This thesis is focused on the analysis of performance of chosen russian mutual funds on the basis of achieved yield and risk. After short introduction to the russian market of mutual funds, the paper deals with a theoretical background underlying the performance indicators. Risk perception and following construction of indicators are discussed in detail from the perspective of modern and post-modern portfolio theory. The indicators are interpreted and appropriateness of their application is assessed. The analytic part is devoted to the application of discussed methods on 10 open-ended equity mutual funds. Based on the result, the funds are compared with each other and with selected market index.

The subject of the diploma thesis is to evaluate the development in post-crisis years and to determine the impacts that affect the current financial investment environment in the USA but also its future and create the prerequisites for other risks, which the market can affect in the next perspective and influence the global development. On this basis, a portfolio of the mutual fund will be drawn up, according to the assignment of its manager with an alternative investment component, which can adequately complement it in the current period of low interest rates.

This diploma thesis deals with the management of free capital of a selected company on the financial market with a focus on mutual funds and ETFs. The result is the construction and analysis of the potential appreciation of the investment strategy interpreted through historical data and a comparison of the results with alternative options for the appreciation of financial capital, especially in the form of mutual funds.

This paper seeks to investigate whether management fees, set by mutual funds, rely on a set of explanatory variables. The study includes equity, bond, and money market funds, all investing in securities registered in Sweden. Results obtained from the project show that changes in assets under management, standard deviation, and tracking error, for a course of 5 years, can provide some explanation to what management fees mutual funds set. In turn, this raises many interesting questions on how capital flows and fund differentiation affects the fees. Also, a market analysis of the Swedish fund market shows that elements of monopolistic competition are present. Finally, because of the scope of this study, several suggestions on further research have been made. / Denna artikel ämnar undersöka huruvida förvaltningsavgifter, satta av fonder, beror på ett antal förklarande variabler. Studien inkluderar aktie, obligations och korträntefonder, vilka investerar i värdepapper registrerade i Sverige. Resultat erhållna från projektet tyder på att förändringar i kapital under förvaltning, standardavvikelse och spårningsfel (tracking error), alla uppmätta över 5 år, delvis kan förklara vilka avgifter fonder sätter. I sin tur väcker detta flera intressanta frågor över hur kapitalflöden och fonddifferentiering påverkar avgifter. Dessutom visar en genomförd marknadsanalys över den svenska fondmarknaden att karaktäristiska drag av monopolistisk konkurrens är närvarande. Slutligen, i samband med studiens omfattning, så har flertalet förslag på vidare studier gjorts.

This dissertation studies underfunding in defined benefit (DB) pension plans and firms' contribution behavior, 401(k) plan participant investments in lifecycle funds under plan sponsors' initiative, and fund commonalities within mutual fund families. Responding to the recent decline in DB pension funding, firms have increased pension contributions to their underfunded plans. In the first essay I empirically examine firms' contribution behavior to underfunded DB plans and funding choice for pension contributions. I find that firms reveal different sensitivities of pension contributions to underfunding across aggregate funding levels. Furthermore, at a lower funding level firms have the greater sensitivity of pension contributions to underfunding and significantly utilize the tax deductibility of pension contributions. As for a funding choice to fund pension deficits, firms use debt financing at a low funding level, but utilize internal funding by decreasing capital expenditures at a lower funding level. Firms that use the debt financing are likely to have investment-grade credit ratings or high debt leverage, while firms that use the internal funding are likely to be high-levered ones. Recently lifecycle funds have rapidly grown in self-directed retirement plans. Despite the increasing popularity among plan sponsors and participants, there are few empirical studies on lifecycle funds. In the second essay, I examine the recent lifecycle fund adoption behavior of 401(k) plan participants from 2004 to 2006. I find that the likelihood of participants changing an investment strategy to adopt lifecycle funds is not significantly affected by participant demographic characteristics, but by participant account and plan design features. This study extends our understanding of 401(k) plan participants' investment behavior by finding (1) that the substitution of lifecycle funds for balanced funds, as well as the designation of lifecycle funds as a plan default, strongly affect participants' investments in lifecycle funds and (2) that balanced fund holdings of participants are negatively associated with their lifecycle fund investments. Mutual funds account for a significant portion of household financial assets and retirement assets. An understanding of characteristics of mutual funds is crucial to fund investors--especially those whose retirement nest eggs are in mutual funds. In the final essay, I examine the impacts of fund commonalities within mutual fund families on fund characteristics in terms of return residual correlations and fund operating expenses. As fund commonalities within a fund family, I focus on common stock holdings and common management of funds. I find that common stock holdings and an existence of a common manager of funds are positively related to return residual correlations, but negatively related to fund operating expenses. This finding suggests that when investors select low-cost equity funds within a family, they should be aware that there exists an investment risk that the fund commonalities that lower fund operating expenses may additionally increase return correlations of the funds. / Business Administration

Collective investments have become a very popular investment vehicle in South Africa because it is, among other things, transparent, liquid and easily accessible. Growing investor knowledge, good market returns and its suitability for diversification, which minimizes risk, also contributes to its popularity. A value chain that adds value to the investor has developed around the collective investment scheme. The role players in this chain include the investment manager, the management company and financial intermediaries. The growth in this part of the collective investment industry has been so dynamic that regulation and the introduction of various new intermediary layers are constantly affecting the value chain and the value added for the investor. Research was conducted to assess the impact of the value chain on the behaviour of the individual investor and the effect this has on wealth creation. The literary review established that the environment surrounding this dynamic and interdependent value chain is well-regulated and that costs and investor behaviour could have a significant impact on investment returns. The empirical study revealed that the average individual investor recognizes the impact of the value chain on his investment, but perceives himself as being knowledgeable enough to avert ineffectiveness in the chain by ensuring desired investment returns through good investment decisions. Over-diversification and irresponsible switching between funds by the investor can, however, destroy value and negate the effect of long-term returns. / Business Management / M. Com. (Business Management)

本文以完全規避通膨風險債券資產為評價基礎，推導出三因子實質消費資本資產訂價模型與s+4共同基金定理。三因子分別為實質消費成長因子、消費習慣因子以及情緒性預期偏差因子。情緒性三因子實證部份，橫斷面報酬模型平均解釋力約有61.79%，此實證結果顯示傳統消費資本資產訂價模型中訂價績效表現不佳，是忽略部份重要因素所致。 s+4共同基金為完全規避通膨風險債券資產、投機性巿場投資組合、s個規避實質狀態變數不利於投資機會集合變動之巿場投資組合、規避情緒性預期偏差風險的共同基金以及維持未來整體生活消費型態的共同基金。這之中完全規避通膨風險債券資產可減少巿場共同基金數目和降低交易成本之實質效果。 / This thesis derives an inter-temporal asset pricing model in a real-term, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunity. When the inflation-indexed securities are available, a three-factor asset pricing model is derived in terms of real consumption growth, consumption-habit variation, and inflation rate change (or sentimental inflation expectation). Empirical results suggest that the derived asset pricing model in real framework can explain above a 60% of the variation in asset returns. Under the real framework, we demonstrate that s+4 fund separation applies. These funds may be chosen to be: (1) the instantaneously inflation-indexed bond, (2) the market portfolio, (3) the sentimental inflation-related asset, (4) the consumption habit-related asset, and (5) the s portfolios having the high correlations, respectively, with the s state variables.

個人投資理財是近年來熱門的議題，而國內與此相關的研究大都集中在投資績效的提升、投資標的之選擇、資產配置比例與影響投資績效的變數等，較少在探討個人的投資準則與社會關係學習所造成的投資績效差異。本論文利用代理人為基礎的模擬方式（Agent-Based Simulation）與動態虛擬社會關係，模擬共同基金投資市場的交易行為，讓模型中的一個或數個群體裡的所有投資人除了可以依循著自身的投資準則進行投資外，亦有機會藉由虛擬社會關係學習到其他投資人的投資準則，進而提升投資績效。在實驗中，我們針對不同的學習頻率及學習參數觀察學習的效果。我們發現，當有虛擬社會關係學習模式且學習評估頻率為每月一次時，有助於整體投資績效的提升。 / Personal investment is a topic that has attracted much attention in recent years. However, the researches and applications related to this topic are usually concentrated in the area of increase investment performance, portfolio, investment selection, and critical investment performance factors. Less are about investment criteria and social learning that affect investment performance. In this thesis, we use agent-based simulation with dynamic virtual social relationship to simulate artificial mutual fund market. The investors in the model can invest by their own criteria, and learn other agent’s criteria via virtual social relationship to increase investment performance. We use different sets of parameters in the experiments to observe how these parameters affect the result. Our experiments revealed that our new model with social learning mechanism and a learning evaluation frequency of a month, the overall investment performance can be significantly improved.

Die vorliegende Dissertation besteht aus drei Kapiteln über die Investmentfonds. Das erste Kapitel befasst sich mit der Rolle der Fondsmanager in der Bilanzverschönerung. Auf Basis der Analyse der Karrierewege von amerikanischen Fondsmanagern werden signifikante zusammenwirkende Manager-Fixed-Effects identifiziert, die nach der Kontrolle der endogenen Matching-Probleme immer noch robust sind. Die geschätzten Manager-Fixed-Effects haben signifikante Einflüsse auf die Out-of-Sample-Vorhersagen. Außerdem wird festgestellt, dass die Verriegelungen der Investmentfonds, die von gemeinsamen Managern verwaltet wurden, wichtige Kanäle für die Bilanzverschönerung verursachen. Das zweite Kapitel beschäftigt sich mit den Investmentstrategien der Fonds im Hinblick auf die Nutzung von Credit Default Swaps (CDS). Die Zuordnung der CDS-Positionen der Investmentfonds zu ihrem Bestandportfolio bietet eine neue Methodik zur Identifizierung der CDS-Strategien und kompensiert somit die Analysen der existierenden Literatur auf der Makroebene. Die Ergebnisse zeigen, dass die Anreize zur Risikoreduzierung die Spekulationsanreize dominieren, insbesondere, wenn die Kreditexposition durch ungedeckte Leerverkäufe der CDS-Verträge erhöht wird. Die erfahrenen Fondsmanager tendieren dazu, mehr Kreditrisiko in Kauf zu nehmen, während es für die Fondsmanagerinnen wahrscheinlicher als für ihre männlichen Kollegen ist, gegen das bestehende Risiko abzusichern. Der letzte Teil nimmt die Pleite von Lehman Brothers unter die Lupe, um sich mit der daraus resultierenden unerwarteten Schließung der CDS-Positionen als einem natürlichen Experiment auseinanderzusetzten. Diese Studie dient zur Untersuchung der Risiko- und Leistungsimplikationen der CDS-Investments der Fonds. Die Investmentfonds besitzen bei ihren CDS-Transaktionen im Durchschnitt einen beachtlichen Teil Extremrisiko. Während die CDS-Nutzer von guten Gesamtmarktlagen profitieren, erleiden sie unter Verlusten bei geclusterten Ausfällen. / This dissertation comprises of three chapters on mutual funds. The first chapter establishes the role of managers in the deceptive practice of window dressing. Employing comprehensive career history of U.S. mutual fund managers, I find strong jointly significant manager fixed effects, which are robust after addressing endogenous matching concerns. The estimated manager fixed effects are significant in making out-of-sample predictions. Further I establish that mutual fund interlocks through common managers are important channels that spread window dressing. The second chapter studies the investment strategies of mutual funds regarding their use of credit default swaps (CDS). Matches between mutual funds’ CDS positions and their underlying portfolio in the holdings facilitate a new approach in identifying CDS strategies that complements the “macro” level analyses in the existing literature. I find risk reducing incentives are dominated by speculative incentives, especially those to increase credit exposure via naked short CDS contracts. Experienced fund managers tend to take on more credit risk, while female managers are more likely to hedge comparing with their male peers. The third chapter employs the collapse of Lehman Brothers and the resulting sudden closures of CDS positions as a natural experiment to examine the risk and performance implications of mutual funds’ CDS investments. Funds on average load up on a significant amount of tail risk by trading CDS. While CDS users benefit when market conditions are favorable, they suffer during periods of clustered defaults.

台灣股市正走向法人時代，共同基金的重要性無庸置疑。可是台灣的共同基金市場存在著「市場封閉」、「資訊不公開」、「透明度不足」的問題，使得一般投資人在選擇基金時顯得無所適從。近來基金績效評估的研究逐漸受到重視，但是普遍未對評估方法的本身及方法間的演變過程有所了解，本研究藉由對各評估方法的深入探討及實證主題的層層闡釋，來找出一套評估方法的適用規則。 以下是歸納的研究過程與結論﹕（一）評估整體績效的各種方法﹕一般來說，若是投資人投資於多個基金，以Treynor指標來評估共同基金的績效比較合適。若投資人將其資金全部投入單一基金，則Sharpe指標原則上較能代表共同基金的營運績效。若希望與大盤績效做比較，則採用Jensen指標。在實證主題一的驗證中，利用模擬(simulation)的方法來研究第一階段三個經風險調整的重要模型Sharpe指標、Treynor指標、Jensen指標與基金累積報酬率(未經風險調整)在大多頭、大空頭市場下對基金績效的正確區別能力，發現四者對於異常績效的區別能力上其實非常類似，且整體而言區別能力都隨著異常報酬率預設值提高而上升。另外改變隨機抽樣的方式而以市值比大小來作為抽樣基礎，只會使各項指標的正確區別能力降低，四者結果仍然很接近。（二）衡量基金擇時選股能力的各種方法﹕可觀察基金經理人的內涵，當市場走「個股行情」或是市場走勢明確時，投資於選股能力佳的基金會有較佳的獲利情形。相反地，當市場多空看法分歧，個股走勢已脫離基本面而為市場大勢所左右時，投資於擇時能力佳的基金會有較佳的獲利情形。在實證主題二的前半部，利用Henriksson & Merton(1981)的模型針對台灣資料作實證研究，發現台灣的基金部分有選股能力卻完全沒有擇時能力。接著檢定模型殘差項，發現「有效性(efficiency)和一致性(consistency)」並未達成。此外參考了Jagannathan & Korajczyk(1986)對HM的批評而加入了非線性因素於HM模型中，重新對基金作擇時能力估計。在實證主題二的後半部，考慮了「二次方項」的市場因素之後，在同樣的資料下，基金擇時能力提昇了不少，只是在殘差項檢定上仍然存在異質變異數的情形。（三）評估持股比率變動的各種方法﹕本階段評估方法的起始概念都在計算持股比率與個股報酬率之間的相關性來判斷基金績效。愈晚近的模型不斷地改善早期模型的偏誤，像是「向下偏誤」(downward bias)與「存活性偏誤」(survivorship bias)、甚至異常報酬率的發生因素。然而本文並未對「評估持股比率變動的各種方法」作實證主題研究，因為直接代入數據作複雜運算、而不去考慮基金操作上的種種交易成本，將有可能發生倒置的結果，尤其在這個投信高度競爭的時代，手續費、管理費用不斷地有變化，不去考慮這個因素會非常冒險。 章節目錄 第壹章 緒論……………………………………………………… 1 第一節 研究動機、研究目的………………………………. 1 第二節 研究範圍……………………………………………. 4 第三節 研究架構……………………………………………. 4 第貳章 國內共同基金市場分析………………………………… 6 第一節 國內證券投資信託事業(SITE)…………………….. 6 第二節 投信事業的產品---共同基金………………………. 9 第三節 基金市場現狀說明…………………………………. 14 第參章 評估整體績效的各種方法……………………………… 17 第一節 單因素評估法………………………………………. 17 第二節 兩因素評估法………………………………………. 17 第三節 對整體績效評估法的看法…………………………. 26 第肆章 評估基金擇時選股能力的各種方法…………………… 35 第一節 分析投資組合的績效來源…………………………. 36 第二節 UD(Up-Down)模式…………………………………. 43 第三節 隨機變數(stochastic variable)模式………………….52 第伍章 評估持股比率變動的各種方法………………………… 65 第一節 早期觀察持股明細的模型…………………………. 65 第二節 近期觀察持股比率變動的模型……………………. 71 第陸章 實證主題設計…………………………………………… 80 第一節 實證主題內容………………………………………. 81 第二節 資料蒐集、樣本與相關變數的定義………………. 82 第三節 實證主題一的驗證…………………………………. 86 第四節 實證主題二的探討…………………………………. 98 第柒章 結論與建議……………………………………………… 116 第一節 結論…………………………………………………. 116 第二節 建議…………………………………………………. 119 參考文獻………………………………………………………….. 122