nd January 2002 to 28th December 2009. With prices daily returns are calculated and used for estimation of historical and average values of variables needed for computing forecasted Alphas and Betas according to Vasicek´s Technique. Mutual funds are then ranked with respect to excess return over forecasted Beta given risk free rate equal to Swedish government 1 month treasury-bill (SSVX1M) at time for optimisation. Top six ranked funds are included in the optimization process. The first optimized portfolio given actual T-bill is then compared to FP100 recommended by SEB Investment Strategy. In order to find optimized solutions to other recommended portfolios premiums are added to actual T-bill rate.

Thesis (MBA)--Stellenbosch University, 2004.<br>ENGLISH ABSTRACT: The two investment strategies, active and passive (index) investing, were evaluated by comparing the average performance of actively managed funds in the general equity category of the South African unit trust sector with its benchmark, the ALSI index. Various comparative methodologies were followed in the analysis and covered the period 1988-2003. When the upfront costs applicable to the active funds were excluded it was found that active funds on average outperformed the index benchmark. However, when including these costs the index outperformed the average of active fund returns. Similarly, on a risk-adjusted basis the index benchmark fared better than the average of actively managed funds. Index investing, despite its superior performance on average, would not have been a low risk strategy and investors would have experienced volatile returns. Over time index investing and active management repeatedly replaced one another as the dominant investment strategy. A fundamentalist approach about any one of the strategies is not prudent and it is argued that an integration approach of both strategies would have yielded the highest reward per unit risk, based on past experience. When following a strategy of combining both strategies in various combinations over different investment periods, it was found that the highest reward to risk ratio was attained by increasing index investing relative to active investing with an increase in the investment horizon. Simply put, the longer one’s investment term, the more index investing should be followed. Hereby it can be argued that over the long run it is difficult for active management to consistently beat the market. Therefore, investment strategies should be aligned with one’s faith in the efficiencies of markets over time and not be overly influenced by short-term performance records of active managers.<br>AFRIKAANSE OPSOMMING: Die twee verskillende beleggingsbenaderings, naamlik aktiewe en passiewe (indeks) beleggingsbestuur, is beoordeel deur die gemiddelde opbrengste van die aktief-bestuurde fondse in die algemene aandeelkategorie van die Suid-Afrikaanse effektetrustbedryf met hul beleggingsmaatstaf, die ALSI indeks, te vergelyk. Verskillende vergelykende metodes is in die ontleding gebruik wat die oorsigtydperk 1988-2003 gedek het. Indien aanvangskoste by die aktief-bestuurde fondse buite rekening gelaat word, het hul gemiddelde opbrengs oor die algemeen die opbrengste van die indeks oorskry. Wanneer dié koste wel in ag geneem word, het die indeks egter die gemiddeld van die aktief-bestuurde fondse geklop. Soortgelyk, het die indeks beter as die gemiddelde van die risiko-aangepaste opbrengste van die aktief-bestuurde fondse vertoon. ‘n Indeksbenadering sou ten spyte van sy beter opbrengste oor die algemeen nie ‘n lae risiko strategie verteenwoordig nie en beleggers sou wisselvallige opbrengste ondervind het. ‘n Indeksbenadering en aktiewe bestuur het mekaar oor die verloop van tyd herhaaldelik afgewissel as die dominante beleggingstrategie. ‘n Eensydige benadering ten opsigte van enige van die strategieё sal nie deug nie en dit word eerder voorgehou dat ‘n integrasie van beide strategieё in die verlede die hoogste opbrengs per risiko-eenheid sou opgelewer het. Deur verskillende kombinasie-moontlikhede oor verskillende beleggingsperiodes te toets, is bevind dat die hoogste opbrengs per risikovlak verkry word deur die indeksbenadering te verhoog met ‘n toename in die beleggingshorison. Eenvoudig gestel, hoe langer die beleggingstermyn, hoe meer passiewe bestuur moet in die beleggingsportefeulje gevolg word. Hierdeur kan aangevoer word dat aktiewe bestuur oor die langer termyn moeilik die mark gaan uitpresteer. Indien ‘n belegger in die langtermyn doeltreffendheid van die mark glo, behoort die beleggingstrategie dienooreenkomstig daarby aangepas te word en nie volgens die korttermyn prestasies van aktiewe bestuurders nie.

For as long as managed mutual funds have been in existence there has been a desire to accurately assess their relative performance against each other, and also their respective performance in relation to an appropriate stock market index. There has been a specific interest in whether the expensive, professionally managed mutual funds can justify their high cost with respect to low cost, simple index trackers by producing superior, post-cost performance, and this proposition is implicitly tested within this thesis. The aim of this thesis is to undertake an empirical assessment of the managerial performance of mutual funds utilising a three-stage DEA-SFA-DEA methodology which combines linear mathematical programming (DEA) and stochastic frontier analysis (SFA). Specifically, this thesis focuses on evaluating the managerial performance of UK domiciled open-ended investment companies (OEICs) and unit trusts (UTs) over a three year period from 1st January 2008 to 31st December 2010. Various DEA models are utilised including CCR, BCC and SBM DEA models with various orientations, and also versions of these DEA models which make use of the SORM procedure. These are used to carry out an initial evaluation of the managerial performance of the OEICs/UTs, before two of these DEA models are combined with SFA regression analysis in a three-stage DEA-SFA-DEA methodology to purge the influence of environmental factors and statistical noise, thus leading to a more robust evaluation of the true managerial performance of the OEICs/UTs under assessment. The results of this thesis extend support to the premise of the Efficient Market Hypothesis (EMH) that financial markets are information efficient , and thus it is not possible, given the information available when the investment is made, to consistently obtain returns in excess of the average market return on a risk-adjusted basis, and this thesis does so through the use of a novel approach.

Thesis (Ph. D.)--University of California, San Diego, 2006.<br>Title from first page of PDF file (viewed October 10, 2006). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references (p. 174-178).

The first essay of this dissertation investigates the relationship between downside risk and returns of real estate investment trusts (REITs) and assesses the performance of real estate mutual funds (REMFs). We measure the asymmetric risk through downside and upside betas and through the measures incorporated higher moments such as coskewness and Leland's beta. We do not find significant contemporary relationship between the asymmetric risk and returns of REITs. There are only a small portion of REITs reacting to up and down market conditions differently. We find weak evidence that this asymmetric movement of REITs to market may be due to small and value components embedded in REITs. We evaluate the performance of real estate mutual funds (REMFs) from the asymmetric risk perception. According to our results, most of REMFs do not outperform the market. The downside risk helps to explain some of the abnormal returns associated with REMFs. However, the evaluation may be sensitive to the choices of the model and the market index being used. The second essay examines the liquidity of Asian REITs. We use various measures to assess the liquidity of JREITs and SREITs. The overall evidence indicates that the liquidity of JREITs is greater than that of SREITs. Comparing to non-REIT stocks, JREITs are less liquid than Japanese common stocks while there is no significant difference in liquidity between SREITs and Singaporean common stocks. There is also strong evidence that US REITs have smaller spreads and are traded more often than both JREITs and SREITs. We also find that the primary determinants of JREIT spreads are turnover and return volatility. The secondary factors that affect the spread of JREITs are life and property holdings. The dominant factors affecting SREITs' spreads are price, return volatility, and life. The significance of life suggests that there is a learning effect existed in both JREIT and SREIT markets in 2005.

Background: There has been an increase in savings and investment in recent years along with an increased interest in responsible investments. Ethical mutual funds has developed and gained increasingly popularity. Aim: The aim of the study is to examine if ethical mutual funds are an equivalent alternative to traditional mutual funds in terms of return, risk and risk-adjusted return on the Swedish stock market. Theory: Beta, Jensen's Alpha, Sharpe ratio, Treynor ratio, and Modern Portfolio Theory. Method: Quantitative survey method, a statistical study. Conclusion:The study concludes that there is no significant difference between ethical and conventional mutual funds in terms of return, risk and risk-adjusted return. The small differences that exist between the two fund groups are in favor of the ethical fund group, indicating that funds is a comparable investment option compared to traditional mutual funds.

Literature reveals studies on mutual fund performance analysis and persistency, with various results. Some studies support hort term performance persistence, while the rest claiming no such persistency among the portfolios. This thesis is an attempt to analyze the performances of Turkish open-end mutual funds for the period of 2003-2010 and search for persistency by extending the time period to June 2011. For performance evaluation, single factor CAPM and ama-French&rsquo<br>s Three Factor Model are applied. Persistency analysis is done by tracking the relative fund performances on a monthly basis. The results of this study indicate that for the sample period, Turkish A Type mutual funds neither overperform nor underperform the overall market. Nearly all Jensen&rsquo<br>s alphas are found to be zero, statistically significant. This is also an implication that the mutual funds are earning their expected returns in an efficient mutual fund market in Turkey. The Fama-French&rsquo<br>s three factor model shows slightly better performance, on the other hand. The size and book to market equity factors are not found significant in general, however they are found jointly significant in all regressions. Persistency is analyzed by tracking the mutual fund erformances on monthly basis. When some mutual funds showed negative or positive performance persistency during the period individually, but the overall picture demonstrates a balanced distribution of performance groups. The number Loser-Loser performances is slightly more than the other three groups, resulting in a tendency for short term negative persistency for the sample analyzed between the period of January 2003 to June 2011.

I investigate whether the business relations between mutual funds and brokerage firms influence sell-side analyst coverage and recommendations. Using a comprehensive sample of analyst recommendations in China over the 2004-2008 period, I find that the likelihood of analyst coverage and analysts’ relative recommendations, benchmarked against consensus recommendations, are positively associated with the mutual fund business relationship. I measure the business relation by the weight of a stock in the mutual fund client’s portfolio and the commission revenue generated from the mutual fund clients. My results show that mutual funds take advantage of these optimistic recommendations by selling the stocks. I also find evidence that analysts employed in politically connected brokerage firms inflate their recommendations on state-controlled listed enterprises. Lastly, I examine the short-term and long-term investment returns from a strategy that follows the analyst recommendations. In the short-term, I find positive stock returns, which benefit the client mutual funds. However, I also find evidence that investors recognize the conflict of interest and caps the stock price increases. In the longer-term, the strong buy and buy recommendations yield zero or negative stock returns.

Thesis (MBA)--Stellenbosch University, 2004.<br>ENGLISH ABSTRACT: In this study project, the performance and fund flows to open-end collective investment schemes available in South Africa that are advertised in the Personal Finance newspaper and Financial Mail magazine, are examined. The sample consists of 34 open-ended unit trust funds from 4 different asset managers. Two main objectives are addressed: the first main objective is to test whether collective investment schemes advertisements are used to signal superior management skills by examining the performance of the funds prior to placing the advertisement and measuring the performance in the post-advertising period. The second main objective is to test whether advertising is used to attract more fund flows to the funds. The results indicate that the fund managers advertised their funds at a time when the funds were under-performing, showing no significant superior performance. In the one-year period following the advertisement their performance was marginally better than the bench marked performance. The results indicate that superior fund management skills exist and that timing of the placement of the advertisement is important. The fund flow analysis shows that advertised funds attract significantly more money in comparison to the funds in a control group with similar characteristics. Once again the results could be attributed to superior fund management skills or the timing of the marketing department.<br>AFRIKAANSE OPSOMMING: In hierdie studieprojek word die prestasie en fondsvloei van kollektiewe beleggingskemas wat in Suid-Afrika beskikbaar is en in Personal Finance koerant en Financial Mail tydskrif geadverteer word, ondersoek. Die steekproef bestaan uit 34 kollektiewe beleggingsfondse van vier verskillende batebestuurders. Twee hoofdoelwitte word bespreek: die eerste hoofdoelwit is om te toets of kollektiewe beleggingsfondse advertensies gebruik om superieure bestuursvaardighede aan te dui, deur die prestasie van die fonds voor die advertensieplasing en die prestasie in die post-advertensie periode te ondersoek. Die tweede hoofdoelwit is om te toets of advertensies gebruik word om fonds invloeie na die fonds aan te trek. Die resultate dui aan dat die fondsbestuurders hul fondse adverteer op 'n tydstip wanneer die fonds onderpresteer, wat nie enige betekenisvolle superieure prestasie voorstel nie. In die een-jaar periode na die advertensieplasing, was hul prestasie marginaal beter as die verwysingspunt (standaard) prestasie. Die resultate dui aan dat superieure bestuursvaardighede wel bestaan en dat die tydsberekening van die advertensieplasing belangrik is. Die fondsvloei analise wys dat geadverteerde fondse betekenisvol meer geld inbring in vergelyking met die fondse in 'n kontrole groep met gelyksoortige karaktertrekke. Weereens kan die resultate toegeskryf word aan superieure bestuursvaardighede of die tydsberekening van die plasing van die advertensie.

During the beginning of 2020, the world was struck by the vicious virus COVID­19, forcing societies into lockdown. Demand froze across the board and this was quickly reflected on stockmarkets worldwide. The Swedish stock market index, OMXS30, plummeted around 30% in a matter of weeks. As an investor, it can be difficult to navigate the financial market and make investment decisions during such turbulent periods. The goal of this study is to analyze the decision-making made by Swedish mutual fund managers during the turbulent market period of 2020, to identify common behavior. This is done through interviewing fund managers of major Swedish mutual funds. The results of the study imply that a specific template for decision-­making amongst fund managers is difficult to create. Yet, a common and early decision during market corrections is to reduce positions in assets performing well in order to maintain fund liquidity and capture new investment opportunities created by the correction. Making decisions during market volatility is a difficult process that is dependant on factors such as investment mandates, internal resources, investment ­horizon and preferred valuation methods.<br>Under början av 2020 spreds viruset COVID­19 över stora delar av världen, vilket tvingade samhällen att stänga ner och införa restriktioner för att minska smittospridningen. Efterfrågan föll på bred front och detta återspeglades snabbt på aktiemarknaderna världen över. Det svenska aktieindexet OMXS30 rasade runt 30% på ett par veckor. Under sådanna turbulentaperioder på börsen kan det vara svårt som investerare att navigera och göra rätt beslut kring investeringar. Målet med denna studie är att analysera beslutsprocessen vid investeringar hos svenska fondförvaltare under den volatila marknadsperioden 2020, för att försöka identifiera likheter. En rad intervjuer har utförts för att samla in information om förvaltarnas beslutsprocesser. Resultaten från studien visar att det är svårt att hitta en gemensam metod som fondförvaltare använder vid beslutsfattande i turbulenta marknadsperioder. Trots det, är det vanligaste och tidigaste beslutet att minska positioner i tillgångar som klarat sig väl tidigt i nedgången för att upprätthålla fondens likviditet och kunna investera i nya möjligheter skapade av börsnedgången. Att fatta beslut i fonder under marknadsvolatilitet är en svår process som är beroende av faktorer som investeringsmandat, interna resurser, placeringshorisont och värderingsmetod.

碩士<br>國立交通大學<br>管理學院碩士在職專班經營管理組<br>94<br>In the fast-growing mainland Chinese market, mutual funds are still newly-emerging financial intermediaries. After the Chinese government lifted the limitation the overall fund size in China has been increasing tremendously during the past one year due to soaring demands from local people as well as Taiwanese investors. This study computes monthly performance of 71 mutual funds (including 54 closed-end and 17 open-end mutual funds) in mainland China from December 2002 to December 2005. The panel data set is constructed mainly from China Securities Regulatory Commission, Shanghai Stock Exchange, Shenzhen Stock Exchange, People’s Bank of China, Hexun.com, and Chinafund websites. This thesis is organized as follows: Chapter 1 introduces the motive and objective of the study as well as the current status of China mutual fund market. Chapter 2 is the history and the development of mutual funds market in China. Chapter 3 states the theoretical background by reviewing literature on performance evaluation of mutual funds in Taiwan and China. Chapter 4 is the research methodology, including hypothesis setup, definitions of financial performance indices, and the Mann-Whitney U test. Chapter 5 is the empirical analysis in which three research hypotheses verified. Chapter 6 contains the conclusion and suggestion. Some mutual funds significantly outperformed the market stock index changes with respect to Sharpe, Jensen, and Treynor indices. Especially for the Jensen index, 49 significantly outperformed the Shengzhen stock price index, implying that the superior stock selection ability is a key factor for a mutual fund’s performance.

While much of the previous research on mutual funds has concentrated on finding the relationship between the investment style, the past performance and the future performance of funds, very few of the studies have paid attention to the effect of a mutual fund manager’s execution of investment style on fund returns. Using return-based analysis methodologies for measuring the style consistency of Chinese mutual funds, this thesis demonstrates that the less style-consistent funds tend to produce higher future risk-adjusted returns than more consistent mutual funds, even after controlling for past performance and net asset value (NAV). Further, these findings are robust across mutual fund investment style classifications, test period intervals (one-year or one-quarter interval), and the model used to calculate the expected returns (four-factor model and Sharpe’s style analysis model). This thesis also documents the performance-persistency effects that exist in Chinese mutual funds, which remain persistent even under the condition of style consistency. More importantly, the research discovered that at a time of change in the Chinese stock market, the negative correlation between style consistency and future performance becomes weaker. The study concludes that style consistency does matter for mutual funds’ future risk-adjusted returns and that there is a significant negative correlation with mutual funds’ future risk-adjusted performance in the longer term (i.e., over the entire test period). Moreover, this connection is distinct from those related to the past risk-adjusted performance and NAV of mutual funds. It is also clear that a significant negative correlation between style consistency and the future risk-adjusted return does exist in Chinese stock and asset allocation mutual funds, even after adjusting for the investment style of the fund. Finally, this thesis provide a mutual funds picking strategy for investors base on the main findings of this study, which can provide significant positive alpha at each year during the test period.

碩士<br>淡江大學<br>財務金融學系碩士在職專班<br>102<br>The thesis aims to investigate the Markowitz portfolio theory associate with the VIX fear index and apply to mutual fund portfolios, hoping to provide investors when investing in mutual funds as to when the VIX index and sharply pulled low reference standards. It also allows ordinary investors to avoid chasing the high and kill low investment strategy, and long-term vision to look at investing in mutual funds. This data contain year 2012 to 2014 which obtained from Morningstar Fund Awards Fund and be established more than ten years. According to the mean-variance model of Markowitz (1952), we can seek the optimal efficiency of the leading edge of efficient portfolio model for the study, divided into six months trading period, quarter,month, and based on the VIX trading at 20% of ups and downs to make decisions and Change 10% of investment, respectively. Empirical results show that the average rate of return of VIX-20% is greater than the VIX-10%, a longer period of return on investment is better than trading during trading knowledge. Based on MV portfolio theory and every six months performance,the VIX-20% is the best trade rule. In summary, the empirical results prove that Markowitz portfolio theory and the VIX volatility strategies provide investors as a reference portfolio.

碩士<br>國立高雄應用科技大學<br>國際企業研究所<br>103<br>Mutual funds have become to one of the most important tool of investment in Taiwan, and inventors always keep finding ways to gain the best investment performance. This study selects 50 mutual funds which have more than 8 years of duration as research sample to analyze the earning ability of 7 technical indicators including KD, MA, MAMA, EMA, EMAEMA, DEMA and BBI. The empirical results are: 1. Each technical indicator along with different time period has no significant difference in cumulative return. 2. Although each technical indicator has no significant difference in cumulative return, if transaction cost is considered, the best time period of each technical indicator is KD50, MA60, MA(MA60), EMA60, EMAEMA60, DEMA60 and BBI(MA20/30/40/60). 3. There is no significant difference in the cumulative return among KD50, MA60, MA(MA60), EMA60, EMAEMA60, DEMA60 and BBI(MA20/30/40/60). However, EMAEMA60 requires the least transaction cost, so it is the best technical indicator. 4. By using MA indicator to analyze annual return of research sample, the top six within 50 mutual funds are all Growth Funds that invest Taiwan stock market. Key Words: Mutual funds, Technical Analysis, Stochastics Indicator (KD), Moving Average (MA), BBI

碩士<br>國立中正大學<br>財務金融所<br>95<br>Using three-factors model and four-factors model, I study mutual fund performance measures.I find that there is different fund performance for different fund’s style. Using odds ratio, I explore performance persistence in Taiwan equity mutual funds.The results do not support persistence in Taiwan equity mutual fund’s return whether adopting half-year fund return or quarter fund return.

碩士<br>國立雲林科技大學<br>財務金融系<br>106<br>This study chooses different types of mutual funds as research samples to explore the fund investment of 3 months, 6 months, 9 months and 1 year in the mutual fund research investment period selected by the 4433 rule and Sharpe index can have good performance. We can find that most of the funds have good investment performance, and the investment performance of the Jingshun Taiwan Select Growth Fund is better. In addition, we use the weighted stock price index return rate as a benchmark portfolio for measuring performance to explore whether these two selection methods really have good performance. The result found that most of the performance was significant, and the excess returns and system risks of the Invesco Select Growth Fund in Taiwan was also significant, so the results showed that the average performance of the funds were selected by the 4433 rule or the Sharpe index can indeed outperform the market. Investors can select funds and invest according to their own risk nature.

Mutual funds are a popular investment option among retail investors in India. Understanding the perception of mutual funds is essential to develop effective marketing strategies and investment products that cater to the needs of investors. This study sheds light on the many kinds of risks included in a mutual fund investment plan. Investors in this industry who invest in mutual funds and non-mutual funds provided the data. The correlation between asset allocation and variables including liquidity, financial literacy, and demographics is the main emphasis of this study. Highly risky funds and the liquidity of the fund scheme and the disadvantage of the mutual fund were expected to influence the investor's view of mutual fund investing. The primary source of data collected via the survey was used for the topical research. The study's shortcomings include a timescale and a small number of participants. As a result, more people prefer to put money into safe investments. In recent years, mutual funds have been a popular tool for securing one's financial independence. Mutual Funds haven't merely helped households profit from the prosperity of Indian Manufacturing, they've additionally added to the booming economy of India.

Finance & its functions are the part of economic activity. Finance is very essentially needed for all types of organizations viz; small, medium, large-scale industries & service sector. Hence the role of finance manager & the subject finance accounting gained maximum importance. Liberalization, globalization & privatization created new challengers to entrepreneur & corporate in carrying they’re day to day activities. So, “finance is regarded as the life blood of a business organization.” MBA(E) is a professional course which develop a new body of knowledge & skill set & make as available for those seeking challenging carriers in the of liberalization & globalization. The goal of the project work is to give a corporate exposure to the students as well as to give them an opportunity to apply theory into the practice. The real business problems are drastically different from class-room case solving. Project work aims to providing little insight into working of an organization to a management trainee. Among every stage of knowledge being inculcated in students, practical training in the corporate world plays a significant role in exhibiting and pruning their capabilities. The purpose behind writing a report is to put in to works the practical training that is imparted to me that gives a better and a clear understanding of the experience I got. Since I am doing MBA(E) with specialization in Finance, therefore I chose the following topic for my project work wherein I have tried to explore many areas of the subject in my project report.

by Chi Chun Hung, Michael, Lo Kwai Sang, Dennis.<br>Thesis (M.B.A.)--Chinese University of Hong Kong, 1995.<br>Includes bibliographical references (leaves 101-103).<br>ABSTRACT --- p.iii<br>TABLE OF CONTENTS --- p.vi<br>LIST OF TABLE --- p.ix<br>PREFACE --- p.1<br>Chapter CHAPTER I --- INTRODUCTION --- p.3<br>Scope of Study and Topics for Discussion --- p.4<br>Research Methodology --- p.5<br>Chapter CHAPTER II --- SOME CONCEPTS ON COLLECTIVE INVESTMENT --- p.6<br>Definitions of Collective Investment --- p.6<br>Functions of Collective Investment --- p.6<br>Professional management --- p.7<br>Risk diversification --- p.7<br>Liquidity and savings of transaction costs --- p.7<br>Entry to Overseas Markets --- p.8<br>Regulations and Disclosure --- p.8<br>Record Keeping --- p.9<br>Challenges to CIS --- p.9<br>The Product --- p.10<br>Chapter CHAPTER III --- THE COLLECTIVE INVESTMENT FUND MARKET IN HONG KONG --- p.13<br>The Developments Of The Equity Market In Hong Kong --- p.13<br>A Brief History Of The Hong Kong Stock Market --- p.13<br>Capital Raising At The Stock Market --- p.15<br>Regulatory Environment --- p.16<br>Market Size & Growth Of CIS --- p.20<br>Market Development --- p.20<br>Boom and Bust in the Past Two Years --- p.21<br>Market Prospects --- p.24<br>Near Future --- p.24<br>Competition --- p.25<br>Distribution --- p.27<br>Chapter CHAPTER IV --- THE STRUCTURE OF COLLECTIVE INVESTMENT SCHEMES --- p.28<br>Mutual Fund Vs Unit Trust --- p.28<br>Open-end Vs Closed-end Funds --- p.29<br>Constituents of a CIS --- p.31<br>Trustee/Custodian --- p.31<br>Investment Advisor --- p.32<br>Fiduciary Duty and Conflicts of Interest --- p.32<br>Chapter CHAPTER V --- THE REGULATORY ENVIRONMENT IN HONG KONG --- p.34<br>Authorization --- p.35<br>The Fit and Proper Rule --- p.37<br>Fund Manager --- p.37<br>Trustee/Custodian --- p.38<br>Information Disclosure --- p.39<br>Constitutive Document --- p.39<br>Offering document --- p.40<br>Continuing Obligations --- p.41<br>Promotion --- p.42<br>Investment Restrictions --- p.42<br>Conflicts of Interest --- p.43<br>Tax --- p.44<br>Recognized Jurisdictions --- p.45<br>Specialized Funds --- p.45<br>Private Offerings --- p.46<br>Registration --- p.46<br>Fees --- p.48<br>Recent Deregulatory Changes --- p.48<br>Chapter CHAPTER VI --- A COMPARISON WITH OTHER JURISDICTIONS --- p.50<br>Protection of Investors --- p.50<br>Restrictions on Funds Promotion --- p.51<br>Regulations of Operators --- p.54<br>Restrictions on Types of Investment --- p.56<br>Investment Limits --- p.57<br>Reporting and Supervision --- p.59<br>Administration --- p.60<br>Authorization of Overseas Funds --- p.61<br>Chapter CHAPTER VII --- FUND ECONOMICS --- p.65<br>Revenues For A Manager --- p.65<br>Front end fee --- p.65<br>Back End Fee --- p.66<br>Management Fee --- p.67<br>Performance Fee --- p.67<br>Rebate From Brokers --- p.70<br>Costs to Fund Investors --- p.73<br>Transaction Costs --- p.74<br>Trustee/Custodian Fees --- p.75<br>An Illustration of the Costs to the Fund Investors --- p.76<br>Break-Even Analysis For A New Fund House --- p.77<br>Chapter CHAPTER VIII --- OPERATING ISSUES --- p.79<br>Performance --- p.79<br>Herd instincts --- p.79<br>Operating Scale --- p.80<br>Chapter CHAPTER IX --- CONCLUSIONS --- p.82<br>TABLES --- p.84<br>APPENDIX 1 AN EXAMPLE OF PRICE QUOTES --- p.93<br>APPENDIX 2 RECOGNIZED JURISDICTION SCHEMES --- p.94<br>APPENDIX 3 SCHEDULE OF FEES PAYABLE TO THE SFC --- p.95<br>APPENDIX 4 AMENDMENTS TO THE CODE ON UNIT TRUSTS AND MUTUAL FUNDS --- p.96<br>APPENDIX 5 QUOTATION OF CUSTODIAN BANK CHARGES (BANK A) --- p.98<br>APPENDIX 6 QUOTATION OF CUSTODIAN BANK CHARGES (BANK B) --- p.100<br>BIBLIOGRAPHY --- p.102

碩士<br>輔仁大學<br>金融與國際企業學系金融碩士在職專班<br>102<br>This Empirical analysis uses efficient investing method’s back testing in Fidelity official platform which investigates the impact on Efficient Investing Method’s performance by four factors﹐including investment period、”stop–gain”mechanism、volatility and periodic variable investment in Contrary Investment Strategy。 The result generated from this research which includes the calculation of cumulative returns for two and five-year periods form Jan.2000 to Nov.2013 is expected to explain different performances of efficient investing method in different strategies. And through this result to express if these investment strategies could improve the performance and lower the downside risk. The study aims to identify the most suitable investment for investors. The main findings are as following: 1. The long-term performance is superior to the short-term when using Efficient Investing Method and the portfolio with more volatility would reduce the risk and improve the performance. 2. Investors who set profit-taking price would lower the risk of portfolio. Setting lower profit-taking price would bring more obviously risk decreasing effect than setting higher one. However, profit-taking mechanism will also compress the return. 3. Investors who take Contrary Investment Strategy in value averaging portfolio would have higher return for volatile portfolio. On the contrary; this strategy would raise losing opportunity and could not help to improve performance for lower volatility portfolio. 4. The Empirical study shows the Efficient Investment Method will outperform compared with risk-free interest and investment grade bond.

碩士<br>華梵大學<br>工業工程與經營資訊學系碩士班<br>98<br>This study aims to investigate the effect of investors’ demographic variables on the behavior of the Mutual Funds investors by conducting a questionnaire survey. The demographic variables of the investors include: gender, age, education level, income, etc.. The behavior of the Mutual Funds investors include: the selection of investment targets, the influential factors for buying of Mutual Funds, and the behavior of the investors. The major findings of the survey are as follows: (1) the major characteristics of Mutual Funds investor are: single, 25~30-year-old women whose educational level is higher than college, having non-financial occupation, and the monthly salary ranges from 30 to 50 thousand NT dollars. Also, their idle cash is below 20% and their investment experience is above 4 years. (2) the top three influential factors for buying of Mutual Funds are : the performance of Mutual Funds, the risk of Mutual Funds, and the ease of subscription and redemption of Mutual funds. (3) the major behavior of the Mutual Funds investors are: long-term investment with holding period more than 2 years, and the performance is viewed over 30 days, and the stop-loss point and stopping point interest funds are set between ±15%~30%. (4) there is a significant difference between investors with different “education level” and “investment experience” in “the selection of investment targets”, “the influential factors for buying of Mutual Funds” and “the behavior of the investors”. Moveover, there is a significant difference between investors with different “investment motivation” and “types of investment fund” in “the influential factors for buying of Mutual Funds”.

碩士<br>國立高雄第一科技大學<br>風險管理與保險所<br>98<br>In recent years, the mutual fund has become one of popular investment tools for the public to manage their finance. People may become rich by regularly invest fixed amount, but actually most are unable to make a profit, then have the suspicion to lose the investment confidence. Therefore, this research will establish a model for the investors to make the profit easier from fund investment. 1. How to choose the fund from the four factors as follows: (1) high volatility. (2) low volatility. (3) high fund return (4) sharpe ratio. The order of priority is as follows low volatility, sharp ratio, high volatility, high fund return. 2. This research use four kinds of combination of Moving Average to enhance investment return rate . They are respectively (1) 5/20EMA (2) 10/20EMA (3) 10/60EMA (4) 20/60EMA. I discovered the rank of investment fund as follows: (1) 10/20EMA (2) 20/60EMA (3) 10/60EMA (4) 5/20EMA. 3. In this study the researcher discovered that return rate of Moving Average is better than return rate of the regular fixed quantity investment for a long term. 4. Regarding the best proportion of fund transformation, this research discovered that the 100% to change may obtain the best return rate for long-term regular fixed quantity investment. 5. All the research data was collected from 2000, at that time precious metal sector and the real estate sector were the most promising market. Therefore, the sectors of precious metal, real estate, energy had better return rate from 2000 till now. Different fund category makes the investment return rate a big difference. Therefore, when deciding the fund category, it is better to take the current prosperous fund category as a reference and adopt the technical index provided by this research to make a higher profit. 6. The finding of the research showed that the return rate of technical index long-term investment is 6 years higher than which of regular fixed quantity investment. With the model designed here, common investors will benefit from it.

碩士<br>國立高雄第一科技大學<br>金融理財研究所<br>100<br>This research divides the performance of balanced mutual fund through asset allocation into two ways: investment policy, and investment strategy, including timing and stock selecting. The result shows that the performance of mutual fund explained by investment policy is by and large the same as Brinson et al.(1986) and Brinson et al.(1991). The explanatory power after including timing ability and selecting ability is not significantly higher.

碩士<br>實踐大學<br>財務金融與保險研究所<br>98<br>This study extensively and deeply analyzes the impact relationship between investment style and investment performance for Taiwanese stock mutual funds. Eleven evaluating indexes of investment style and two evaluating indexes of investment performance are carefully and thoughtfully created. Furthermore, the empirical data involving in the period from Dec. 1999 to Sep. 2009 for stock mutual funds is corrected in order to conduct the empirical study covering ten years. Besides the overall period, the bullish period and bearish period are also examined. This study uses mean difference test of pair sample and panel data regression to analyze the relationship between investment style variables considered in this study and investment performance. The findings resulted from empirical study include that the moderate concentrated investment among stocks and industries may get the better investment performance. The amount of stock held in the portfolio does not significantly affect the performance. However, the amount of industry invested tends to cause a significantly negative effect on the performance. Additionally, there is a significantly positive relationship between the weighted average of beta and weighted average of PB, and investment performance. It is interesting that the weighted average of EPS has a negative impact on investment performance. These findings should be able to offer valuable references for investors in seeking out the stock mutual funds.

碩士<br>國立中正大學<br>企業管理所<br>96<br>Investment is an issue of concern for every one, but the public are lack of the channel and time to acquire financial professional knowledge and most of the time, they depend on the recommendation of financial institutions and advisors. Hence, the validity of information brings huge impacts on investment results. The purpose of this study is to examine the validity of recommended mutual funds made by the investment management companies. The empirical results show that: (1) Mutual funds recommended by the investment management companies perform better than benchmark index and outperform peer funds by 50% more return on investment. (2) Time benefits investment return; the longer time you invest, the better investment performance you are likely to have. (3) There is no sufficient evidence to prove that investment recommendation ties to the previous performance of mutual funds. (4) There is also no sufficient evidence to prove that investment recommendation affects later mutual funds performance. (5) The performance of recommended mutual funds has performance persistence lasting for three months but the performance persistence is not showed in six months and 12 months.

碩士<br>大葉大學<br>國際企業管理學系碩士班<br>96<br>This study used data on the one-year ─ Global REITs Funds and Offshore Mutual Funds two types of funds, as this study of samples, and all samples for the investment portfolio to identify the optimum combination of weight. The results hope give to investors and researchers have further study of the customs and thinking. In the part of data analysis, this study to be carried out descriptive statistical analysis, after used Sharpe, Treynor, Jensen three performance indicators to assess the performance of the respective, and final used Markowitz of portfolio theory for portfolio analysis. The results divided into three parts, so that risk avoid, risk neutral, risk lovers may be against their own different needs and have different investment program can choose. From the study, the diversification of the portfolio, the more value can reduce the risk for risk avoid who as an investment choice of the single investment portfolio, the higher risk, but relatively higher pay, more appropriate risk Lovers as their investment choices. Analysis of the results of this study will provide investors and further research have some contribution and reference.

碩士<br>朝陽科技大學<br>財務金融系碩士班<br>100<br>This study is the research on many investment strategies, and looking for any possible opportunities from profitable investment strategy. We selected the five most popular market, namely the "Global Equity Fund", "Global Emerging Markets Equity Fund", "Latin America Equity Fund", "China Equity Fund", "Taiwan Equity Fund", etc. these funds are issued more than four years,the 68 kinds of funds are eligible to measure, an in-depth study between mutual fund managers and investors operating strategies and performance relationship. Our "multiple investment strategies," including for example: single investment (Buy and hold), at fixed, regular is not fixed, profits and other investment strategies to ensure a total of 12 species, whether the performance of their performance beyond the benchmark MSCI index and a continuing nature, to understand what is the empirical optimization of the investment strategy. Empirical results show that the 68 files in the selected fund (1) investment earnings during the investment strategy to ensure the best investment approach, followed by regularly scheduled non-traditional fixed and fixed investment law, and finally single investment law. (2) The investment period is to invest in global equity markets, should adopt a lower stop point of interest, but the baseline of no more than 25%; as to invest in global emerging, such as Latin America, China, Taiwan stock market, could be taken to stop higher interest points, but not more than 45% of the baseline. (3) Overall, the investment earnings during the investment strategy to ensure the best interests of the stopping point at 20%, followed at 10%, finally among 25% to 50%.

碩士<br>大葉大學<br>管理學院碩士在職專班<br>98<br>In this study, offshore Gold Funds and Hi-Tech Funds for three-year day of data, depending on the value of the average return rate and the Sharpe index selected two samples of funds, investment portfolio analysis and comparison, hoping to provide in-vestors offshore gold funds and hi-tech funds portfolios of options, and provide fol-low-up researchers to conduct relevant studies. When selecting two groups of samples of the Funds, first of all to Treynor, Sharpe and Jensen performance measure of these three kinds of performance evaluation, further samples of inter-fund's correlation coefficient analysis, in order to confirm the extent of inter-fund related to each other, the end, matlab software investment portfolio analysis, providing investors with different risk property investment portfolio in the reference. The results showed that the main weight of the portfolio concentrated in the off-shore hi-tech funds, while the share of the weight of gold funds lower; 3-4 funds com-posed of the optimal portfolio, suitable for a low investment risk tolerance, while the more single-oriented portfolio, is getting a higher pay, also need to bear the higher risk only for a high degree of risk tolerance of investors.

碩士<br>實踐大學<br>企業管理學系碩士班<br>98<br>Past studies describe about risk and performance of mutual funds, whereas few studies discuss degrees of diversification for equity mutual funds. Through the measure of degrees of diversification proposed by William Goetzmann and Alok Kumar(2008), this paper uses the number of shares held, the weights of shares held and the cash position to discuss diversification of domestic equity mutual funds. It shows that higher number of shares held leads to higher level of diversification, and the lower deviation between the weights of shares held and the weights of market portfolio leads to higher level of diversification. There is a huge variation of cash position allocated in equity mutual fund portfolio within and between investment trust companies, reflecting economy situations and fund manager styles.