The pension fund industry affects an enormous proportion of the world population and consists of more than $20 trillion of assets globally. Hence the performance of pension funds has major effects. This thesis investigates the performance of personal pension funds in the UK, one of the leading pension industries in the world. It identifies two important factors that are largely overlooked in the related literature: fund’s age and management outsourcing. Based on the ‘career concerns’ argument by Holmström (1999), it tests whether fund performance is age dependent, and in particular, whether funds perform better when they are young than when they ‘mature’. Moreover, one of the major features of the pension fund industry has been the enormous growth in management outsourcing. This thesis addresses this issue and tests whether there are differences in the performance between outsourced and internally managed funds, and investigates potential determinants of the decision to outsource. It argues that a ‘fashion to outsource’ may be partially responsible for the trend. Given that a CAPM-APT based analysis is not appropriate for the data at hand, the thesis employs three alternative performance measures, two of which utilise fund-specific benchmarks. The results show that risk-adjusted returns are statistically insignificantly different from zero but funds significantly outperform their benchmarks. Performance is found to change with fund’s age but this relationship is more complex than a simple ‘career-concern’ argument would predict. Risk-adjusted returns of the internally managed and the outsourced funds are both indifferent from zero but the outsourced funds are better at outperforming their benchmarks. Lastly, there is some evidence of a ‘fashion to outsource’. This research is novel in several ways. It provides the first detailed investigation of the performance of the UK personal pension funds. It is the first to address the question of potential factors (other than managerial characteristics) that may explain fund performance. It discusses the rise of outsourcing in the industry and analyses differences/similarities between performance of the outsourced and the internal funds. Finally, it is the first to investigate whether the rapid increase in outsourcing is due to ‘fashion’.

Mutual funds are the common name for the open-end investment companies. This is the dominant investment company today, accounting for roughly 90% of investment comply assets. Assets under management in the mutual fund industry in United States surpassed $ 12.068 trillion by the end of April 2008 . Mutual funds performance is one of the most frequently studied topics in investment area in most countries. The reason for this popularity is availability of data and the importance of mutual funds as vehicles for investment in stock market for both individual and institutions. Since mutual funds have become popular the research has also started to include the ways of finding the right mutual funds. Although the price shares and the income from them may go down as well as up but choosing the right mutual funds can have considerable effects on investors ending wealth. The thesis examines the past performance of mutual funds as a criterion for investors' future choices. In particular, it examines if mutual funds which invested in the Swedish stock market. Swedish funds assets have passed the trillion kronor mark in March 2005, and it is rapidly increasing. We started our analysis by the funds attributes influenced the returns. In our study hypotheses are the fund characteristics i.e. popularity growth cost and management variables are included. These attributes are most frequently used by finance academies to simple and multiple regression analysis is used to test these hypotheses. We do not find any strong evidence that the past performance is a guide to future performance. As most of the results studies, our results may be subject to survivorship bias, because we have included only 33 funds in our sample during the last eight years 2000-2007. Mostly data is collected from Morningstar Sweden, the Swedish Investment fund association and secondary data from some of the mutual funds annual reports .We analyze the data for last eight years from 2000-01-01 to 2007-12-31 and the funds which are invested mostly in Swedish securities. Before and during our thesis different research studies and financial articles were studied relevant to our research thesis. Our research study results shows that the attributes which have some impact on mutual funds returns are risk, fund size, age, fund turnover and management tenure. The results indicate that the hypothesized relationship between mutual funds performance and the explanatory variables are generally upheld. The study provides a comprehensive examination of recent Swedish mutual funds performance by analyzing the funds returns and funds attributes affecting the funds performance and an effort to link performance to funds specific characteristics.

<p>Mutual funds are the common name for the open-end investment companies. This is the dominant investment company today, accounting for roughly 90% of investment comply assets. Assets under management in the mutual fund industry in United States surpassed $ 12.068 trillion by the end of April 2008 .</p><p>Mutual funds performance is one of the most frequently studied topics in investment area in most countries. The reason for this popularity is availability of data and the importance of mutual funds as vehicles for investment in stock market for both individual and institutions. Since mutual funds have become popular the research has also started to include the ways of finding the right mutual funds. Although the price shares and the income from them may go down as well as up but choosing the right mutual funds can have considerable effects on investors ending wealth. The thesis examines the past performance of mutual funds as a criterion for investors' future choices. In particular, it examines if mutual funds which invested in the Swedish stock market. Swedish funds assets have passed the trillion kronor mark in March 2005, and it is rapidly increasing. We started our analysis by the funds attributes influenced the returns. In our study hypotheses are the fund characteristics i.e. popularity growth cost and management variables are included. These attributes are most frequently used by finance academies to simple and multiple regression analysis is used to test these hypotheses. We do not find any strong evidence that the past performance is a guide to future performance. As most of the results studies, our results may be subject to survivorship bias, because we have included only 33 funds in our sample during the last eight years 2000-2007.</p><p>Mostly data is collected from Morningstar Sweden, the Swedish Investment fund association and secondary data from some of the mutual funds annual reports .We analyze the data for last eight years from 2000-01-01 to 2007-12-31 and the funds which are invested mostly in Swedish securities.</p><p>Before and during our thesis different research studies and financial articles were studied relevant to our research thesis. Our research study results shows that the attributes which have some impact on mutual funds returns are risk, fund size, age, fund turnover and management tenure. The results indicate that the hypothesized relationship between mutual funds performance and the explanatory variables are generally upheld. The study provides a comprehensive examination of recent Swedish mutual funds performance by analyzing the funds returns and funds attributes affecting the funds performance and an effort to link performance to funds specific characteristics.</p>

This thesis analyses and compares the performance, performance persistence and fund flows for UK equity unit trusts/OEICs and UK equity unit-linked personal pensions over the sample period January 1980 to December 2007. Unit-linked personal pension funds are an illiquid investment from the investor’s perspective since any invested capital is inaccessible until retirement whereas for unit trusts/OEICs capital invested can be withdrawn at any time. Since decreasing returns to scale from fund flows are the equilibrating mechanism in Berk and Green (2004) that results in no persistence in performance the illiquid nature of unit-linked personal pension funds should ensure more evidence of performance persistence in comparison to unit trusts/OEICs. I find significant evidence using performance ranked portfolio strategies that underlying portfolios that are only composed of unit-linked personal pension funds have greater performance persistence than unit-linked personal pension funds that have underlying portfolios that also include at least a unit trust/OEIC. This evidence is consistent with Berk and Green (2004) since the illiquid nature of personal pension funds results in an attenuated performance fund flow relationship restricting the equilibrating mechanism. However, there are anomalies in the performance persistence results in relation to Berk and Green (2004) but it could be due to the differential between the number of non-surviving unit trusts/OEICs and non-surviving unit-linked personal pension funds. I also find that the performance fund flow relationship based on abnormal returns from a Carhart four factor model for both UK equity unit trusts/OEICs and UK unit-linked personal pensions is convex but the performance fund flow relationship is more attenuated for the unit-linked personal pension funds. For the worst performing unit trusts/OEICs there are outflows on average whereas for unit-linked personal pensions there are fund inflows on average. For performance persistence tests conditional on underlying portfolio fund flows unit trusts/OEICs that have the worst performance but the lowest net fund flows in the ranking period have significantly greater subsequent performance in comparison to the unit trusts/OEICs that have the worst performance but the highest net fund flows in the ranking period. This empirical evidence provides support for Berk and Green (2004) but for the unit-linked personal pension funds the evidence is less convincing. There is very little evidence that UK equity unit-trusts/OEICs or UK equity unit-linked personal pensions produce abnormal returns. These results are robust across the single index (CAPM) model, the Fama and French three factor model and the Carhart four factor model for both conditional and unconditional models. There is also no evidence that unit trusts/OEICs or unit-linked personal pension funds can time the market. There is a significantly negative timing effect across unconditional factor models which becomes insignificant for the conditional models. There is also no evidence that unit trusts/OEICs have significantly different performance than unit-linked personal pension funds.

<p>Previous studies in mutual funds were focused mainly on the US market. The general belief is thatmutual funds in average cannot outperform the market. We decided to test this theory in the lessstudied markets of equity funds in Sweden and Germany. Another controversial point is fees inmutual funds. Therefore we will give an overview of fees in both markets, and analyze the relationbetween fees and performance.This study analyzes the Swedish and the German mutual funds market. For the German market,funds with domicile in Germany and abroad are analyzed separately in order to examine possibledifferences between funds with a domestic domicile, and funds domiciled abroad.1285 funds performances covering period of 2000-2008 were calculated using Jensen’s Alphameasure. The results showed that all funds have on average negative alphas. Approximately 20% offunds in the German market and 12% of the funds in the Swedish market have significantlynegative performance.Regarding fees, there is only a small difference between funds in the German and the Swedishmarket in general, while the difference between funds domiciled in Germany and Luxembourg wassignificantly bigger.Our analysis of the relation between fees and performance showed no significant relationship.</p>

Previous studies in mutual funds were focused mainly on the US market. The general belief is thatmutual funds in average cannot outperform the market. We decided to test this theory in the lessstudied markets of equity funds in Sweden and Germany. Another controversial point is fees inmutual funds. Therefore we will give an overview of fees in both markets, and analyze the relationbetween fees and performance.This study analyzes the Swedish and the German mutual funds market. For the German market,funds with domicile in Germany and abroad are analyzed separately in order to examine possibledifferences between funds with a domestic domicile, and funds domiciled abroad.1285 funds performances covering period of 2000-2008 were calculated using Jensen’s Alphameasure. The results showed that all funds have on average negative alphas. Approximately 20% offunds in the German market and 12% of the funds in the Swedish market have significantlynegative performance.Regarding fees, there is only a small difference between funds in the German and the Swedishmarket in general, while the difference between funds domiciled in Germany and Luxembourg wassignificantly bigger.Our analysis of the relation between fees and performance showed no significant relationship.

During the last decade, investments into the Swedish mutual fund market have increased substantially. The increased popularity of actively managed Swedish equity funds among households and investment companies, correspondingly, funds need to deliver substantial results, raised the importance to evaluate these funds’ performance. This thesis adds to the scarce empirical literature on Swedish equity mutual fund performance. Employing the Fama-French three factor model, it analyzes whether actively managed Swedish equity mu- tual funds outperform the Fama-French benchmarks net- and gross of management fees. The study uses time-series data and constructs equally-weighted portfolios of the 42 Swe- dish based actively managed equity mutual funds investing in Sweden for the period 2003- 2013. The portfolios’ excess returns are calculated by estimating the Fama-French three factor model by means of ordinary least squares (OLS) regression analysis. The empirical results show that actively managed equity mutual funds over performed the Fama-French three factor benchmarks by an average annualized net- and gross excess return of 3.60 and 4.67 percent respectively. Sorting out the funds by the performance into deciles, the find- ings indicate that management fees influence the performance of the equity mutual funds in the sample of our study. The conclusion is made such that there is an indication that Swedish equity funds’ managers are able to add value above passive investing.

The thesis focuses on the analysis of the portfolio performance of investment funds. It elaborates on the area of investment funds, the role of management and portfolio performance measurement. The aim of the paper is to determine whether there is any impact of the investment fund's country of origin on its level of performance. Another objective is to observe whether the foreign funds' managers are able to generate better returns even in case they allocate the majority of the resources to financial instruments abroad. The analysis compares the performance of funds based on various performance measures. To answer these questions, two Latin American countries, Mexico and Brazil, were chosen for the comparison.

Chapter 1: Intuition suggests that constraint investment strategies will result in losses due to a limited portfolio allocation. Yet prior research has shown that this is not the case for a particular set of constraint mutual funds so-called Socially Responsible Investing, SRI. In this paper I show that such assets do face loses to portfolio efficiency due to their limited asset universe. I contribute to the literature by employing two techniques to estimate asset performance. First, I estimate a DEA based efficiency score that allows for direct comparison between ex-post efficiency rankings and test the ex-ante relevance of such scores by including them into asset pricing models. Second, I further check if these results are consistent when comparing the performance of ethical funds based on the alphas of traditional asset pricing models even after adjusting for coskewness risk. Overall, the results suggest that ethical funds underperform traditional unconstraint investment assets. Chapter 2: Starting after the turn of the millennium, inflation has been persistently higher than the short term T-Bill rate. Following the traditional view, this will imply a negative real rates of return that have become commonplace in the US economy. This paper examines the possibility that if an inflation risk discount contained in nominal rates exist and can explain low or negative real rates, using consumption based asset pricing model. Evidence suggests using the traditional Fisher equation to calculate real rates leads to an overestimate of real rates due to a modest inflation risk premium. To achieve non-negative real rates in a consumption based asset pricing framework the covariance between consumption growth and inflation innovations would have to be at least thirty times larger than empirically found, and in opposite direction, for the Post-Volker era. Still, though the after 2000’s covariance is positive, which suggest a discount on risk free, the magnitude is still too small to explain negativity of real rates. JEL Classification : E21, E31 Key Words : Mutual Funds, Performance, Data Envelop Analysis, Coskewness, Risk Factors, Real Returns, Consumption Bases Asset Pricing Models, Inflation

本文以臺灣證交所上市的前九檔槓桿及反向指數股票型基金(LETFs)作為 樣本,根據 Charupat and Miu(2014)研究方法衡量其績效。傳統衡量指數股票 型基金(ETFs)績效的方式,為單純將基金淨值報酬對指數累積報酬做簡單迴 歸,若將此方法應用在衡量 LETFs 之績效上,由於許多影響基金淨值報酬的因素 沒被分離出來,常造成迴歸結果存在嚴重偏誤,或是難以解釋。本文是第一篇研 究國內 LETFs 績效的著作,透過在迴歸式中納入複利效果、融資效果,以更精確 的方式比較分析影響 LETFs 基金淨值報酬的因素,及各 LETFs 之管理績效。本 文實證結果除了證實融資效果確實存在,也證實大部分複利效果及融資效果的理 論性質,最重要的是,顯示出追蹤上証 180 指數的三檔 LETFs 在準確複製報酬槓 桿倍數上比較傑出,而追蹤台灣 50 指數的三檔 LETFs 在基金管理效率方面有比 較優秀的表現。 / Using Leveraged and Inverse Exchange-Traded Funds (LETF) listed in the Taiwan Stock Exchange, this thesis evaluates the performance of these LETFs based on the methodology proposed by Charupat and Miu (2014). The traditional approach of performance evaluation of ETFs is to regress the fund’s net asset value (NAV) returns on the underlying index’s returns. However, such an approach fails to account for important factors, such as compounding and financing effects, that affect the NAV of the LETFs, and unavoidably leads to serious estimation biases. This is the first thesis which evaluates the performance of LETFs listed in the Taiwan Stock Exchange. By considering compounded effect and financing effect in the regression model, the proposed method is more precise and appropriate in disentangling factors that affect the performance of the LETFs. Our empirical evidence shows how compounding effect, financing costs, and management factors influence LETFs’ tracking errors. Most of all, the three LETFs tracking the SSE180 index have the best tracking ability of the underlying asset return, while the LETFs tracking the FTSE TWSE Taiwan 50 index have the best management performance among all LETFs examined in this these.