Investment fund selection techniques from the perspective of Brazilian pension funds

ABSTRACT The aim of this article was to evaluate the effectiveness of investment fund selection techniques from the perspective of Brazilian pension funds. Asset liability management (ALM) and liability driven investment (LDI) strategies are usually adopted to guide pension fund managers in relation to strategic allocation in asset classes that should compose their investment portfolios and to the liquidity needed in each period, but not specifying in which assets to allocate resources from among the infinity of assets available in the financial market. This article contributes to tactical management in the fixed income and stock segments outsourced via funds and demonstrates that adopting simple indicators can increase investment performance. The article broadens the knowledge on pension fund investment decisions and creates confidence in the adoption of the Sharpe ratio as a technique for choosing investment funds. We analyzed the returns obtained by hypothetical portfolios built using the following techniques: (i) the Sharpe ratio; (ii) the alpha of a multifactor model; (iii) data envelopment analysis (DEA) efficiency; and (iv) the different combinations of these techniques. We considered information on 369 funds from 2013 to 2018, adopting 12 temporal windows for choosing and re-evaluating the portfolios. The returns obtained were compared with the mean actuarial goal of the benefits plans administered by the pension funds, by means of the unplanned divergence (UD). When outsourcing pension fund investments in fixed income and stock investment funds it was verified that the Sharpe ratio contributes significantly to pension fund performance, compared with other indicators and techniques or a combination of them.

Does it pay to be a faithful investor? A risk-based approach performance analysis of Islamic funds vs UCITS schemes

PurposeThis paper empirically investigates the performance of Islamic funds, which have been praised for weathering the 2008 financial storm relatively well and compares it to a European product designed to protect the most vulnerable of investors, UCITS funds.Design/methodology/approachThis paper builds on 128 time-series regressions using various factor models to analyse the risk-return relationship of 242 Islamic and UCITS funds relative to a market benchmark, over a 10-year period starting January 2006, to capture severe bear and bull market conditions.FindingsIslamic funds do not face a competitive disadvantage arising from their strict compliance with Shariah principles, and their performance and investment style is relatively similar to UCITS schemes.Practical implicationsIslamic funds represent a low risk investment due to their very mild betas. Therefore, when forming part of a diversified portfolio, they can act as a hedging tool against adverse market movements.Social implicationsMuslim investors are not punished relative to conventional retail investors when following their own beliefs. Other investors can consider Islamic funds in their portfolio allocation, especially those who seek socially and ethically responsible investments.Originality/valueThis paper fills a lacuna in the existing literature, because the sample is made up of Islamic funds established worldwide and includes not only equity, but also fixed income and mixed allocation funds.

Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement

Insurance companies and pension funds have liabilities far into the future and typically well beyond the longest maturity bonds trading in fixed-income markets. Such long-lived liabilities still need to be discounted, and yield curve extrapolations based on the information in observed yields can be used. We use dynamic Nelson-Siegel (DNS) yield curve models to extrapolate risk-free yield curves for Switzerland and several countries. We find slight biases in extrapolated long bond yields of just a few basis points. In addition, the DNS model allows the generation of useful financial risk metrics, such as ranges of possible yield outcomes over projection horizons commonly used for stress-testing purposes. Therefore, we recommend using DNS models as a simple tool for generating extrapolated yields for long-term interest rate risk management. This paper was accepted by Kay Giesecke, finance.

Meningkatkan Pendapatan Melalui Daur Ulang Limbah Masyarakat

The problem of garbage is a classic problem that repeatedly faced by the surrounding residents, especially in the Village of Peace. Because of the amount and level of danger, waste, especially plastic waste composed of chemicals, is difficult to decompose so that it is dangerous for the environment, so it is necessary to process waste to turn plastic waste into something useful. Based on surveys in the peaceful village area, North Binjai people still mostly do not have a fixed income. The implementation of the results of plastic bottle waste treatment into liquid hand soap packaging products in Damai Village was carried out to raise awareness of residents and provide ideas on how to increase their income. In addition, it can minimize pollution, so that the residents of The Peace Village can be more concerned about environmental cleanliness. The methods used in the program of utilizing plastic waste as packaging products are divided into two, namely the stage of exposure or explanation and the stage of practice to the community. Through training and mentoring the manufacture of hand washing soap and the utilization of plastic bottle waste, residents get insight into business opportunities that can be created through these creative ideas, and residents are already able to make liquid hand soap that can be sold. Through the training program on making hand soap in Damai Village, it is hoped that it can be an alternative to the use of plastic bottle waste which can be a product that can help improve the economy of the surrounding community.

DEVELOPMENT OF COMMUNITIES OF TRADERS AND PRIVATE HOUSEHOLDS IN REALIZING INDEPENDENT WELFARE THROUGH THE MOVEMENT OF LOVE TO SAVING SHARE (GERMAS) IN GAMPONG BLANG PULO AS A EXAMPLE OF GAMPONG INVESTMENT

In the industrial era 4.0 technology has emerged and people's thoughts are increasingly democratic. Nowadays, we see a lot of phenomena in coffee shops where young people with their laptops can buy company shares through investment and get dividends. This investment activity will encourage a country's economy, absorb labor, increase output resulting in foreign exchange savings or even increase foreign exchange. Investment aims to get a fixed income in each period, meet future needs and so on. Thus, the increase in the value of this investment is expected to help economic growth for the welfare of the community. (www.idx.co.id) The condition of the community in Blang Pulo Village is in a position that is still in the lower middle-class community where most people earn from farming and trading. Almost the average community does not have savings prepared for the future. Others are in a weak economic position where their income is only enough for their daily meals. With the investment village, it is hoped that the trading community in Gampong Blang Pulo will be willing to follow directions to save shares every month on a regular basis to get the maximum profit possible. (https://kampungkb.bkkbn.go.id) An investment village is an activity to introduce investment to the community and invite people to save shares. As well as providing guidance on how to invest properly and correctly that can generate future returns without any element of usury. With the investment village program, it is expected to be able to develop the potential that has been pioneered by the community to be more developed. The investment village will be held in Gampong Blang Pulo and will be assisted by local village officials in its implementation. The Investment Village Extension activity began with recording and visiting people's homes and then making friendly gatherings to increase friendship. After that, conducting counseling to invite people to save shares regularly every month and provide guidance on the capital market and conduct socialization in Gampong Blang Pulo to make the investment village program a success.

Investment Strategies of Hedge Funds

This chapter reviews a number of different hedge fund strategies, including equity hedge, long/short, market neutral, relative value arbitrage, convertible arbitrage strategy, capital structure arbitrage strategy, fixed income arbitrage strategy, yield curve arbitrage strategy, other relative value arbitrage strategies, emerging markets strategies, global macro strategies, event driven strategies, distressed securities, and merger arbitrage strategies. In addition, the author discusses the growth and performance of different strategies, as well as fraud, fund failures, activism, and regulation.