scholarly journals An Empirical Analysis on the Stable Return of Resident Funds

2021 ◽  
Vol 4 (4) ◽  
pp. 128-138
Author(s):  
Jinling He ◽  
Zixiang Xia ◽  
Jingcheng He ◽  
Xin Gao
Keyword(s):  
Efficient Frontier ◽  
Capital Allocation ◽  
Risk Tolerance ◽  
Capital Asset Pricing ◽  
Risk Allocation ◽  
Investment Funds ◽  
Market Situation ◽  
Asset Portfolio ◽  
Fund Portfolio

This paper mainly studies how investors invest in funds to obtain high returns while avoiding risks. Firstly, from the perspective of portfolio investment, this paper introduces the traditional Markowitz mean-variance model and capital asset pricing model (CAPM), then selects four funds from different industries by MATLAB program in Sina Finance and Economics Network for application analysis from which the optimal portfolio point can be obtained under the combination of efficient frontier and capital allocation line. Subsequently, by analyzing the returns of long-term holdings and short-term operations of Noan Growth Hybrid Fund, it is confirmed that long-term holding funds can better cope with the changing market so as to obtain more stable returns. Finally, this paper discusses the dynamic adjustments of asset portfolio. Resident investors are supposed to take into account the market situation and the changes of the fund itself to adjust the holding fund portfolio. Based on the research in this paper, resident investors ought to combine investment funds to diversify risk allocation and make long-term holding plans according to their risk tolerance. At the same time, they should also make appropriate dynamic adjustments when the external environment changes to ensure long-term benefits.

scholarly journals On the Impossibility of Fair Risk Allocation

2016 ◽  
Vol 16 (1) ◽  
pp. 143-158 ◽  
Author(s):  
Péter Csóka ◽  
Miklós Pintér
Keyword(s):  
Performance Evaluation ◽  
Financial Risk ◽  
Capital Allocation ◽  
Equal Treatment ◽  
Insurance Companies ◽  
Strong Monotonicity ◽  
Risk Allocation ◽  
Investment Funds ◽  
Coherent Measures Of Risk ◽  
Measures Of Risk

AbstractAllocating risk properly to subunits is crucial for performance evaluation and internal capital allocation of portfolios held by banks, insurance companies, investment funds and other entities subject to financial risk. We show that by using coherent measures of risk it is impossible to allocate risk satisfying simultaneously the natural game theoretical requirements of Core Compatibility and Strong Monotonicity. To obtain the result we characterize the Shapley value on the class of totally balanced games and also on the class of exact games as being the only risk allocation method satisfying Strong Monotonicity, Equal Treatment Property and Efficiency. Moreover, we clarify and interpret the related game theoretical requirements that have appeared in the literature so far and have been applied to risk allocation.

scholarly journals Performance measurement models and their influence on net fundraising of investment funds

2018 ◽  
Vol 29 (78) ◽  
pp. 435-451
Author(s):  
Anderson Rocha de J. Fernandes ◽  
Simone Evangelista Fonseca ◽  
Robert Aldo Iquiapaza
Keyword(s):  
Risk Factors ◽  
Fixed Effects ◽  
Time Windows ◽  
Explanatory Power ◽  
Fund Performance ◽  
Capital Asset Pricing ◽  
Investment Funds ◽  
Measurement Models ◽  
Asset Pricing Models ◽  
Two Phases

ABSTRACT This article aims to analyze the relation between third- and fourth-order conditions and risk factors and their adequacy to return, performance, and net fundraising. The factors used to determine fund performance and, consequently, their relation with fundraising are: market return, size, book-to-market, profitability, investment, co-skewness, and co-kurtosis. The funds constituting the sample are those classified as Free Stocks (within the period from April 2001 to April 2015). Methodologically, this study has two phases. The first one refers to estimating the parameters that represent fund sensitivity to the factors and the comparison of the capital asset pricing models (CAPM), Fama-French-Carhart 4-factor (FFC), Fama-French 5-factor (FF5), Fama-French 5-factor with momentum (FF5M), added or not with co-moments, by means of the fixed-effects procedure. The second one deals with verifying the relation between performance and net fundraising. The models were reestimated through moving time windows, so that the alpha calculated on each of them represented fund performance within the immediately subsequent period. We also estimated the relation fundraising-performance through cross-section regressions, with rates and age as control variables. The results showed that the co-skewness and co-kurtosis coefficients are not that relevant for determining performance and net fundraising of investment funds. Among the risk factors, market, size, and momentum are the significant parameters for fund returns. The FFC and FF5M models are those with greater explanatory power regarding return specification. There is also evidence of convexity in the relation between performance and fundraising.

scholarly journals Polish Pension Funds Investment - is There A Place For Real Property in A Portfolio?

2010 ◽  
Vol 9 (1) ◽  
pp. 151-166
Author(s):  
Magdalena Zaleczna ◽  
Rafał Wolski
Keyword(s):  
Pension Fund ◽  
Pension Funds ◽  
Capital Allocation ◽  
Portfolio Diversification ◽  
Financial Resources ◽  
Constant Flow ◽  
Real Property ◽  
Return Levels ◽  
Entire Economy

Polish Pension Funds Investment - is There A Place For Real Property in A Portfolio?The pension fund investments should be characterised by a long term, low risk and profitability, which implicates the necessity of portfolio diversification. In general, pension funds having regular long-term contributions should develop the long-term policy and its effects would be responsible for the economic position of their future beneficiaries. The ways of capital allocation are also critical in terms of the entire economy, as a constant flow of financial resources provided by pension funds stimulates the activity of its recipients. The typical assets in a pension fund's portfolio in the developed economy are stocks, bonds and real property owing to low (negative) correlation between these assets and their diversified potential. The legal investment limits imposed on the Polish pension funds exclude direct investment in real property, which is responsible - in the authors' opinion - for the lower level of diversification and hinders the risk reduction. The authors analyze the Polish pension fund portfolios focusing on risk and return levels. The aim of the study is to find the answer to the important question about the results of hypothetically added real property to the portfolios of pension funds.

scholarly journals Innovation Strategy of Raw-Materials Companies in Conditions of Uncertainty on European Market of Gas (illustrated by the company ‘Gasprom’)

2018 ◽  
pp. 199-213 ◽  
Author(s):  
L. L. Razumnova ◽  
E. G. Lisovskaya
Keyword(s):  
Raw Materials ◽  
European Market ◽  
Price Strategy ◽  
Strategic Decisions ◽  
Managerial Decisions ◽  
Export Policy ◽  
Market Situation ◽  
Gas Market ◽  
Uncertain Future

Today's international and national companies develop in conditions of high uncertainty, which requires flexible strategies, fast decision-making and spread of adopted strategy to all levels and spheres of the company work. Thus it is necessary to develop a non-standard combination of strategic decisions and to use more energetically theoretical achievements in the field of theory of forecast in such conditions. Support of Russian raw-materials companies that have a serious export component depends greatly on successful foresting of the market situation. The article analyses the evolution of price strategy of the company 'Gasprom' after adoption of the Third Power Package by the EU in 2009 and proposes theoretical tools for devising the effective price strategy in the long-term period. The authors ground the necessity to formulate a new long-term price export policy of the company 'Gasprom' in conditions of uncertain future demand on European market. They describe in detail and put forward for practical use in strategic planning of the company the model of making efficient managerial decisions for different levels of uncertainty of gas market, which could strengthen 'Gasprom' standing on European market and cut finance losses in tough competitive struggle.

The Temporal-Spatial Evolution of the Southern Corridor of West-to-East Power Transmission Project in China

2014 ◽  
Vol 521 ◽  
pp. 485-489
Author(s):  
Hong Hao Fu ◽  
Guo Tian Cai ◽  
Dai Qing Zhao
Keyword(s):  
Power Supply ◽  
Power Plants ◽  
Power Transmission ◽  
Market Mechanism ◽  
Power Grids ◽  
Total Power ◽  
Spatial Process ◽  
Market Situation ◽  
Increasing Demand

This paper analyzes temporal and spatial process, and problems based on data between 1986 and 2010. Conclusions are as follows. Power supply of Guangdong relied more on distant outer-province power grids over time, not inner-province ones, close ones or independent power plants. This accelerating enlargement of power supply range could well satisfy its increasing power consumption. However, power production of western provinces couldnt simultaneously meet their own increasing demand and demand by Guangdong. Furthermore, total power transmission and electricity tariff were fixed by long-term framework agreements signed among governments, in which the transmission amount was too much while the tariff was too low, forcing the western provinces limiting their domestic demand without proper compensation. So the current enlarging trend of power supply range of Guangdong is unsustainable and its necessary to introduce power market mechanism through adjusting short-term total power transmission and power tariff according to the market situation.

Assessing the impact of risk allocation on sustainable energy innovation (SEI)

2016 ◽  
Vol 9 (2) ◽  
pp. 259-281 ◽  
Author(s):  
Sulafa M Badi ◽  
Stephen Pryke
Keyword(s):  
Construction Projects ◽  
Sustainable Energy ◽  
Empirical Work ◽  
Energy Performance ◽  
Risk Allocation ◽  
Content Type ◽  
Study Approach ◽  
Energy Innovation ◽  
The Impact

Purpose – The allocation of risk among project participants is an important determinant of innovation success in construction projects. The purpose of this paper is to examine the capacity of risk allocation to encourage the implementation of environmental innovation, particularly sustainable energy innovation (SEI), within the private finance initiative (PFI) project delivery model. Design/methodology/approach – A four-case qualitative research methodology is adopted within the context of the UK government’s building schools for the future programme. Findings – The findings identify that SEIs are encouraged on the innovative projects by the perceived clarity, appropriateness, and manageability of the risks associated with the project’s energy performance on the PFI contract. The main SEIs were largely developed as strategies to manage long-term energy performance risks allocated to private sector actors and safeguard their long-term commitment to the project. However, the findings indicate that excessive perceived innovation-related risks, particularly capital cost risk, may restrict further SEIs to be implemented. Research limitations/implications – The qualitative case study approach adopted may limit the generalisability of the findings. Practical implications – The study and provides practical guidance to policymakers and project managers in developing strategies to support the implementation of SEI in PFI projects. Originality/value – The study attends to a significant gap in knowledge as there is a lack of conceptual and empirical work on managing innovative processes for sustainable energy in PFI projects.

LNG pricing trends and key considerations

2015 ◽  
Vol 55 (2) ◽  
pp. 417
Author(s):  
Jacques van Rhyn ◽  
Janelle Sadri
Keyword(s):  
Transfer Pricing ◽  
Asia Pacific ◽  
Asia Pacific Region ◽  
Trade Patterns ◽  
Market Situation ◽  
Competitive Prices ◽  
Speculative Trading ◽  
Near Future ◽  
Selection Of

Historically, LNG has been sold through long-term contracts with limited flexibility in volume and price. LNG trade patterns have evolved significantly, adding to increased sales of multiple cargoes on the spot market, brokered trades and speculative trading positions being taken up by non-traditional players. Buyers in the Asia-Pacific region are keen to secure supply for local markets, while Australian producers, particularly subsidiaries of foreign headquartered groups, are under pressure to sell at competitive prices. From a transfer pricing perspective, the Australian Taxation Office (ATO) has placed increased scrutiny on the commerciality of arrangements, arm’s length outcomes and profit allocations between Australian taxpayers and their international related parties (e.g. marketing and trading hubs). This extended abstract covers: factors that could impact on the selection of a price index and the slope or gradient to be applied in pricing formulae; blended pricing based on an average of different indices, and why pooling and trading may make commercial sense, although revenue authorities may not look favourably upon it; the importance of the contractual terms, the market situation and the other commercial contract conditions on the pricing of related-party LNG sales; and, the value in potentially seeking an advanced pricing agreement in a related party LNG pricing context, given the significance of the transactions. Given the practical and commercial challenges facing the industry and with several projects commencing production in the relatively near future, this is very topical. The authors use case studies to illustrate the key concepts.

A new goal-directed benchmarking for supplier selection in the presence of undesirable outputs

2014 ◽  
Vol 21 (3) ◽  
pp. 314-328 ◽  
Author(s):  
Majid Azadi ◽  
Reza Farzipoor Saen ◽  
Kamyar Hosseinzadeh Zoroufchi
Keyword(s):  
Supplier Selection ◽  
Efficient Frontier ◽  
Decision Makers ◽  
Undesirable Outputs ◽  
Content Type ◽  
Organizational Goals ◽  
Monitoring Process ◽  
Proposed Model ◽  
First Time

Purpose – In this paper, the authors extend the goal-directed benchmarking theory proposed by Stewart for benchmarking and selecting suppliers. This extension is in recognition of the fact that benchmarking for suppliers is more than a pure monitoring process and includes a component of future planning. The paper aims to discuss these issues. Design/methodology/approach – In this paper, the proposed model utilizes a goal programming structure to find points on the efficient frontier which are realistically attainable by suppliers in the presence of undesirable outputs, but at the same time achieving a closer method to long-term organizational goals (as distinct from the local performance of individual suppliers). Findings – The contributions of the current paper are as follows: the proposed model considers undesirable outputs in the context of goal-directed benchmarking. The proposed model does not demand weights from the decision maker. The proposed model can be easily computerized, enabling it to serve as a decision making tool to assist decision makers. For the first time, the proposed model is applied for the supplier selection and benchmarking. Originality/value – To the best of knowledge of the authors, there is not any reference that discusses supplier selection problem and benchmarking in the presence of undesirable outputs in the context of goal-directed benchmarking.

Nachhaltiges Investment

2019 ◽  
Author(s):  
Manuel Gietzelt
Keyword(s):  
Regulatory Requirements ◽  
Investment Funds ◽  
Breach Of Contract ◽  
Market Situation ◽  
Minimum Requirements ◽  
Sustainable Investment ◽  
Definition Of ◽  
German Investment ◽  
Economic Criteria

This book innovatively evaluates ‘sustainable investment funds’ against the background of the existing investment law, and it legally contextualises the current market situation. The central challenge as regards sustainable funds is the vagueness of non-economic investment criteria. After discussing the question of whether a universal statutory definition of non-economic criteria can be found, the analysis is dedicated to the interpretation of the non-economic criteria contained in privately drafted investment terms and conditions. The minimum requirements which the German Investment Act (KAGB) places on the use of such investment criteria are then evaluated. In addition, the study considers the regulatory requirements for sustainable investment funds, for instance the role of an ethics committee. Finally, it examines a capital management company’s civil liability for investing while in breach of contract.

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