scholarly journals Exposição a Risco e Captação em Fundos de Investimento: os Cotistas Monitoram a Alocação de Ativos?

2013 ◽  
Vol 11 (4) ◽  
pp. 527
Author(s):  
Rafael Felipe Schiozer ◽  
Diego Lins de Albuquerque Pennachi Tejerina
Keyword(s):  
Risk Perception ◽  
Mutual Funds ◽  
Asset Allocation ◽  
Significant Relationship ◽  
Fixed Income ◽  
Fund Managers ◽  
Central Hypothesis ◽  
Lehman Brothers ◽  
The Impact ◽  
Net Flows

This study investigates the impact of asset allocation on the net flow of fixed income funds in the Brazilian market, by exploiting the exogenous variation in the risk perception of bank liabilities (CDs) caused by the financial turmoil that followed Lehman Brothers’ demise in September 2008. The central hypothesis is that the exposure to assets negatively affected by the crisis impacts negatively the fund’s net flow. We find that, for mutual funds, the larger proportion of assets negatively affected by the crisis the larger the net outflow of resources, indicating that shareholders monitor asset allocation and exert disciplining power on fund managers by withdrawing their resources. In exclusive (fundos exclusivos, i.e., funds with a single shareholder), for which the shareholder is presumed to exert more influence on asset reallocation, we find no significant relationship between the exposure to assets negatively affected by the crisis and net flows.

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

2018 ◽  
Vol 29 (76) ◽  
pp. 82-96 ◽  
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.

scholarly journals Defined Contribution Pension Plans: Mutual Fund Asset Allocation Changes

2015 ◽  
Vol 105 (5) ◽  
pp. 432-436 ◽  
Author(s):  
Clemens Sialm ◽  
Laura Starks ◽  
Hanjiang Zhang
Keyword(s):  
Mutual Funds ◽  
Asset Allocation ◽  
Mutual Fund ◽  
Pension Plans ◽  
Defined Contribution ◽  
Fixed Income ◽  
Macroeconomic Conditions ◽  
Fund Managers ◽  
Defined Contribution Plans ◽  
Asset Allocations

In this paper we compare changes in asset allocations between mutual funds held in defined contribution pension plans and funds held by other investors. We investigate how flows into equity and fixed income mutual funds depend on macroeconomic conditions. We find that defined contribution plans react more sensitively to these conditions, suggesting effects on mutual fund managers and other investors.

Herding and Delegated Portfolio Management: The Impact of Relative Performance Evaluation on Asset Allocation

2011 ◽  
Vol 01 (02) ◽  
pp. 265-292 ◽  
Author(s):  
Ernst Maug ◽  
Narayan Naik
Keyword(s):  
Performance Evaluation ◽  
Portfolio Management ◽  
Asset Allocation ◽  
Relative Performance ◽  
Optimal Contracts ◽  
Fund Managers ◽  
Portfolio Managers ◽  
Delegated Portfolio Management ◽  
The Impact ◽  
Allocation Decisions

This paper investigates the effect of fund managers' performance evaluation on their asset allocation decisions. We derive optimal contracts for delegated portfolio management and show that they always contain relative performance elements. We then show that this biases fund managers to deviate from return-maximizing portfolio allocations and follow those of their benchmark (herding). In many cases, the trustees of the fund who employ the fund manager prefer such a policy. We also show that fund managers in some situations ignore their own superior information and "go with the flow" in order to reduce deviations from their benchmark. We conclude that incentive provisions for portfolio managers are an important factor in their asset allocation decisions.

scholarly journals Institutional Investor Expectations, Manager Performance, and Fund Flows

2017 ◽  
Vol 52 (6) ◽  
pp. 2755-2777 ◽  
Author(s):  
Howard Jones ◽  
Jose Vicente Martinez
Keyword(s):  
Asset Allocation ◽  
Institutional Investors ◽  
Investment Decisions ◽  
Fund Flows ◽  
Past Performance ◽  
Fund Managers ◽  
Future Performance ◽  
Manager Performance ◽  
The Impact ◽  
Allocation Decisions

Using survey data, we analyze institutional investors’ expectations about the future performance of fund managers and the impact of those expectations on asset allocation decisions. We find that institutional investors allocate funds mainly on the basis of fund managers’ past performance and of investment consultants’ recommendations, but not because they extrapolate their expectations from these. This suggests that institutional investors base their investment decisions on the most defensible variables at their disposal and supports the existence of agency considerations in their decision making.

scholarly journals The Impact of Macroeconomic Variables on Mutual Funds Performance in Ghana

2021 ◽  
pp. 34-53
Author(s):  
Cai Li ◽  
Rosemond Atampokah ◽  
Helena Akolpoka ◽  
Priscilla Avonie ◽  
Baku R. Kwame
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Fund Performance ◽  
Foreign Portfolio Investment ◽  
Macroeconomic Variables ◽  
Macroeconomic Conditions ◽  
Fund Managers ◽  
The World ◽  
World Champion ◽  
The Impact

Development across the globe has been an agenda many citizens of the world champion irrespective of the area, sector or discipline within which it is being advocated. Politically, socially, and in the world of economics, mutual fund has gained significance within country’s economic environment. The phenomenal growth in the financial market of mutual funds can be attributed to the increase in the various financial schemes available, improvement in fund mobilization, as well as the growth of investments in the country. We examined the impact of macroeconomic variables on mutual fund performance of all mutual fund companies in Ghana over the period of 2008 to 2016. We performed correlation analysis, hence examined the co-movement of the returns from the selected funds with the key macroeconomic variables. We find macroeconomics variables positively affect the returns of funds. The effect comes by the amount of money available for investments. We further find exchange rate as the strongest macroeconomic variable affects the performance of mutual funds in Ghana. We established that Ghana receives a significant amount of foreign portfolio investment (FPI), where investors in other countries bring in their money to make investment on our financial markets. Our results provide evidence for fund managers on approach in dealing with macroeconomic conditions and its volatilities.

scholarly journals Private Retirement Scheme Funds: Will the Asset Allocation Strategy Work For Retirees?

2019 ◽  
Vol 8 (1) ◽  
pp. 1-13 ◽  
Author(s):  
Wee Yeap Lau
Keyword(s):  
Asset Allocation ◽  
Fixed Income ◽  
Allocation Strategy ◽  
Average Growth ◽  
Fund Managers ◽  
Value Stocks ◽  
Strong Focus ◽  
Large Growth ◽  
Growth Stocks ◽  
High Degree

One of the principal-agent problems is the asymmetric information between fund managers and investors. To mitigate this issue, this study conducts the return-based style analysis on Private Retirement Scheme funds to their asset allocation strategy. Our results show: First, conservative funds have a strong focus on fixed income products rather than equity. Second, in terms of asset allocation to equity, on average, growth funds have a higher allocation to foreign equity of 16.28 per cent, followed by moderate funds of 9.18 per cent; Third, growth funds focus on large growth stocks, while moderate funds focus on large value stocks. However, three observations deserve our attention: First, a high degree of selection for the conservative fund will entail higher transaction cost; and second, in terms of the degree of style and selection, conservative funds do not vary much from growth funds. In other words, there is no distinct product differentiation between the two categories; Lastly, there is a wide disparity in asset allocation across the conservative funds. This implies some degree of risk-taking by some fund managers. These results suggest that the financial goals of retirees will be undermined if PRS funds do not focus on their mandate. 

scholarly journals MEASURING ATTITUDE TOWARDS MUTUAL FUND INVESTMENT DECISIONS: EVIDENCE FROM TRIPURA, INDIA

2021 ◽  
pp. 1-12
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Investment Decisions ◽  
Primary Data ◽  
Fund Managers ◽  
Study Methodology ◽  
Bank Employees ◽  
Fund Investment ◽  
Improve Attitude ◽  
The Impact

The purpose of this paper is to assess the attitude of bank employees in Tripura towards investment in the mutual fund and investigate the impact of attitude on volume of investment. The study methodology is based on the responses of a questionnaire received from 262 employees of banks in Tripura. On the basis of primary data, the attitude of the employees has been assessed and ordinal logistic regression is used to find out the impact of attitude on their volume of investment in mutual fund. It is found that overall attitude of bank employees in Tripura towards investment in mutual fund is favorable. It can also be concluded that attitude and volume of investment in mutual fund is positively related. The study is useful for the fund managers of mutual funds. Once the attitude to employees towards investment in mutual fund is ascertained, then suitable strategy regarding imparting training can be designed to improve attitude towards investment in mutual fund. The study is original in nature.

scholarly journals THE EFFICIENCY EVALUATION OF MUTUAL FUND MANAGERS BASED ON DARA, CARA, IARA

2013 ◽  
Vol 14 (4) ◽  
pp. 677-695 ◽  
Author(s):  
Mohammad Reza Tavakoli Baghdadabad ◽  
Farid Habibi Tanha ◽  
Noreha Halid
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Data Envelopment ◽  
Unique Contribution ◽  
Management Styles ◽  
Mutual Fund Managers ◽  
Dea Model ◽  
Technical Management ◽  
Fund Managers ◽  
The Impact

We evaluate the efficiency of mutual fund managers of 20 different classes of management styles to identify the most efficient strategies and to propose an optimal pattern in selecting the funds by investors. We collect monthly data of 17,686 US mutual funds for a five-year period 2005–2010 to minimize the impact of survivorship bias and use Data Envelopment Analysis (DEA) model to evaluate the mutual fund performance. The set of considered inputs comprised “variance”, representing the mutual fund risk, and “turnover, expense ratio and loads indicators”, reflecting the mutual fund costs and fees. Two kinds of outputs are taken into account by our DEA model, “portfolio return” and “stochastic dominance indicators”. As a unique contribution, we state the benefits of the DEA approach in the DARA, CARA, and IARA framework, and evaluate the efficiency of mutual funds based on fund strategies as well as the performance of best mutual funds among their group. The evidence shows that the efficiency scores of technical, management, and scale are respectively 0.81, 0.921, and 0.874 for the DARA model, while the efficiency scores of two models of CARA and IARA are negligible. Also, we rank each management strategy in any model based on two methods – the number of referencing and the weighted value so that the managers of inefficient strategies must pattern the managers’ ability of reference (efficient) strategies to improve their efficiency on the fund market in future.

scholarly journals The impact of human capital efficiency on Latin American mutual funds during Covid-19 outbreak

2020 ◽  
Vol 156 (1) ◽  
Author(s):  
Nawazish Mirza ◽  
Jamila Abaidi Hasnaoui ◽  
Bushra Naqvi ◽  
Syed Kumail Abbas Rizvi
Keyword(s):  
Human Capital ◽  
Mutual Funds ◽  
Latin American ◽  
Macroeconomic Shocks ◽  
Fund Managers ◽  
Equity Funds ◽  
Capital Efficiency ◽  
High Turbulence ◽  
The One ◽  
The Impact

Abstract The mutual funds’ returns, inter alia, are dependent on fund managers’ performance. This makes human capital efficiency very central for consistent risk-adjusted performance. The persistence in performance becomes more critical during periods of high turbulence, like the one we are experiencing amidst the outbreak of Covid-19. In this research, we attempt to evaluate the performance of equity funds in massively impacted Latin American countries. These equity funds, with 95% of their investment in the infected region, are ranked as per their human capital efficiency using 2019 as the base year. Our findings demonstrate that funds with higher human capital efficiency significantly outperform their counterparts that rank lower on human capital efficiency. These findings remained consistent for the sub-periods that we specify to map the evolution of Covid-19. We conclude that equity funds should enhance their human capital efficiency to endure resilience amid macroeconomic shocks.

scholarly journals Optimization of the impact measurement of market structure on liquidity and volatility

2022 ◽  
Vol 13 ◽  
pp. 9
Author(s):  
Sara Rhouas ◽  
Mustapha Bouchekourte ◽  
Norelislam El Hami
Keyword(s):  
Asset Allocation ◽  
Vector Model ◽  
Impact Measurement ◽  
Short Term ◽  
Fund Managers ◽  
Short And Long Term ◽  
The Subject ◽  
The Impact ◽  
Allocation Decisions

Liquidity and volatility are the two barometers that allow stock markets to appreciate in terms of attractiveness, profitability and efficiency. Several macroeconomic and microstructure variables condition the level of liquidity that directly impact the asset allocation decisions of different investor profiles − institutional and individuals − and therefore the dynamics of the market as a whole. Volatility is the regulatory component that provides information on the level of risk that characterizes the market. Thus, the appreciation of these two elements is of considerable help to fund managers looking to optimize their equity pockets. In this work, we will use the liquidity ratio as a proxy variable for the liquidity of the Moroccan stock market, to estimate the indicators and factors that determine its short- and long-term variability. The appropriate econometric method would be to estimate an error correction vector model (ECVM) which has the property of determining the long- and short-term relationships between the variables. The volatility of the MASI index will be the subject of a second estimate to capture the shape of the function of its evolution.

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