We focus on the dynamics of active management skills, and how an investor might optimally
choose active funds during varying business conditions. Building on studies such as Avramov and
Wermers (2006) and Moskowitz (2000), we allow for the possibility of time-varying mutual fund
alphas and betas among active managers in Europe. Following Christopherson, et al. (1998)
and Ferson and Schadt (1996), we model such time-variation using a publicly available set of
conditioning state variables.
We rst construct Pan-European size, book-to-market, and momentum risk factors for stocks.
Then, we report on the average performance of European mutual funds over our time period using
these benchmarks. Our ndings are similar to those of many studies of U.S. mutual funds (e.g.,
Carhart, 1997 and Wermers, 2000). Specically, the median one-factor and four-factor alphas are
-0.90%/year and -0.32%/year, respectively. This nding indicates that our benchmarks successfully
control for common variation in European equity mutual fund returns....
study also offers an auxiliary performance measure to capture this effect and assesses how
important it is to mutual fund performance in Thailand.
The fourth aim of this thesis is to investigate and discuss policy implications in
Thailand which adopt tax-advantaged types of mutual fund in order to encourage retirement
and long-term savings. In this thesis, the performance and characteristics of these tax-
advantaged funds are also investigated in a separate group and compared to those of general
mutual funds. ...
As I noted, the ﬁnancial crisis has created an increasingly
global outlook among policymakers. More and more, national
regulators are inﬂuenced by policies fashioned abroad, and
international bodies are stepping up policy coordination.
At the same time, the extraordinary worldwide rise of as-
set managers as ﬁnancial intermediaries has created new
opportunities for funds. Responding to these and other
trends, the Institute readied a new initiative —ICI Global—
launched early in ﬁscal year 2012.
Apart from banking regulation, more general legislative aspects, both in relation to micro-lenders
and micro-borrowers, have a bearing on the development of microfinance in a given country. This
is the case with tax laws, legal provisions in relation to self-entrepreneurship, interest rate ceilings,
usury rates, etc. The different frameworks are key determinants and have led to a broad variety of
institutional forms and business models for microfinance lending in Europe.
The main objective of this thesis is to comprehensively explore the performance of mutual
funds in an emerging market. This fills one of the gaps in mutual fund literature, since studies
in this region are scarce, based on the prevailing approach and survey a small number of
funds over only a short period. It should not be forgotten that emerging markets are unlike
developed markets in several ways. Subsequently, this thesis uses a more comprehensive
dataset of mutual funds in Thailand as a case study to represent its emerging market. ...
Though some pension funds – mostly larger, more sophisticated investors - are able to invest at the
riskier end of the spectrum (i.e. in start-up, venture capital type projects focusing on clean tech and other
innovations), this will only ever constitute a small percentage of their portfolios. The broad mass of
pension funds will be more interested in lower risk investments (i.e. in deployable renewables etc.
The Investment Company Institute (“ICI”) and ICI Global appreciate the opportunity to
comment on the consultative document published by the Financial Stability Board (“FSB”) entitled
“Strengthening Oversight and Regulation of Shadow Banking: A Policy Framework for Oversight and
Regulation of Shadow Banking Entities.”1
ICI is the national association of U.S.
On UCITS, ESMA expects to provide input at the relevant stage on the delegated acts and/or technical standards that may be required under the UCITS V Directive. ESMA’s previous work on depositaries and remuneration under the AIFMD will provide useful benchmarks on which to build.
In addition, and subject to developments at the level of the EU institutions, ESMA may be tasked with further work in relation to the VC and SEF Regulations.
Under the U.S. Constitution, the censors had every right to wield their scissors at whatever
offended their eyes. In 1915, in Mutual Film Corporation v. Industrial Commission of Ohio,
the Supreme Court ruled that the movies were not a revolutionary new communications
medium but “a business, pure and simple, originated and conducted for profit, like other
spectacles, not to be regarded … as part of the press of the country, or as organs of public
You’ll start by speaking with the analysts and reading their reports. (See
the “Career Track” box for insights on the work of the money market
credit analyst.) If the fund you’re managing ranges beyond U.S. Treasuries,
you’ll need rigorous research to determine which securities provide minimal
credit risk. You’ll be investing in them for three to six months or longer and
need to be conﬁdent that they’ll repay the fund at the end of the period.
The study covered mutual fund expense ratios (not including market impact costs) and the
behavior of these ratios with respect to mutual fund complexes and individual product lines with
various amounts of assets under management.
In particular, the study covered all 533 mutual fund complexes that existed in the United States
during the years 1990 to 1994, encompassing assets totaling about $2 trillion at the end of the
period. A mutual fund complex is a "sponsor" which may offer anywhere from...
Investment banks have strong capital adequacy, in particular with
respect to their hedge credit fund exposures – some estimates of
which are provided below.
Ironically, the fastest growing area of new financial products that
utilise highly-complex derivative products exclusively lies mostly
within the regulated sector. This is the market for “structured
products” that are produced by investment banks and sold to retail,
private bank and institutional clients.
Hedge Funds have grown quickly over the past ten years,
and are important part of the financial landscape. They are
difficult to define as entities, because the line between what
hedge funds do that other institutions do not is blurred –
proprietary traders in investment banks, private equity funds,
and fund managers all use extensive leverage and derivatives
to trade markets or to shift risks.
The Californian Public Employees‟ Retirement System (CalPERS) has approximately USD 231
billion in assets and is the largest public pension fund in the United States. Since 2006, CalPERS has
committed USD 500 million to external managers in its Global Equity asset class who restrict companies
with a negative environmental footprint. CalPERS has committed more than USD 1.5 billion to its private
equity Environmental Technology Program, and has strongly advocated the reporting of environmental risk
in its engagements with federal regulators and portfolio companies. ...
It is management’s, not the audit committee’s, responsibility to prepare
complete and accurate financial statements and disclosures in
accordance with financial reporting standards and applicable rules and
regulations. However the audit committee should consider significant
accounting policies, any changes to them and any significant estimates
and judgements. The management should inform the audit committee
of the methods used to account for significant or unusual transactions
where the accounting treatment is open to different approaches.
That said, combining credit and property prices appears to be the most parsimonious way to
capture the core features of the link between the financial cycle, the business cycle and
financial crises (see below). Analytically, this is the smallest set of variables needed to
replicate adequately the mutually reinforcing interaction between financing constraints
(credit) and perceptions of value and risks (property prices).
Overall, our proposed framework is quite
general and is applicable to investment decisions in real time. For one, moments used to
form optimal portfolios obey closed-form expressions. This facilitates the implementation
of formal trading strategies across a large universe of mutual funds.
We provide several new insights about the value of active management and the economic
signiﬁcance of fund return predictability through an analysis of the optimal portfolios of
mutual funds prescribed by our framework at the end of the sample period (December 31,
2002). In particular, consider an investor who completely rules out predictability in fund
returns, as well as active management skills. Not surprisingly, this investor heavily weights
index funds, such as the Vanguard Total Stock Market Index fund.
Phytochromes are photoreceptor proteins that monitor the light environ-ment and regulate a variety of photomorphogenic responses to optimize
the growth and development of plants. Phytochromes comprise N-terminal
photosensory and C-terminal regulatory domains. They are mutually pho-toconvertible between a red-light-absorbing (Pr) and a far-red-light-absorb-ing (Pfr) form. Their interconversion by light stimuli initiates downstream