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 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.

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 Communities and regularities in the behavior of investment fund managers

2019 ◽  
Vol 116 (14) ◽  
pp. 6569-6574 ◽  
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.

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.

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.

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 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 Do Multi-Sector Bond Funds Pose Risks to Emerging Markets?

2020 ◽  
Vol 20 (152) ◽  
Author(s):  
Fabio Cortes ◽  
Luca Sanfilippo
Keyword(s):  
Asset Allocation ◽  
Financial Stability ◽  
Emerging Market ◽  
International Investment ◽  
Bond Markets ◽  
Investment Fund ◽  
Investment Funds ◽  
Bond Funds ◽  
Adequate Representation ◽  
Allocation Decisions

Emerging economies in the post-crisis period increasingly saw portfolio debt inflows from a type of large international investment fund: Multi-Sector Bond Funds (MSBFs). These investors have lacked adequate representation in the literature. This paper constructs a new detailed database from micro-level MSBF emerging market (EM) holdings from 2009:Q4–2018:Q2. Exploiting this data, the paper assesses the risks they pose to the financial stability of specific emerging bond markets. The data shows that MSBFs are highly concentrated–both in their positions and their decision-making. The empirical results further suggest that MSBFs exhibit opportunistic behavior (and more so than other investment funds). In periods of high risk aversion, large MSBF portfolio reallocations out of EMs can be associated with underperformance of the same markets, signaling the importance of monitoring their footprint and better understanding their asset allocation decisions.

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. 

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