The portfolio holdings of euro area investors: looking through investment funds

We examine voluntary and mandated disclosure of portfolio holdings by investment funds in a model where funds are characterized as having a stream of investment ideas and as providing liquidity to investors through redemption. We show that the greater is the fund's liquidity provision role, the more aggressively the fund trades on its ideas, the stronger is its preference to disclose information about its holdings voluntarily, and the weaker is its performance. We also show that mandatory disclosure can decrease information available in securities markets by crowding out the acquisition of private information that, through funds' trading, would be reflected in prices. Our model provides an explanation for why hedge funds and mutual funds differ in their resistance to public disclosure, and is consistent with stylized facts regarding how funds' investment decisions respond to poor performance and how differences in disclosure policies affect the future performance of well versus poorly performing funds.

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Portfolio Holdings in the Euro Area - Home Bias and the Role of International, Domestic and Sector-Specific Factors

SSRN Electronic Journal ◽

10.2139/ssrn.2785398 ◽

2011 ◽

Author(s):

Axel Jochem ◽

Ute B. Volz

Keyword(s):

Euro Area ◽

Home Bias ◽

Portfolio Holdings ◽

Specific Factors

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Aspects of manager, portfolio allocation, and fund performance in Brazil

Revista Contabilidade & Finanças ◽

10.1590/1808-057x201804590 ◽

2018 ◽

Vol 29 (76) ◽

pp. 82-96 ◽

Cited By ~ 2

Author(s):

Cláudia Olímpia Neves Mamede Maestri ◽

Rodrigo Fernandes Malaquias

Keyword(s):

Asset Allocation ◽

Robust Statistics ◽

Breakdown Point ◽

Fund Performance ◽

Investment Fund ◽

Fixed Income ◽

Investment Funds ◽

Fund Managers ◽

Portfolio Holdings ◽

The Impact

ABSTRACT This paper intends to contribute to the literature on investment funds in emerging markets by looking at the performance of multimarket funds in Brazil from a manager perspective. The aim of the paper was to analyze whether some characteristics of investment fund managers, as well as their portfolio holdings, can affect fund performance. In emerging countries both portfolio asset allocation and manager characteristics can help explain differences in the fund performance, which increases the relevance of this study. Therefore, the impact of this research lies in its revealing a significant relationship between risk-adjusted return and the portion of portfolios allocated to fixed or variable income, which seems that have not been explored in the context of emerging economies yet. A total of 6,002 multimarket funds were analyzed, covering the period between September 2009 and December 2015, using panel data with robust standard errors clustered by funds. We also employed robust statistics in order to assess some potential biases due to outliers, by analyzing the breakdown point in the estimated models. It should be noted that portfolio composition (allocation of portfolios into variable income and fixed income) was the most important factor in explaining a potential change in the performance of Brazilian multimarket funds. Also important were the effectiveness of the management of these funds, that is, the best risk-adjusted returns were delivered by less experienced managers, funds investing more in fixed income, managers with more funds under management, and larger funds.

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Luxembourg Fund Data Repository

Data ◽

10.3390/data5030062 ◽

2020 ◽

Vol 5 (3) ◽

pp. 62

Author(s):

Angeliki Skoura ◽

Julian Presber ◽

Jang Schiltz

Keyword(s):

Service Providers ◽

Academic Research ◽

Cash Flows ◽

Academic Community ◽

Data Repository ◽

Investment Funds ◽

Portfolio Holdings ◽

Historical Coverage ◽

The University

In this paper, we introduce the Luxembourg Fund Data Repository, a novel database of investment funds available for academic research that was created at the Department of Finance of the University of Luxembourg. The database contains the population of Undertakings for Collective Investment in Transferable Securities funds domiciled in Luxembourg from the starting month of their existence (March 1988) to October 2016. The fund characteristics are organized in a comprehensive database architecture encompassing static and dynamic data over the entire life of the funds. The characteristics include fund identifiers, official name, status information, management company and other service providers, daily and monthly performance time-series, portfolio holdings, classification of investment objective, fees, dividends, and cash flows. The database was constructed after collecting and assembling complementary historical information from three data providers. Importantly, funds no longer in existence due to liquidation or mergers are included in the database, preventing survivorship bias. The database has been constructed to serve as a research dataset of high accuracy due to the maximization of population coverage, the maximization of historical coverage, and validation by using information acquired from the supervisory authority of the financial sector of Luxembourg. License currently available to researchers of the Department of Finance of the University of Luxembourg. Future plans for extending accessibility to the global academic community.

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Communities and regularities in the behavior of investment fund managers

Proceedings of the National Academy of Sciences ◽

10.1073/pnas.1802976116 ◽

2019 ◽

Vol 116 (14) ◽

pp. 6569-6574 ◽

Cited By ~ 5

Author(s):

Andrea Flori ◽

Fabio Pammolli ◽

Sergey V. Buldyrev ◽

Luca Regis ◽

H. Eugene Stanley

Keyword(s):

Market Condition ◽

Investment Fund ◽

External Shocks ◽

Market Conditions ◽

Investment Funds ◽

Fund Managers ◽

Portfolio Holdings ◽

Exogenous Shocks ◽

Hedging Portfolio ◽

Existence And Stability

We analyze a large microlevel dataset on the full daily portfolio holdings and exposures of 22 complex investment funds to shed light on the behavior of professional investment fund managers. We introduce a set of quantitative attributes that capture essential distinctive features of manager allocation strategies and behaviors. These characteristics include turnover, attitude toward hedging, portfolio concentration, and reaction to external events, such as changes in market conditions and flows of funds. We find the existence and stability of three main investment attitude profiles: conservative, reactive, and proactive. The conservative profile shows low turnover and resilience against external shocks; the reactive one is more prone to respond to market condition changes; and members of the proactive profile frequently adjust their portfolio allocations, but their behavior is less affected by market conditions. We find that exogenous shocks temporarily alter this configuration, but communities return to their original state once these external shocks have been absorbed and their effects vanish.

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Institutional Investors on the Securities Market

Voprosy Ekonomiki ◽

10.32609/0042-8736-2003-8-95-101 ◽

2003 ◽

pp. 95-101

Author(s):

O. Khmyz

Keyword(s):

Financial Crisis ◽

Capital Market ◽

Hedge Funds ◽

Institutional Investors ◽

Securities Market ◽

Main Role ◽

Investment Funds ◽

Investment Process ◽

The Capital Market

Acording to the author's opinion, institutional investors (from many participants of the capital market) play the main role, especially investment funds. They supply to small-sized investors special investment services, which allow them to participate in the investment process. However excessive institutialization and increasing number of hedge-funds may lead to financial crisis.

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