Under de senaste åren har investeringsintresset ökat kraftigt, och i synnerhet intresset för att investera i fonder. Detta medför en problematik då valet att investera i aktivt eller passivt förvaltade fonder inte är självklart. Tidigare studier pekar åt olika håll när det kommer till detta dilemma. Syftet med denna studie är att undersöka vilken förvaltningsstrategi som har gett mest avkastning i förhållande till den tagna risken och avgiften. Då marknaden under de senaste åren har varit volatil ger detta mer relevans till studiens syfte. Studiens valda tidsperiod sträcker sig mellan 2017-04-21 och 2022-04-21. För att vidare undersöka om det lönar sig att investera i aktivt förvaltade fonder med högre avgift, formuleras två hypoteser. Studien undersöker ett urval på totalt 110 aktivt och passivt förvaltade svenska aktiefonder som enbart är exponerade mot svenska bolag.           Studiens resultat av de två förvaltningsstrategiernas genomsnittliga prestations- och riskmått skiljer sig inte avsevärt gentemot varandra. Studiens resultat pekar på att indexfonderna har presterat marginellt bättre än de aktivt förvaltade fonderna och i genomsnitt har dessa gett högst avkastning till lägst tagen risk. Studiens båda hypoteser förkastades då samtliga korrelationskoefficienter påvisade svaga icke-samband samt att de inte var signifikanta på en 5% signifikansnivå. Sammanfattningsvis medför en högre avgift nödvändigtvis inte en högre avkastning eller riskjusterad avkastning. / In the recent years, the interest in investing on the stock market has increased sharply, and in particular the interest to invest in funds. This entails a problem as the choice to invest in actively or passively managed funds is not self-evident. Previous studies point in different directions when it comes to this dilemma. The purpose of this study is to examine which management strategy has given the most return in relation to the risk and the fee. As the market in recent years has been volatile, this gives the purpose of why this study is relevant. This study's investigates the market from 2017-04-21 and 2022-04-21. To further investigate whether it is profitable to invest in actively managed funds with a higher fee compared to index funds, two hypotheses are formulated. The study investigates a sample of 110 actively and passive managed Swedish equity funds that are only exposed to Swedish companies.  The conclusion of the performance and risk measures of the two management strategies do not differ significantly from each other. Marginally the result of this study indicates that the index funds have an average higher return at the lowest risk. Both hypotheses of this study were rejected when all correlation coefficients showed weak non-correlations and that they were not significant at a 5% significance level. In summary, a higher fee does not necessarily lead to a higher return or a higher risk-adjusted return.

The past thirty years have seen rapid advances in the technological component of banking services and as a consequence new legal issues have come to the fore, especially with regard to Electronic Fund Transfers (EFTs) which are now used to transfer money around the world, and have made fund transactions between payers and payees easier, faster and more secure. The method involves risks for both banks and customers, due to the possibility of unauthorized payments risks, credit and insolvency problems, and confidentiality issues. Most contracts and obligations now depend on the new technology, although there is a variety of methods for dealing with the concomitant risks. EFTs share a number of similarities with paper-based funds transfers in regard to methods of regulation, and the careful observer can identify patterns and themes. Today, the business world depends heavily on EFT systems for its procedures; and government and academia have also taken a keen interest in EFTs. This thesis reviews and examines the existing legal position of liability of banks and customers for risks associated with EFT transactions: unauthorized EFT instruction and the problem of customer identity, credit risk and privacy, especially, the systems employed for safeguarding the customer’s transactions and data. The thesis also makes recommendations for change. The rules for the allocation of risk are based on the various mechanisms used to access the account. Also, due to the complexities of EFT, consumer protection becomes a paramount goal and is a subject of much concern, particularly when it comes to determining liability for losses. The UK government implemented the Payment Services Directive 2007 by adopting the Payment Services Regulations 2009, to regulate the system. However, such Regulations do not constitute a comprehensive regime that applies to all legal issues arising in the context of the EFT system. This study argues the necessity for a re-examination of existing laws and proposes a model for the future approach to the issues associated with EFT payment. Different approaches to EFT will be assessed, and the comparative and contrasting elements will be analysed in order to propose a comprehensive solution to the deficiencies in the current framework. Central to the problem is the absence of any uniform standard: individual banks offer differing contractual terms and conditions and different means of accessing accounts. Consequently it is time to formulate new and comprehensive rules for the allocation of liability of risks associated with EFT transactions.

In the seven decades following the Investment Company Act of 1940 coming into force in the United States, the mutual fund industry has undergone dramatic changes including, some argue, a transition from stewardship to salesmanship with asset-gathering becoming the industry’s driving force. As fund managers incrementally assumed a more pronounced role in the investment fund industry, an emerging strand of finance literature focused on their characteristics and their potential impact on investment performance. While a large body of academic research concurs that fund managers cannot outperform systematically better than chance, there are also a significant number of studies that link the psychological characteristics of investors to their investment performance. Importantly, we know that fund managers, as a representative sample of professional investors, often have to operate under enormous anxiety and associated psychic pressures. In their effort to cope with these pressures and make sense of an immensely unpredictable and complex work environment, a wide range of psychic defences and behavioural biases may be triggered. The purpose of this research is to investigate, on the one hand, to what extent mutual fund managers are prone to overconfidence and associated behavioural biases such as self-serving attribution. On the other hand, the extent to which overconfidence, proxied by a wide range of variables including overoptimism, excessive certainty and excessive self-reference, may have any bearing on fund performance is of interest. The fundamental question is why, how, and through which mechanisms does overconfidence affect performance. The underlying research questions are motivated by three large areas of research: studies of mutual fund performance and persistence, studies of financial accounting narratives, and studies of professional investor psychology. I also explore how overconfidence is fundamentally generated and, in a sense, resorted to by fund managers as a defence mechanism against the psychic pressures of having to work in a highly intangible, complex and uncertain environment. Drawing on evidence from fund manager reports written for investors, I explain how they use the medium of narratives, and in particular stories, to make sense of what they do as fund managers and their added value for clients. I demonstrate how analysing fund manager commentaries, both through computer-assisted corpus-linguistic approaches and through the “close reading” method, sheds light on the link between fund manager psychology and investment performance. In particular, from the perspective of narrative analysis, I explain how fund managers write their reports in distinguishably different genres depending, among others, on their past performance record, fund size and investment style. In addition, I establish in a longitudinal study that the overall economic environment in which fund managers operate does influence the rhetoric of fund manager reports as well as the evidence for the Pollyanna hypothesis. My findings also suggest that excessive overconfidence is associated, to a large extent, with diminished future investment returns. While superior past returns are expected to increase fund manager confidence which, in turn, may introduce the overconfidence bias in the investment decision-making process and thus diminish returns (through inefficient stock selection, suboptimal market timing and other possible mechanisms), this is not a simple regression towards the mean. The asset pricing model employed in my empirical analysis, the Carhart four-factor model, controls for the effect of previous-year momentum, and my overconfidence measures are only slightly correlated with the momentum figures. Hence, one is led to the conclusion that the narrative-based variables used in this study indeed capture some aspect of the professional investor psychology, and are capable of enhancing the explanatory power of conventional asset-pricing models such as Carhart’s. In investigating the dynamic relationship between fund manager overconfidence and investment performance, the cross-sectional variations in my study demonstrate that superior past performance boosts overconfidence as measured by all proxies employed. In addition, there appears to be an inverted-U relationship between overconfidence and subsequent investment performance. In particular, a hedging strategy based on shorting funds with extremely overconfident managers and going long in funds with normally (over)confident managers, yields positive average returns. The impact of overconfidence on subsequent returns is robust across different investment styles, although it is stronger among growth-oriented funds. Incorporating average scores for fund manager overconfidence over longer periods yields similar results. In addition, fund manager duration appears to correlate with managerial overconfidence in the long term.

Thesis (MAcc)--University of Stellenbosch, 2009. / AFRIKAANSE OPSOMMING: Die ontstaan van verskansingsfondse in Suid-Afrika het die afgelope dekade baie reaksie ontlok vanaf reguleerders wat onseker is oor die werking van hierdie fondse. Verskansingsfondse is ‘n nuwe tipe beleggingsinstrument wat gebruik maak van verskeie verskansingstegnieke om beleggers se fondse tot ‘n maksimum te laat groei. Hierdie fondse is uniek in vergelyking met tradisionele beleggings. Die rede hiervoor, is weens die feit dat hierdie beleggingstegnieke die fonds se beleggingswaarde kan laat groei, hoewel die tradisionele belegging oor dieselfde tydperk, ‘n daling mag ervaar gedurende ‘n tydperk wat markte swak presteer. Tans word riglyne aan fondsbestuurders van verskansingsfondse verskaf deur wetgewing, maar die werking van hierdie fondse word nog nie gereguleer nie. Die feit dat die werking van verskansingsfondse nie tans in Suid-Afrika gereguleer word nie lei direk tot die vraag oor die belasbaarheid van ontvangste en toevallings vanaf verskansingsfondse. Die spesifieke probleem wat nagevors word ingevolge die studie is die vraag of ontvangste en toevallings vanaf verskansingsfondse kapitaal of inkomste van aard is. Die Raad van Finansiële Dienste is tans in die proses om ‘n beter begrip te verkry rakende die werking van verskansingsfondse en poog om die werking van verskansingsfondse binne die nadere toekoms te reguleer ingevolge wetgewing. Hierdie regulering van die werking van verskansingsfondse kan heel moontlik direk leiding verskaf ten opsigte van die belastinghantering van ontvangste en toevallings vanaf verskansingsfondse, aangesien daar sprake is dat die Raad van Finansiële Dienste graag verskansingsfondse onder die Wet op Beheer van Kollektiewe Beleggingskemas wil reguleer. Die Inkomstebelastingwet reguleer die belasbaarheid van ontvangste en toevallings vanaf kollektiewe beleggingskemas in effekte en indien verskansingsfondse geklassifiseer sou word as ‘n kollektiewe beleggingskema in effekte, sal geen onsekerheid bestaan rakende die belastinghantering daarvan nie. Bogenoemde is egter nog nie Wetgewing in Suid-Afrika nie en die navorsingstudie kom tot die gevolgtrekking dat die bepaling van belasbaarheid van ontvangste en toevallings vanaf verskansingsfondse gebaseer moet word op regspraak se beginsels neergelê as riglyne vir die bepaling of ontvangste en toevallings kapitaal of inkomste van aard is. Elke situasie en transaksie moet egter op sy eie meriete geëvalueer word, aangesien elke geval sy eie omstandighede teweegbring waarop regspraak se beginsels toegepas moet word om ‘n gevolgtrekking te maak tot tyd en wyl wetgewing die belasbaarheid van verskansingsfondse meer spesifiek reguleer. / ENGLISH ABSTRACT: The development of hedge funds in South Africa over the past decade evoked many reactions from regulators who are uncertain of the operations of these funds. Hedge funds are a new type of investment instrument which uses hedging techniques to maximise the growth of the investors’ funds. These funds are unique in comparison to traditional investments. This is due to the fact that the investment techniques used, can establish a growth in the value of the investment fund, whilst the traditional investment, compared over the same period, may experience a decline during a period that markets are performing badly. Currently, fund managers of hedge funds are given guidelines in terms of the law, but the operations of these funds are not regulated. The fact that operations of hedge funds currently are not regulated in South Africa gives rise to the question of taxation of receipts and accruals from hedge funds. The specific problem that is being researched by this study is the question whether the receipts and accruals from a hedge fund are of a capital or revenue nature. The Financial Services Board is currently in the process of getting a better understanding of the operations of hedge funds and strives to regulate the operations of a hedge fund in accordance to the law in the near future. The regulation of the operations of hedge funds can most probably give guidance with regards to the tax treatment of receipts and accruals from hedge funds, due to the fact that there is talk from the Financial Services Board to regulate hedge funds in accordance to the Collective Investment Scheme Act. The lncome Tax Act regulates the taxation of receipts and accruals from collective investments schemes in securities and should hedge funds be classified as a collective investment scheme in securities, there would be no uncertainty with regards to the taxation thereof. The above-mentioned does not form part of any Act in South Africa and the research study arrive to the conclusion that the determination of taxation of receipts and accruals from hedge funds should be based on the principles established by case law to give guidance to the determination of whether receipts and accruals are of a capital or revenue nature. Every situation and transaction should be evaluated on their own merits, seeing that every case can bring about their own circumstances upon which the principles established by case law should be applied until such time that the law more specifically regulates the taxation of hedge funds.

Thesis (MBA) -- Stellenbosch University, 2007. / ENGLISH ABSTRACT: Hedge funds are amongst the fastest growing types of investment funds, both in tenns of worldwide assets under management, as well as the number of private and institutional investors. More recently, analysts and investors focussed their attention on accurately estimating the inherent risks of hedge funds (e.g, Brooks & Kat, 2001; Fung & Hsieh, 2004). Past research suggests that the traditional approach of assessing the risks of investment funds through mean-variance analysis can lead to severe underestimation of left-hand-tail risks for hedge funds (Amenc, Malaise, Martellini & Vaissie, 2004; Favre & Galeano, 2002; Fung & Hsieh, 1999). This phenomenon is mainly attributab le to the non-normal distribution of monthly hedge fund returns around the mean. In addition, it has been found that skewed return distribution with high excess kurtosis has substantial impact on the rel iability of beta as a measure of systemic risk in hedge funds (Chan, Getmansky, Haas & Lo, 2005). Other problems when estimating hedge fund risks arise from serial correlation of time series (Getmansky, Lo & Makarov, 2003), managerial and survivorship bias (Amin & Kat, 2001 ), as well as spurious bias when estimating performance from economic time series (Fung & Hsieh, 2000). The following thesis provides statistical evidence of the limitations of traditional risk measures when applied to hedge fund investments. It also includes advice on how to improve the significance of the aforementioned risk measures. In the course of the mean-variance analysis, the applicability and reliability of Value at Risk as a risk measurement tool for hedge funds is explored. Furthennore, the reliability and accuracy of different univariate and multivariate regression models is tested. In the final chapter emphasis is placed on the possibilities of predicting the inherent risks of single funds from hedge fund style index performance. This should provide investors and analysts with an introductory framework for the appropriate risk assessment of hedge funds, considering the unique structure and dynamics of these alternative investment funds. / AFRIKAANSE OPSOMMING: Skansfondse tel onder die vinnigste groeiende tipes beleggingsfondse in terme van sowel wereldwye bates onder bestuur as die aantal private en institusionele beleggers. OnJangs het analiste en beleggers hulle aandag daarop begin toespits om die inherente risiko's verbonde aan skansfondse akkuraat te bereken (Brooks & Kat. 2001; Fung & Hsieh, 2004). Vroeere navorsing het daarop gedui dat die tradisioncle benadering om die risiko's verbonde aan beleggingsfondse deur gemiddeldevariansie-analise te takseer, daartoe kan lei dat linkerkantse-eindrisiko's verbonde aan skansfondse emstig onderskat word (Fung & Hsieh, 1999; Favre & Galeano, 2002; Amenc. Malaise, Martellini & Vaissie, 2004). Hierdie verskynsel is hoofsaaklik toe te skryf aan die abnonnale verspreiding van maandeliksc skansfondsopbrengste rondom die gemiddelde. Boonop is bevind dat skewe verdeling met hoe kurtose-oorskryding aansienlik inslaan op die betroubaarheid van beta as 'n meting van sistemiese risiko by skansfondse (Chan. Getmansky. Haas & Lo, 2005). Ander probleme by die raming van skansfondsrisiko's spruit uit tydreekskorrelasie (Getmansky, Lo & Markov, 2003), bestuurs- en oorlewingsydigheid (Amin & Kat, 2002) en vals sydigheid by die beraming van prestasie uil die ekonomiese tydsreeks (Fung & Hsieh, 2000). Hierdie tesis gaan statistiese bewyse lewer van die tradisioncle risikometings se beperkings wanneer dit op skansfondsbeleggings toegepas word. Verder sal daar raad gegee word oor hoe om die beduidendheid van die genoemde risikometings te verbeter. In die loop van die gemiddeldevariansie-analise sal die toepasbaarheid en betroubaarheid van die Waarde onder Risiko as 'n risikometing vir skansfondse ondersoek word. Voorts sal die betroubaarheid en akkuraatheid van verskillende ecnvariaat- en meervariaatregressiemodelle getoets word. In die laaste hoofstuk val die klem op die moontlikheid om die inherente risiko's van enkelfondse aan die hand van 'n skansfondstipe-indeksprestasie te voorspel. Wat hier volg, behoort beJeggers en analistc van 'n inleidende raamwerk vir die toepaslike risikotaksering van skansfondse - met inagneming van die unieke struktuur en dinamika van hierdie altcmatiewe beleggingsfondse - te voorsien.

published_or_final_version / Business Administration / Master / Master of Business Administration

This paper examines the effect capital flows from the introduction of exchange traded funds (ETFs) have on emerging markets. Recent years have seen more capital transfer into emerging markets, and the advantages ETFs offer have helped expedite the process. Increased liquidity and a large diverse collection of holdings help manage the high degree of volatility inherent to these markets. The holdings of the ETFs are tested for returns above their market average for the period surrounding the initial trading date of the fund. Positive effects were seen on individual stocks, but overall the findings suggest no significant mean excess return exists for the period related to the creation of an ETF.

Suppose we are confronted with an environment which consists of large common costs and uncertain supplies. Furthermore, suppose the resources in this environment are being supplied by a public enterprise monopoly which is interested in maintaining economic efficiency while recovering costs incurred by the project. Then the above problem becomes one of institutional design. Even if conditions existed in which traditional marginal cost pricing provided the proper signals for efficiency, additional charges will be necessary to recover costs due to the large common costs in this environment. Ideas and suggestions about decentralized methods of covering common costs lead naturally to questions about decentralized methods for solving the public goods provision problem. This paper reports in part on an experimental investigation of four methods for allocating public goods. The two basic processes studied are direct contribution and a public goods auction process. Both of these processes are studied with and without an additional unanimity feature. The results suggest that the auction process outperforms direct contribution. The effect of unanimity is to decrease the efficiency of both processes. Strategic aspects of the voting rule (unanimity) are evident in the results. To assist in the contingency planning for environments with uncertain supplies, different contract forms are considered. In particular, priority and contingent contracting are investigated along with specific mechanisms to allocate such contracts. An experimental environment is developed to investigate the various contract forms and mechanisms. The experiment considers two contract forms (contingent and priority) and four allocation mechanisms (Random, English auction, English auction with queue, and Iterative Groves). The experimental results show that bidding for priority results in higher efficiency than pre-assignments. Furthermore, allowing individuals to signal coalitional bids has a positive effect on efficiency and revenue generated.

This thesis examines determinants of two variables important in evaluating private equity investments. First of them is the price of companies acquired by private equity funds expressed as a multiple of a profit indicator and the impact of primary and secondary buyouts. The second variable researched is the internal rate of return, a popular tool to measure profitability of private equity funds. The internal rate of return is studied for different groups of private equity funds and is reflected in a post-crisis perspective. The first conclusion stemming from the research is that the profit multiples in secondary buyouts are estimated to be higher compared to primary buyouts. The second conclusion proves the underperformance of real estate funds and the outperformance of distressed debt, turnaround and secondaries funds.

Sovereign wealth funds and their regulation The aim of this work is to provide a comprehensive explanation of the current issue of the role and activities of sovereign wealth funds in financial markets and to try to summarize current international regulatory framework, as well as to outline possible changes in this system. This question comes from description and interpretation of the most important international "soft-law" rules on sovereign wealth funds - the so- called Santiago Principles (Generally Accepted Principles and Practices) and the OECD's related legislation. The reason for selection of this topic is a fact that issues related to existence of sovereign wealth funds and their legal regulation have not been discussed sufficiently in Czech scientific circles. This work is divided into four chapters. The first chapter is an introduction to the aforementioned issues. In the second chapter, which consists of two sections, the work is concentrated on general characteristics of existence of sovereign wealth funds. The first section is focused on definition of the term "sovereign wealth fund", categorization of such funds on the basis of their characteristic features and analysis of legal nature of these funds. The second section is devoted to influence of sovereign wealth funds on financial...