scholarly journals Impact of Fund Managers Changes on Polish Equity Funds Performance

2017 ◽  
Vol 17 (1) ◽  
pp. 97-108 ◽  
Author(s):  
Roman Asyngier ◽  
Tomasz Miziołek
Keyword(s):  
Abnormal Returns ◽  
Research Problem ◽  
Relative Strength ◽  
Investment Fund ◽  
Investment Funds ◽  
Equity Investment ◽  
Fund Managers ◽  
Equity Funds ◽  
Before And After ◽  
Portfolio Managers

AbstractPurpose - the aim of the article was an analysis of the returns of universal Polish equity investment funds before and after the change of portfolio managers. The article deals with the following research problem: how the replacement of investment fund managers impacts the results of Polish equity funds. Methodology - the research methodology which used the indexes of relative strength allows determining the abnormal returns of funds in relation to the WIG Index before and after the change of managers. Findings - the analyses showed negative abnormal returns before changing managers and ambiguous tendencies after the change of managers. Originality - this kind of study has not been conducted for the Polish capital market so far.

scholarly journals Window dressing in Brazilian investment funds

2020 ◽  
Vol 31 (82) ◽  
pp. 116-128
Author(s):  
Matheus Ruiz Marques ◽  
Joelson O. Sampaio ◽  
Vinicius Augusto Brunassi Silva
Keyword(s):  
Gap Analysis ◽  
Tracking Error ◽  
Market Model ◽  
Investment Fund ◽  
Investment Funds ◽  
Fund Managers ◽  
Window Dressing ◽  
Equity Funds ◽  
Model Residuals ◽  
Fund Portfolio

ABSTRACT This paper investigates the presence of window dressing in the Brazilian investment fund market, focusing on equity funds. Window dressing is a practice that presents a particular portfolio composition to the market, which is different from that held by the fund in the reporting period. Just before the end of the period, fund managers change their positions with the aim of presenting safer, more profitable securities portfolios. We believe that there is a lack of empirical evidence on this topic in Brazil. Previous research focuses on diversification, style analysis, fund portfolio turnover, manager profile, and performance. Therefore, we believe that our paper is pioneering in presenting results on window dressing in Brazil. With the presence of window dressing, the market may signal distorted results to investors and guide their allocations towards funds in which they would not invest in the absence of such practices. Moreover, the adoption of window dressing may increase transaction costs and thus destroy value. Our results present a connection with previous studies by Bremer and Kato (1996), O’Neal (2001), Ng and Wang (2004), Ortiz, Sarto, and Vicente (2012), and Agarwal, Gay, and Ling (2014). This paper provides evidence of window dressing in Brazilian equity funds and proposes an empirical study to verify the presence of the practice between 2010 and 2016, using market model residuals, rank gap, and backward holding return gap analysis techniques. In short, our results are consistent with window dressing practices in funds managed by small companies that were losers against the Bovespa Index and presented a high tracking error in the period.

scholarly journals Implementation of Directive 2011/61/Eu of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers Into Czech Legal System

2021 ◽  
Vol 21 (1) ◽  
pp. 47-61
Author(s):  
Zuzana Šiková
Keyword(s):  
Czech Republic ◽  
Legal System ◽  
European Parliament ◽  
Investment Fund ◽  
Investment Funds ◽  
Scientific Methods ◽  
Fund Managers ◽  
Investment Companies ◽  
Alternative Investment

This contribution deals with the implementation of Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 into Czech legal system. The main aim of the contribution is to confirm or disprove the hypothesis that entity in Section 15 of Act no. 240/2013 Coll, on Investment Companies and Investment Funds, as amended, is an alternative fund according to the Directive 2011/61/EU and that Directive 2011/61/EU was not transposed in Czech Republic properly. Author used to confirm or disprove above mentioned hypothesis scientific methods, especially comparison, induction and deduction. This contribution also looks at the Directive 2011/61/EU evaluation of its effectiveness and possible development of regulation in this area.

17 Towards a Unified Theory for Private Investment Funds

2018 ◽  
Author(s):  
Spangler Timothy
Keyword(s):  
Financial Crisis ◽  
Hedge Funds ◽  
Private Equity ◽  
Global Financial Crisis ◽  
Financial Innovation ◽  
Private Investment ◽  
Investment Fund ◽  
Investment Funds ◽  
Equity Funds ◽  
The Global Financial Crisis

This chapter considers future legal and regulatory responses to private investment funds in the context of a country’s current political dynamics. It begins with a discussion of the regulatory policy issues surrounding private investment funds before and after the global financial crisis, criticisms against private equity funds and hedge funds, and lessons from the Alternative Investment Fund Managers Directive. It then examines indirect regulation of private investment funds as a way forward, along with financial innovation and regulatory arbitrage. In particular, it explains how the global financial crisis has exposed the complexity of modern financial markets, noting that one of the primary drivers of this complexity has been financial innovation. The chapter concludes by analysing investor-centric approaches to addressing the governance challenge present in private investment funds.

13 Listings of Private Investment Funds as a Means of Mitigating the Governance Challenge

2018 ◽  
Author(s):  
Spangler Timothy
Keyword(s):  
Stock Exchange ◽  
Private Investment ◽  
Investment Fund ◽  
London Stock Exchange ◽  
Investment Funds ◽  
Fund Managers ◽  
Potential Market ◽  
Securities Exchanges ◽  
Regulatory Functions ◽  
Alternative Investment

This chapter explains how the admission to listing of private investment funds on a recognized exchange can provide a means to address the governance challenge. It first considers the regulatory functions of securities exchanges before turning to the Irish Stock Exchange (ISE), taking into account three areas relevant to the governance challenge faced by private investment funds: general obligations of disclosure, notification of interests and key developments, and communications with unitholders. It then examines how an ISE listing can provide a potential market-oriented solution to the governance challenge. It also discusses listing-related developments at the London Stock Exchange, Alternative Investment Fund Managers Directive depositories, and limitations on the effectiveness of exchange listings.

scholarly journals Analysis of the Hungarian investment funds along economic cycles

2021 ◽  
Vol 190 (5-6(2)) ◽  
pp. 48-57
Author(s):  
Emese Melinda Bogáth ◽  
◽  
Sándor Gáspár ◽  
Gergő Thalmeiner ◽  
Judit Bárczi ◽  
...  
Keyword(s):  
Financial Markets ◽  
Hierarchical Cluster ◽  
Investment Fund ◽  
Investment Funds ◽  
Economic Cycles ◽  
Fund Managers ◽  
Unique Nature ◽  
The 2008 Financial Crisis ◽  
Quantitative Changes ◽  
Economic Boom

As a result of the 2008 financial crisis, the international financial system underwent a fundamental change. The crisis has highlighted various weaknesses in the economic system. One of these weaknesses was the unregulated nature of investment markets and their inefficient structural structure. Funds managed by investment fund managers have also been hit hard by the crisis. In the post-crisis period of 2008, there was a dynamic economic boom, which also affected the types of investment funds and their changes. However, the economic crisis caused by the COVID-19 pandemic from 2020 onwards is a special crisis. Its unique nature is reflected in the fact that financial markets have remained stable under the influence of central banks. This, in turn, did not necessarily affect the investment market, and in particular investment funds, as expected in the event of a downturn. In our research, we illustrate the change of investment funds along economic cycles through the quantitative changes of Hungarian investment funds. In our analysis, we illustrate the evolution of fund changes through hierarchical cluster analyzes. In the course of our research, we found that Hungarian investment funds move in line with market and retail investment trends, and the structure of investment funds does not show a significant change during the sixteen years examined, regardless of changes in economic cycles.

scholarly journals Changes in the level of risk in investment funds in Poland

2017 ◽  
Vol 3 (1) ◽  
pp. 23-31
Author(s):  
Sylwester Kozak
Keyword(s):  
Capital Market ◽  
Similar Amount ◽  
Investment Risk ◽  
Investment Fund ◽  
Rates Of Return ◽  
Investment Funds ◽  
Equity Investment ◽  
Macroeconomic Conditions ◽  
Moderate Growth ◽  
Changes In Risk

The paper analyzes changes in risk of investment fund portfolios in different phases of the macroeconomic cycle. Twenty nine equity investment funds operating during the period of 2005–2015 were examined. The risk was assessed by the standard deviation of rates of return on funds and the β coefficient. The research indicates that the exposure of fund portfolios to risk changed in response to macroeconomic conditions and the situation on the capital market. Risk hit its highest level during the financial crisis years (2008–2011), followed by the dynamic macroeconomic growth years (2005–2007). The moderate growth years (2012–2015) exposed funds to the lowest risk. For the entire period the average and the median funds and the market were exposed to a similar amount of investment risk.

The Law of Private Investment Funds

2018 ◽  
Author(s):  
Spangler Timothy
Keyword(s):  
Hedge Funds ◽  
Financial Services ◽  
Private Equity ◽  
Global Financial Crisis ◽  
Private Investment ◽  
Investment Fund ◽  
Investment Funds ◽  
Fund Managers ◽  
The Global Financial Crisis ◽  
The Impact

This book provides a clear and concise dual US/UK and pan-asset analysis on the legal and regulatory issues that arise in connection with private investment funds. The book advises on the structuring, formation, and operation of a range of asset classes, including hedge funds, private equity funds, real estate funds, and other non-retail collective investment vehicles. This edition has been revised to reflect the numerous and significant developments in financial services regulation on both sides of the Atlantic since the publication of the second edition. More elements of the Dodd Frank financial regulatory reforms, which increased the scope and reach of regulation applicable to private funds, have been implemented and commented on in this edition. In relation to European regulation, the impact of the commencement of the Alternative Investment Fund Managers Directive (AIFMD) has also now been analysed. The US/UK approach is maintained, but this edition now also includes consideration of third countries, particularly the Middle East and Asia. An entirely new chapter is dedicated to litigation and regulatory enforcement, and some treatment is given to the effects of the global financial crisis, in particular the regulatory response and the changes to negotiating leverage of fund managers and fund investors. The potential impact of ‘Brexit’ on the United Kingdom private funds industry and the future of the AIMFD and European private funds is also examined.

scholarly journals Funds Manager and Mutual Funds Characteristics on Mutual Funds Performance: Empirical Evidence of Equity Mutual Funds in Indonesia

2020 ◽  
Vol 11 (2) ◽  
pp. 77
Author(s):  
Rina Rachmawati ◽  
Sugeng Wahyudi ◽  
Irene Rini Demi Pangestuti ◽  
Najmudin .
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Linear Models ◽  
Market Timing ◽  
Investment Strategy ◽  
Investment Fund ◽  
Fund Management ◽  
Fund Managers ◽  
Equity Funds ◽  
Positive Effect

This study examines the effect of investment fund managers' characteristics in the form of tenure, and mutual fund characteristics with proxy turnover portfolios, market timing and stock selectivity on the performance of stock mutual funds. The research sample is 27 stock mutual funds in Indonesia that were active from 2013 to 2017. On the analysis of the relationships between the characteristics of investment managers and mutual funds characteristics on the performance of stock mutual funds, a series of OLS regressions were run. The panel data regression was included based on using the Eviews. All of the above were aimed at achieving portfolio optimization and realizing the maximization of the interests for fund management companies and investors. The main findings are as follows. Tenure does not affect the performance of stock mutual funds during the years 2013 to 2017, but if divided into 2 quadrants of tenure, namely tenure over 19 years and tenure under 19 years of work, the result is that tenure over 19 years has a positive effect on the performance of stock mutual funds, but tenure brought 19 years has no effect on the performance of equity funds, whereas mutual funds characteristics, which are proxied by portfolio turnover, market timing and stock selectivity, have a significant positive effect on the performance of equity funds in Indonesia. The primary limitation in the scope is the sample, because stock mutual funds that publish consistently Financial statements between 2013 and 2017 are few in number. These findings have important implications for fund management companies as input material that the investment strategy of the investment management team affects the performance of equity funds compared to the characteristics of investment managers with proxies for years of service. This paper proposes a new perspective to evaluate the relationship between the fund manager and mutual funds characteristicsanddivide 2 groups of working years, and calculate them with non-linear models.

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 Classification of Open-End Investment Funds Using Artificial Neural Networks. The Case of Polish Equity Funds

2021 ◽  
Vol 8 (55) ◽  
pp. 269-284
Author(s):  
Katarzyna Perez ◽  
Małgorzata Szczyt
Keyword(s):  
Neural Networks ◽  
Artificial Neural Networks ◽  
Standard Deviation ◽  
Risk Measures ◽  
Distribution Channel ◽  
Cash Flows ◽  
Investment Funds ◽  
Equity Investment ◽  
Equity Funds ◽  
Artificial Neural

Abstract In this study we utilise artificial neural networks to classify equity investment funds according to two fundamental risk measures—standard deviation and beta ratio—and to investigate the fund characteristics essential to this classification. Based on a sample of 4,645 monthly observations on 37 equity funds from the largest fund families registered in Poland from December 1995 to March 2018, we allocated funds to one of the classes generated using Multilayer Perceptron (MLP) and Radial Basis Function (RBF). The results of the study confirm the legitimacy of using machine learning as a tool for classifying equity investment funds, though standard deviation turned out to be a better classifier than the beta ratio. In addition to the level of investment risk, the fund classification can be supported by the fund distribution channel, the fund name, age, and size, as well as the current economic situation. We find historical returns (apart from the last-month return) and the net cash flows of the fund to be insignificant for the fund classification.

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