Выпускная квалификационная работа (магистерская диссертация) посвящена исследованию паевых инвестиционных фондов. Предметом исследования является деятельность паевых инвестиционных фондов в Российской Федерации и проблемы их развития. Основной целью магистерской диссертации является углубленный анализ функционирования паевого инвестиционного фонда как института коллективного инвестирования на финансовом рынке, а также исследование современных проблем развития данного финансового института и путей их решения. В заключении изложены основные выводы, полученные в работе, и проведено соотнесение достигнутых результатов с целями и задачами работы, поставленными во введении. / The final qualifying work (master's thesis) is devoted to the study of mutual investment funds. The subject of the research is the activity of mutual investment funds in the Russian Federation and the problems of their development. The main goal of the master's thesis is an in-depth analysis of the functioning of a mutual investment fund as an institution for collective investment in the financial market, as well as a study of contemporary problems of development of this financial institution and ways to solve them. In the conclusion, the main conclusions obtained in the work are presented, and the results achieved are compared with the goals and objectives of the work set out in the introduction.

<p>This dissertation comprises two essays on over-the-counter (OTC) markets, covering both the primary and secondary markets for municipal bonds.</p> <p>In the first chapter, I explore a novel channel through which exchange-traded funds (ETFs) improve pre-trade price transparency and thereby retail investors' bargaining power in OTC markets. ETFs are required to daily disclose their full holdings, often along with their constituents’ end-of-day prices, which are good timely references for investors to negotiate with broker-dealers, particularly when the securities have not traded recently. I find that ETF-held bonds have significantly lower retail markups than those of bonds not held by ETFs. This effect cannot be explained by selection or ETFs' own trading activity but is driven by the daily disclosures by ETFs holding the bonds. During 2010--2021, retail investors saved over $200 million when trading ETF-held bonds. There is also a spillover effect to the primary market---when municipalities have outstanding ETF-held bonds, their new issues have lower yields and smaller price dispersion.</p> <p>In the second chapter, I both theoretically and empirically document a non-monotonic relation between local municipal bond mutual funds, or informed investors, and underpricing in the municipal bond market. Empirically speaking, offering yields are higher in states that have open-end municipal bond funds, and with larger aggregate fund size. However, holding local fund size constant, yields decrease in the number of funds. Such relations hold when local funds' primary market participation is instrumented with the similarities in characteristics of new issues and existing bonds in their portfolios. I further confirm my empirical findings with a security underpricing model that incorporates the imperfect signals available to informed investors. Despite facing higher borrowing costs, issuers benefit from local funds' certification resulting in both institutional and retail investors' higher demand in the primary market.</p>

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[pt] Fundos fecham e abrem ao longo do tempo. A evidência existente é de que os que fecham são aqueles com retorno acumulados menores no período anterior ao fechamento. Essa dissertação mostra que tal dinâmica de fechamento também aparece no mercado de fundos de ações brasileiro. Em uma amostra de 1192 fundos de ações, de 2002 a 2016, 448 fundos fecharam. Destes, 39 fundos levam a abertura de um outro sob a mesma gestão. Eu mostro que o fechamento com abertura é tipicamente acompanhado de um aumento da volatilidade dos retornos, que interpreto como uma tentativa de mudar a estratégia de investimento anteriormente seguida. Tal mudança não altera, entretanto, o retorno anormal do gestor, estimado pelo modelo de 4 fatores de Carhart. Por fim, mostro que a probabilidade de fechamento de fundos aumenta com o número de fundos abertos pelo gestor no mês anterior ao fechamento.Isso sugere que gestores abrem novos fundos antes de fecharem outros para minimizar a chance de perder investidores. / [en] Funds close and open over time. The existing evidence is that those that close are those with lower cumulative returns in the period prior to closing. This dissertation shows that this closing dynamic also appears in the Brazilian stock funds market. In a sample of 1192 equity funds, from 2002 to 2016, 448 funds closed. Of these, 39 funds lead to the opening of another under the same management. I show that open-ended closing is typically accompanied by increased return volatility, which I interpret as an attempt to change the investment strategy previously followed. However, this change does not change the manager s abnormal return, as estimated by Carhart s 4-factor model. Finally, I show that the likelihood of fund closure increases with the number of funds opened by the manager in the month prior to closing. This suggests that managers open new funds before closing others to minimize the chance of losing investors.

In this dissertation, we examine whether the disposition effect, the tendency to sell winners and hold losers, exists among U.S. equity mutual funds and how the disposition effect influences fund performance and particularly flows. We find that a significant fraction (32%) of all funds exhibit some degree of disposition behavior. These funds underperform funds that are not disposition prone by 4-6% per year. Moreover, we find that the disposition effect has a significant impact on future fund flows. Without controlling for performance, disposition-prone funds experience 2-3% less flows each quarter than other funds. The difference in flows is probably due to poor performance of such funds. However, even after controlling for performance and other factors that potentially influence flows, funds with a high disposition effect experience 0.7-2% less flows than funds without such behavior. Past research has found that funds with low tax overhang garner larger inflows. Though disposition-prone funds are likely to have a lower tax overhang because they sell their winners quickly, we find that fund flows to disposition-prone funds are smaller than flows to non-disposition oriented funds after controlling for tax overhang. These results suggest that performance and tax efficiency as well as tax overhang are all important to mutual fund investors. / Ph. D.

In the first essay, we study mutual funds' voting on compensation-related proposals initiated by corporate management. Compared with proposals on other topics, proposals on compensation issues are more likely to be challenged by mutual funds. Consistent with active institutional influence, mutual funds are more likely to vote against management at portfolio firms that make more excess CEO pay or depict other symptoms of poor governance such as bad performance and CEO entrenchment. Both active and passive funds' votes are significant drivers of the voting outcome of a proposal. Failed proposals are associated with lower CEO pay, especially excess pay, in the following year. Say-on-pay proposals opposed by more mutual funds are also followed by lower excess CEO pay. Collectively, evidence in this paper suggests that institutions (including passive institutions) play an important role in setting CEO pay through the voting channel. The second essay examines the equity loan supply for short selling. Using detailed stock lending data, we show that active equity funds, on average, are informed, stock lenders. The stocks they lend outperform those that they do not. The stocks they recall and sell perform worse in the future than those that remain on loan. These funds avoid lending stocks when lending fees are extremely high and use the shorting market's signals to form stock-selling decisions. Our findings help explain why institutional investors lend stocks. They also highlight a new source of short-sale constraints arising from the informed loan supply. / Doctor of Philosophy / Shareholders of a firm are expected to monitor executive compensation. Among all share-holders, institutional investors such as mutual funds play an important role in setting pay practices for executives. However, do they vote on related proposals at annual meetings or simply "vote by feet"? The first essay strives to answer the question using mutual fund proposal vote records data. Our findings suggest that mutual funds can affect CEO compensation in the future by voting against management-initiated pay proposals and the effect is both statistically and economically significant. Institutional investors such as mutual funds also participate in lending business on otherwise idle shares in their portfolio. While they are often considered passive and not informed in the equity loan market, their behavior has been much less investigated. We study the extent to which mutual funds exploit information in lending their shares using the first detailed stock lending dataset obtained from SEC filings. We find that mutual funds are informed lenders and important to market efficiency.

Literature reveals studies on mutual fund performance analysis and persistency, with various results. Some studies support hort term performance persistence, while the rest claiming no such persistency among the portfolios. This thesis is an attempt to analyze the performances of Turkish open-end mutual funds for the period of 2003-2010 and search for persistency by extending the time period to June 2011. For performance evaluation, single factor CAPM and ama-French&rsquo / s Three Factor Model are applied. Persistency analysis is done by tracking the relative fund performances on a monthly basis. The results of this study indicate that for the sample period, Turkish A Type mutual funds neither overperform nor underperform the overall market. Nearly all Jensen&rsquo / s alphas are found to be zero, statistically significant. This is also an implication that the mutual funds are earning their expected returns in an efficient mutual fund market in Turkey. The Fama-French&rsquo / s three factor model shows slightly better performance, on the other hand. The size and book to market equity factors are not found significant in general, however they are found jointly significant in all regressions. Persistency is analyzed by tracking the mutual fund erformances on monthly basis. When some mutual funds showed negative or positive performance persistency during the period individually, but the overall picture demonstrates a balanced distribution of performance groups. The number Loser-Loser performances is slightly more than the other three groups, resulting in a tendency for short term negative persistency for the sample analyzed between the period of January 2003 to June 2011.

This thesis investigates the relationship between the total expense ratio and the 5-year performance to last month for sustainable mutual funds registered in Sweden and the United States. The increasing amount of mutual funds and the shift towards sustainability in the society gives cause to study the relationship between the total expense ratio and the performance of sustainable mutual funds rather than conventional mutual funds. The analysis was conducted by testing the relationships through different regression models for both the Swedish and the U.S. market. A simple regression model was conducted for both markets to study the relation that the total expense ratio has to the 5-year performance to last month. To further analyse the relation between the two variables, a multiple regression model was conducted for both markets to further analyse the significant relationship between the total expense ratio and the 5-year performance to last month. The data was collected via Eikon and included mutual funds registered in Sweden and the U.S., each mutual fund collected was retrieved together with an ESG score which was the definitive factor whether the mutual fund could be considered as sustainable or not. The results gathered from the simple regression model for the Swedish market was found to have no significant relationship and the explanatory degree for the regression model was very low. The results regarding the simple regression model for the U.S. market are however found to be significant but with a low degree of explanation as well. Hence the result from this study indicates that there is no significant relationship between the total expense ratio and the 5-year performance to last month for the Swedish market when conducting a simple regression model, while the U.S. market has a low significant relationship between the variables. However, a multiple regression model for the Swedish market containing additional control variables presents a significant relationship between the total expense ratio and the 5-year performance to last month. The same results were found for the U.S. market when conducting a multiple regression model. The results for the Swedish simple regression model align with previous studies conducted within this area, where previous studies have found there to be no significant relationship between the total expense ratio and the performance of mutual funds, hence same results are applicable to sustainable mutual funds. However, this study did in fact also display significant relationships for the multiple regression model for the Swedish market as well as for both regression models for the U.S. market. Which indicates that the total expense ratio to some extents have an explanatory relationship between the total expense ratio and the 5-year performance to last month for sustainable mutual funds in both the Swedish market and the U.S. market.

Thesis (MBA)--Stellenbosch University, 2005. / ENGLISH ABSTRACT: Investors accept that actual investment pertormance differs from anticipated pertormance. The difference between the two is attributed to investment risk. Professional investment managers charge significant fees for active investment management. Investors funding this industry should evaluate the risk-adjusted investment pertormance to determine if it justifies the associated costs. A number of research papers have presented various methods for adjusting investment pertormance for the risk assumed in the generation thereof. This study presents an overview of techniques available for measuring riskadjusted pertormance of listed equity related investments. The classic pertormance measures of Treynor, Sharpe and Jensen are discussed. Alternative ways of quantifying risk offer different methods for risk-adjusting periormance. This leads to the discussion of more modern approaches to risk-adjustment, such as the Sortino ratio and the Omega measure. The lack of risk-adjusted pertormance reporting within the South African investment management industry is highlighted. An overview of guidelines for risk-adjusted pertormance reporting is presented. As such, it is relevant to investment managers, policy makers of the industry and the financial press reporting on investment management. A comparison of risk-adjusted pertormance figures between unitised-, indexand direct equity investment approaches show that a simple direct equity investment strategy outpertorm on risk-adjusted basis for the five year period reviewed. / AFRIKAANSE OPSOMMING: Beleggers aanvaar die feit dat gerealiseerde beleggings opbrengste van verwagte opbrengste verskil. Die verskil word aan beleggings risiko toegeskryf. Professionele beleggingsbestuurders hef aansienlike fooie om beleggings aktief te bestuur. Beleggers wat hierdie industrie befonds behoort die risiko-aangepaste beleggingsprestasie te evalueer ten einde vas te stel of dit die kostes regverdig wat daarmee gepaardgaan. 'n Aantal navorsingsverslae het reeds verskeie metodes voorgestel vir die aanpassing van beleggingsprestasie vir risiko aanvaar tydens die najaag van prestasie. Hierdie studie bied 'n oorsig van beskikbare tegnieke vir die meet van risiko aangepaste prestasie van genoteerde aandeel- en verwante beleggings. Die klassieke metodes van Treynor, Sharpe en Jensen word bespreek. Alternatiewe metodes om risiko te kwantifiseer bied verskillende metodes om prestasie vir risiko aan te pas. Dit lei tot die bespreking van meer moderne benaderings tot risiko aanpassing, soos die Sortino verhouding en die Omega maatstaf. Hierdie studie bring die tekort van risiko aangepaste prestasie verslaggewing in die Suid-Afrikaanse beleggingsbestuur industrie aan die lig. 'n Oorsig van riglyne vir risiko-aangepaste prestasie verslaggewing word gelewer. Die studie is gevolglik relevant vir beleggingsbestuurders, industrie beleidmakers en die finansiele pers wat oor beleggingsbestuur verslag doen. 'n Vergelyking van risiko-aangepaste opbrengs syfers tussen kollektiewe-. indeks- en direkte aandele beleggings benaderings lig uit dat 'n eenvoudige direkte aandele belegging strategie op 'n risiko-aangepaste basis oor die vyf jaar periode ondersoek, uitpresteer het.

Thesis (MBA)--Stellenbosch University, 2000. / ENGLISH ABSTRACT: The purpose of this report is to determine how much international diversification a South African investor should practice in order to minimise his portfolio risk and to maximise his portfolio return. The most recent budget allows the South African investor to invest up to R500 000 in overseas investments. The analysis was performed over the period December 1993 to May 2000 for an investor investing in Investec Guinness Flight unit trusts. Unit trusts were used instead of general indices, because it is a well-known investment vehicle for the layman and is already a well-diversified representation of a specific focus sector. The Markowitz Portfolio Selection Theory was used to perform the analysis and to determine the optimal internationally diversified portfolios composed of the following markets: South Africa, the United States of America, Europe, the United Kingdom, and Japan. It was found that International Diversification does hold great potential benefits for the South African investor investing from an emerging market. It was also found that the South African Equity market carries the highest risk compared against the other markets investigated, however the South African Bond and Money Market showed good risk return features compared to other markets. Optimal portfolios were generated for the 'conservative' or most risk-averse investor, the 'balanced' investor, and the 'aggressive' investor or the risk-loving investor. The portfolio combinations looked like this respectively: 4% USA Equity, 5% EU Equity, 3% SA Bond, and 88% Money Market for the conservative investor; 33% USA Equity, 25% EU Equity, 18% SA Bond, and 24% SA Money Market for the balanced investor; 51% USA Equity, 48% EU Equity and 1% SA Bond for the aggressive investor. / AFRIKAANSE OPSOMMING: Die doel van hierdie verslag is om vas te stel hoeveel internasionale diversifikasie 'n Suid-Afrikaanse investeerder moet aangaan ten einde die risiko's rondom sy portefeulje enersyds te minimaliseer en andersyds maksimum opbrengste te lewer. Die analise is oor die tydperk Desember 1993 tot Mei 2000 uitgevoer vir 'n investeerder wat in Investec Guinness Flight effektetrust sou investeer. Instede van algemene aandeleindekse, is van effektetrusts gebruik gemaak omdat dit 'n welbekende investeringsvoertuig onder Jan Publiek is en reeds 'n goedgediversifiseerde verteenwoordiging van 'n spesifieke fokussektor is. Daar is van die Markowitz Portefeulje Seleksie Teorie gebruik gemaak vir die analise en dáárdeur is ook vasgestel wat die optimaal-internationaal gediversifiseerde portefeulje uit die volgende market sou wees: Suid-Afrika, Die Verenigde State van Amerika, Europa, Brittanje en Japan. Daar is gevind dat, Internationale Diversifikasie potentiëel-goeie opbrengste vir die Suid-Afrikaanse investeerder in 'n opkomende mark lewer. Daar is ook gevind dat die Suid-Afrikaanse Algemene Ekwiteitmark die hoogste risiko dra vergeleke met ander markte tydens die ondersoek periode, alhoewel die Suid-Afrikaanse Kapitaalmark en Geldmark goeie lae risiko opbrengste oplewer teenoor ander markte. Optimale portefeuljes is gegenereer vir die konserwatiewe of mees risiko-gekante investeerder, die gebalanseerde investeerder en die aggressiewe investeerder. Die portefeuljekombinasies is onderskeidelik as volg:. 4% VSA Ekwiteit, 5% Europese Unie Ekwiteit, 3% SA Kapitaalmark, en 88% SA Geldmark vir die konserwatiewe investeerder; 33% VSA Ekwiteit, 25% Europese Unie Ekwiteit, 18% SA Kapitaalmark, en 24% SA Geldmark vir die gebalanseerde investeerder; 51% VSA Ekwiteit, 48% Europese Unie Ekwiteit en 1% SA Kapitaalmark vir die aggressiewe investeerder.