Purpose: The purpose of this thesis is to develop an understanding for how risk, return and ethicalaspects affect the decision to invest in an ethical fund. Specifically is the aim of the thesis todevelop a perception if socio-demographical differences regarding gender, age and education canexplain the propensity to invest in ethical funds. Method: A survey consisting of 90 respondents. Conclusion: The thesis finding show support for the claim that women see the ethical aspect inrelation to the return for investment in an ethical fund as more important than men do. This canfurther explain the propensity for women to invest more in ethical funds than men. The thesisdoesn’t find any support for the claim that women and men, younger and older value low risk, forthe decision to invest in an ethical fund, differently. This goes against previous research within thefield of mutual fund and indicates that the investment behavior between ethical funds and regularfunds differ. The thesis did not find any support for the claim that higher educated people see theethical aspect in relation to the return as more important than people with lower education. / Syfte: Studien syfte är att utveckla en förståelse för hur risk, avkastning och etiskt inslag påverkarvid beslutet som leder till investering i en etisk fond. Specifikt syftar uppsatsen till att utvecklauppfattning kring om socio-demografiska skillnader avseende kön, ålder och utbildning, finns somförklaring i benägenheten att investera i etiska fonder. Metod: Vi har gjort enkätundersökningar på 90 respondenter Slutsats: Uppsatsen finner stöd för att kvinnor ser den etiska aspekten i relation till avkastningenvid investering i en etisk fond som viktigare än vad män gör. Detta kan förklara varför kvinnorockså är mer benägna än män att investera i en etisk fond. Uppsatsen finner inget stöd för attkvinnor och män, yngre och äldre värderar låg risk vid investering i en etisk fond olika. Dettamotsäger tidigare forskning inom investeringsbeteende för fonder generellt sett vilket indikerar attinvesteringsbeteende för vanliga fonder och etiska fonder skiljer sig åt. Uppsatsen finner helleringet stöd för att högre utbildade ser den etiska aspekten som viktigare än avkastning vidinvestering i en etisk fond.

本研究中，考慮連續時間下，附最低保證之長期最適投資策略；在利率模型中，為較能符合現實狀況，我們採用CIR模型；另外，在此策略中，我們將投資人之風險偏好加入模型中研究，最適化投資人到期時財富之效用函數，並用Cox & Huang之市場中立評價方法來解決數學模型問題。此篇研究顯示，最適之投資策略可以等價於某些共同基金之投資組合，這些共同基金能利用金融市場上之主要資產(market primary assets)來複製。 / In this study, we consider a portfolio selection problem for long-term investors. Dynamic investment strategy with the continuous-time framework incorporating the minimum guarantees are constructed. Maximizing expected utility of the terminal wealth is employed by investors to trade off profits in good future state against losses incurred in worse states. Follow the previous works of Deelstra et al. (2003), we concentrate on the simplest case of a one-factor Cox-Ingersoll-Ross (CIR) model in formulating the stochastic variation from the interest rate risks. Under the market completeness assumption, the fund growth is modelled under the market neutral valuation and the optimal rules are mapped into the static variational problem of Cox and Huang (1989). In this study, we show that the optimal portfolio is equivalent to a certain mutual fund that can be replicated by the market primary assets

共同基金是由投資信託公司向大眾募集資金，再轉投資到股票、債券、不動產等標的上，最後再分配投資收益的的一種工具。從自有共同基金開始至今已超越百年，而台灣地區方面，目前也是全民理財不可或缺的一項標的。 共同基金雖號稱是懶人投資，不用花費大量心思。但實際上，天下沒有白吃的午餐，投資人仍需投注精力了解趨勢，並從中挑選適當的標的。但儘管有許多理財專家提出經驗談，就一般投資大眾而言，如何挑選共同基金仍是具有挑戰性的工作。  為協助投資人以現有資訊，找出適當的投資標的，因此利用投信公會公布的資料，將基金依照Jensen值進行區分為大於零及小於零兩個群組，再以最小平方法探討兩個群組中，影響各種類型基金績效持續性的因素，以期能利用簡單的資訊，找出值得長期投資的標的。

This dissertation comprises two different financial essays. Essay 1, “An Applied Credit Score Model,” uses data from local credit union to predict the probability of default. Due to recent financial crisis regulation has been enacted that makes it essential to develop a probability of default model that will mitigate charge-off losses. Using discriminant analysis and logistic regression this paper will attempt to see how well credit score can predict probability of default. While credit score does an adequate job at classifying loans, misclassification of loans can be costly. Thus while credit score is a predictor, there is danger in relying solely on its information. Thus other variables are needed in order to more accurately be able to find the probability of default. Essay 2, “Christian Mutual Fund Performance,” draws attention to a much ignored type of funds, Christian mutual funds. The following questions are asked: How does Christian mutual fund perform compared to the market? Is there a difference in performance during recessions as indicated by literature? Is Christian mutual fund performance different than SRI funds? How do Catholic and Protestant fund perform? Looking at qualitative evidence, Christian mutual funds place much more importance on moral issue than SRI funds. Thus there is a clear difference in objectives and the type of screening that these two mutual fund pursue. Overall data reflects that screened data perform worse than the market, however during recession screened funds perform as well and at times better than the market. Christian mutual funds tends to perform worse than SRI funds.

Thesis advisor: Jeffrey Pontiff / The first essay of this dissertation studies the effect of Exchange Traded Funds (ETFs) on the yields and liquidity of the underlying corporate bonds. I find that ETFs lower the yield, have an insignificant or negative impact on the liquidity, and decrease the retail volume of constituent bonds. Overall, these results support theoretical predications that basket securities entice liquidity traders to exit the underlying market. The second essay analyzes the role of ETFs in mutual fund families and is joint work with Harold Spilker. We study mutual fund and ETF twins - index funds from the same family that follow the same benchmark. Mutual fund twins are shown to have lower tax burdens, long-term capital gains yields, and unrealized capital gains. Conversely, ETF twins have higher long-term yields and unrealized capital gains, but are compensated with lower expense ratios. Fund families benefit because twin offerings generate higher flows than their non-twin peers. These results support previous research that mutual fund families use diversification and subsidization to benefit the overall family. The third essay provides academics with a detailed understanding of the history, structure, regulation, and prospects of ETFs. The essay documents that the growth of index investing can largely be attributed to ETFs. The information and nuances discussed provide a baseline for developing future research questions and data. / Thesis (PhD) — Boston College, 2015. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.

O objetivo deste estudo foi responder se, entre 1995 e 2000, a captação de recursos para os fundos de investimentos em ações esteve condicionada aos crescentes ganhos de capital conseguidos na BOVESPA ou se, ao contrário, os ganhos de capital da BOVESPA foram influenciados pela crescente captação de recursos através dos fundos de investimentos em ações. Para responder a estas duas questões foi aplicado o teste de causalidade de Granger (1969) sobre os retornos dos investimentos na BOVESPA e os volumes de recursos captados pelos administradores de fundos de ações, no período estudado. / The goal of this study was to answer if, between 1995 and 2000, the flow of resources to the stock mutual funds has been conditioned to the capital market profits made by investors of the Sao Paulo Stock Exchange (BOVESPA) or, on the contrary, the capital market profits have been influenced by the ever growing resources flow from the mutual funds industry. To answer those two questions the Granger (1969) causality test was used with the rates of return of the investments in BOVESPA and the flow of resources from the asset managers, during the sample period.

The thesis deals with market for collective investments in the Czech Republic, the principles of mutual funds business, legal coverage and performance. Specifics of collective investments in the Czech Republic and legislation are clarified in the first part. In the second part the basic methods of evaluating the mutual funds performance are described. The second chapter includes the presentation of Pioneer Investments, of which mutual funds are subject of performance analysis. The practical part is focused on the analysis of selected, previously characterized, mutual funds managed by Pioneer Investments. These funds are compared with performance of other competitive funds on the market.

Submitted by Sandra Pereira (srpereira@ufrrj.br) on 2016-09-20T14:34:45Z No. of bitstreams: 1 2011 - Rodrigo Alves de Melo.pdf: 647767 bytes, checksum: 56dbf52b2dc0c6c7d87ccf57e757a793 (MD5) / Made available in DSpace on 2016-09-20T14:34:45Z (GMT). No. of bitstreams: 1 2011 - Rodrigo Alves de Melo.pdf: 647767 bytes, checksum: 56dbf52b2dc0c6c7d87ccf57e757a793 (MD5) Previous issue date: 2011-03-21 / This dissertation studies the performance of brazilian mutual funds stock portfolios classified as ?multimercado macro? from april, 2005 to march, 2010 by a multicriteria manner. The research aims to evaluate: (i) the success of market timing and stock picking strategies; (ii) the performance persistence taking into account macroeconomic various periods and (iii) if persistence depends on the time period analyzed, the performance indicator used or other variables such as size, client kind or investment profile. Therefore, were calculated the risk measures beta and standard deviation, the performance measures average return and cumulative return and the stock picking measure Fama?s decomposition for six months, one year and two years and six months periods and the stock picking measure Jensen's alpha and the market timing measure proposed by Treynor and Mazuy for two years and six months periods. The statistical tools used to verify the influence of control variables on performance and whether there is an association between the results were the Mann-Whitney?s test and Spearman?s correlation coefficient. The sample exhibits survivorship bias since it includes only the mutual funds that were actives throughout the studied period. Most studied portfolios failed to outperform the market by using stock picking and market timing strategies. Significant influences of the control variables size and investment profile were found, but only concerning the market timing measure. In the performance persistence analysis, only the systematic risk beta showed persistent evidences throughout the studied period, since the managers couldn?t keep the total risk under control during the financial crisis. In general, the portfolios have been unable to persist in any of the performance indicators, except for the unauthorized-operating-leveraged portfolio group, which showed persistence in average and cumulative returns and in selectivity indicator Fama?s decomposition, but only in long-term. Finally, DEA (Data Envelopment Analysis) enabled the creation of a portfolios? efficiency ranking taking into account its cumulative returns and systematic and total risks and only one portfolio showed maximum efficiency for the studied period. / Esta disserta??o estuda o desempenho das carteiras de a??es dos fundos de investimento da categoria multimercado macro no Brasil no per?odo de abril de 2005 a mar?o de 2010 de forma multicriterial. O estudo busca avaliar: (i) o sucesso dos gestores em estrat?gias de market timing e stock picking; (ii) a persist?ncia de performance levando em considera??o per?odos macroecon?micos diversos e (iii) se a persist?ncia depende do per?odo de tempo analisado, do indicador de performance utilizado ou de outras vari?veis, como tamanho, p?blico-alvo ou perfil de investimento. Para tal foram calculadas as medidas de risco beta e desvio-padr?o, as medidas de desempenho retorno m?dio e retorno acumulado e a medida de seletividade decomposi??o de Fama para os per?odos de seis meses, um ano e dois anos e seis meses e as medidas de seletividade alpha de Jensen e de market timing proposta por Treynor e Mazuy para per?odos de dois anos e seis meses. Os instrumentos estat?sticos utilizados para verificar a influ?ncia das vari?veis de controle no desempenho e a exist?ncia ou n?o de associa??o entre os resultados foram o teste de Mann-Whitney e o coeficiente de correla??o de Spearman. A amostra apresenta vi?s de sobreviv?ncia pois compreende apenas os fundos que estiveram ativos durante todo o per?odo estudado. a maioria das carteiras de a??es estudadas n?o conseguiu superar o mercado atrav?s da utiliza??o de estrat?gias de stock picking e market timing. Foram verificadas influ?ncias significativas das vari?veis de controle tamanho e perfil de risco, mas apenas em rela??o ? medida de market timing. Na an?lise de persist?ncia de performance, somente o risco sistem?tico beta apresentou evid?ncias de persist?ncia durante todo o per?odo estudado, uma vez que os gestores n?o conseguiram manter o risco total sob controle durante a crise financeira. De um modo geral, os portf?lios n?o conseguiram apresentar persist?ncia de performance em nenhum dos indicadores de desempenho, com exce??o do grupo de portf?lios n?o autorizados a operarem alavancados, o qual apresentou persist?ncia somente no longo prazo para os indicadores de retornos m?dio e acumulado e de seletividade decomposi??o de Fama. Finalmente a t?cnica DEA (An?lise Envolt?ria de Dados) possibilitou a composi??o de um ranking da efici?ncia das carteiras levando-se em considera??o o retorno acumulado, o risco sistem?tico e o risco total das mesmas e somente uma delas apresentou m?xima efici?ncia para o per?odo estudado.

O presente trabalho teve como objetivo principal identificar quais os fatores determinantes que afetam o desempenho dos Fundos de Previdência Renda Fixa na indústria brasileira de fundos, no período de janeiro 2005 a dezembro de 2011. A pesquisa em Fundos de Previdência aberta justifica-se na categoria Renda Fixa, pelos poucos estudos publicados, pelo crescimento contínuo da indústria de previdência aberta ao longo dos anos e pela ampliação das discussões sobre análise de desempenho e estilo de gestão nos fundos de Previdência Renda Fixa. A metodologia adotada identificou diferenças estatísticas significantes entre o desempenho dos fundos de Previdência Renda Fixa e os Fundos de Renda Fixa tradicionais, medidos nesse trabalho por meio de indicadores de desempenho e análise de estilo de gestão. A avaliação do desempenho dos fundos foi realizada por meio da aplicação de modelos quantitativos clássicos: Índice de Sharpe (1966) e Índice de Modigliani (1997). Posteriormente, para determinar os fatores de risco das carteiras dos fundos, foi utilizado o modelo proposto por Sharpe (1992), que ficou conhecido como Análise de Estilo Baseada no Retorno. Os resultados obtidos demonstram que os fundos de Previdência no período tiveram seus retornos abaixo dos retornos dos fundos de Renda fixa. A análise de estilo mostrou que os fundos de Previdência não concentram seus ativos vinculados à inflação, concentram-se mais em ativos financeiros atrelados à taxa de juros Selic. O desempenho dos Fundos de Previdência Renda Fixa indicou que, em todo o período estudado, os retornos dos fundos ficaram abaixo da taxa livre de risco, representada nesta pesquisa por 96% da taxa Selic. Revelou ainda que os fundos de previdência no período tiveram seus retornos abaixo dos retornos dos fundos de Renda Fixa. Foi realizado um estudo complementar sobre taxa de administração. Para os fundos de Renda Fixa, as taxas de administração foram reduzidas, no período, em média, para menos de 50%, enquanto os fundos de Previdência tiveram no mesmo período uma queda em torno de 20%. O retorno médio mensal dos fundos de Previdência que ficaram abaixo dos retornos dos fundos de Renda Fixa pode ser explicado, em parte, pela maior taxa de administração praticada. / This paper analyzes the performance of investment funds in Brazil, that are classified in the category of Pensions Provision Funds - Fixed Income Strategy (PPF-FIS), during the period of January 2005 to December 2011. There is scarce literature on this sub-field in Brazil, and the importance of this research is related to growing importance of PPF-FIS over the last years, and also to be a pioneer study in the analysis of performance and management style of them. The adopted methodology identified significant differences between the performance of traditional Fixed Income Funds and those PPF-FIS by means of performance indicators, and management style. Performance evaluation was done through the application of standard classical models like the Sharpe Ratio Index (1966), Modigliani Index (1997), and Return Based Style. The results showed that average returns of the PPF-FIS were below the average returns of traditional Fixed Income Funds. The style analysis of PPF-FIS´s portfolios showed them not concentrated on assets linked to inflation, but mostly to financial assets linked to the Selic Rate. The performance throughout the period was below the risk-free rate (measured as 96% of the Selic Rate), and in summary, the results show that PPF-FIS performed below the traditional Fixed Income Funds in terms of return. Other important achievement is related to administration fees that were reduced during the period by 50% in traditional Fixed Income Funds and by 20% in PPF-FIS. Higher administration fees are closely related to the poor performance of PPF-FIS compared to the traditional Fixed Income funds.

Liquidity risk is a large issue faced by mutual funds. Large funds typically trade in size, and these large sizes often have a significant impact on prices. My hypothesis is that large funds will not invest in illiquid assets as much as smaller funds due to the price sensitivity of illiquid assets. While this seems obvious, the results from this study are not in agreement with this hypothesis. My paper finds that as the illiquidity of a stock increases, so does the probability that a large fund invests in the stock.