Thesis. 1977. M.S.--Massachusetts Institute of Technology. Alfred P. Sloan School of Management. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY. / Bibliography : leaves 170-174. / by Dale Craig Edmunds and Barbara Dalton Fishman and Mitchell Warren Hedstrom. / M.S.

Thesis. 1977. M.S.--Massachusetts Institute of Technology. Alfred P. Sloan School of Management. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY. / Bibliography : leaves 63-67. / by Richard Louis Carrioń and Robert Alan Smith. / M.S.

Most of the prior research in the area of Islamic Investments has looked at performance; little attention has been given to the relationship between screening criteria and performance, especially in the GCC region. Therefore, this thesis examines the impact of using different screening criteria on the creation, and hence the performance of, Halal portfolios in Kuwait. In contrast to previous studies, the present study breakdowns Halal stocks in to ‘pure Halal’ (PH) and ‘Mixed Halal’ (MH), and the non-Halal stocks in to ‘Sin’ and ‘Mixed Sin’ (MS). This is to respond to the debate among Shariah scholars about the screening criteria, whether the fatwa on investing in them should be revisited and is it the right time to move towards pure Halal investments only. Specifically, this study explores the impact of tightening the current screening criteria on the creation and performance of Halal portfolios under different market conditions. Hence, broadly speaking, this thesis examine the issues associated with the creation and performance assessment of the Halal and non-Halal portfolios. For the purpose of this study, both quantitative and qualitative methods were employed. Firstly, due to the scarcity of literature, information and issues related to screening and performance were discussed with 58 face-to-face interviews with key figures in the Islamic investment funds industry in the GCC. The interviews explore whether MH are good investments from a Shariah perspective, and if there is a need to revisit the fatwa and the screening criteria. Secondly, different Halal portfolios were constructed based on the screening definitions suggested by the interviewees using a content analysis of companies’ annual reports listed in Kuwait Stock Exchange (KSE). This is to investigate the impact of applying different screens on the size of the Halal asset universe and whether it is possible to create diversified pure portfolios or at least MH that are close to pure Halal portfolios. Thirdly, quantitative methods were employed to examine whether these Halal portfolios are good investments from a financial perspective, using parametric and non-parametric statistical analysis and traditional risk-adjusted performance measures. Performance was first compared with the KSE market and a control portfolio (CP) as benchmarks then a ‘matched pair’ approach was also conducted. Finally, a general linear model (GLM) was applied to inspect whether the Shariah classification of stocks or other factors such as firm size, sector, and the global financial crisis (GFC) impact on performance. The findings from the interviews suggest that PH and MH investee companies are different types of Halal investments, and that there are a growing number of Islamic funds and individual investors that invest only in PH stocks, driven by religious motivations. Further, some interviewees seriously questioned the Shariah-compliance of MH stocks and thought of the fatwa that allows MH stocks should be revisited. Therefore, many interviewees agreed that the financial screening criteria needed to become tighter and that companies in Muslim countries should be treated differently from western ones as noted by Wilson (2005). Interviewees revealed that AAOIFI’s screening criteria are widely adopted in the GCC but most interviewees believed that the change in AAOIFI’s criteria in 2006 from total asset to market capitalization was intended to expand the Halal asset universe. Nonetheless, the analysis of companies’ annual reports finds that the use of AAOIFI (2006) during the GFC resulted in a sizeable number of MH equities being re-categorised as MS stocks, but without harming portfolios’ performance. Further, the statistical analyses suggest that there is no penalty for Halal investments during the full, the bullish or GFC periods, even after halving the screening thresholds. Differences were only identified during the bearish period, showing that some sin portfolios performed better, but overall, Halal portfolios did not underperform either the CP or the KSE index in any of the sample periods. Moreover, the GLM analysis also supports this finding that the Shariah-compliance of stocks is not the main factor affecting performance, but rather the sector they belong to and the GFC period. Hence, Islamic funds should consider allocating their investments more in the non-financial sectors rather than in the financial sector, especially during bearish markets to improve diversification. Nevertheless, there are fewer PH non-financial stocks, so, a ban on investment in MH stocks is premature, but ‘tightening’ the MH stocks’ financial screening thresholds is currently a better option. Some interviewees, also suggested that PH investors could diversify their portfolios by investing across all GCC stocks markets. Thus, Islamic fund managers need to be active fund managers focusing on certain sectors and markets in different market conditions. Halving the financial screening thresholds did not hurt MH portfolios’ performance because the loss in the number of MH stocks is compensated for by the lower interest-bearing gearing ratio of the individual companies suggested by the halved thresholds. This is supported by previous studies that report a negative relationship between stock returns and firms’ gearing, especially during market downturns (Penman et al., 2007; George and Hwang, 2010; Bhatt and Sultan, 2012). Finally, the screening analysis reveals an inadequate level of disclosure for assessing Sharia-compliance from companies’ annual reports. This highlights the need for harmonizing the Shariah screening criteria, and the development of accounting and auditing standards based on Islamic values rather than western ones to reflect the unique characteristics of Halal investment.

Lam, Ka Wai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 51-55). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Levy Processes --- p.6 / Chapter 2.1 --- Definition --- p.6 / Chapter 2.2 --- Levy-Khinchine formula --- p.7 / Chapter 2.3 --- Applications of Levy Processes in Finance --- p.10 / Chapter 2.4 --- Option pricing under Levy Processes --- p.12 / Chapter 2.4.1 --- Black-Scholes Formula with Characteristic Function --- p.12 / Chapter 2.4.2 --- Fast Fourier Transform --- p.14 / Chapter 2.4.3 --- Other Payoff Functions --- p.16 / Chapter 3 --- Dynamic Fund Protection --- p.19 / Chapter 3.1 --- Discrete Dynamic Fund Protection --- p.20 / Chapter 3.2 --- Link DFP to Discrete Lookback Options --- p.22 / Chapter 4 --- Spitzer´ةs Identity --- p.25 / Chapter 4.1 --- Applications of Spitzer's Identity --- p.25 / Chapter 4.2 --- Discrete Lookback Options --- p.29 / Chapter 5 --- Pricing Discrete DFP --- p.32 / Chapter 5.1 --- Girsanov´ةs Theorem --- p.32 / Chapter 5.2 --- Equivalent Martingale Measure in DFP --- p.34 / Chapter 5.3 --- Pricing DFP at any Time Points --- p.36 / Chapter 5.4 --- The Main Algorithm --- p.38 / Chapter 6 --- Numerical Results --- p.40 / Chapter 6.1 --- Simulation of Discrete DFP --- p.40 / Chapter 6.2 --- Numerical Implementation --- p.42 / Chapter 7 --- Conclusion --- p.50 / Bibliography --- p.51

This study examines the performance of recently introduced passively-managed exchange-traded hedged funds (HETFs). Using data that cover the period 2008 to 2017 of all available HETFs under global macro and long-short classifications with sufficient number of observations, the study provides the most complete and update measure and documentation of the performance of these two fund categories. Little research has been done on HETFs' performance in despite of the rapid growth and expected future expansion of their market sizes, since the introduction of HETFs expands for ordinary investors investment opportunity set that were only available to high net wealth individuals and institutions. Using a simple 3-three factor model including equity, bond and volatility factors, it shows long-short HETFs cannot closely follow the returns of their corresponding indexes as global macro HETFs. By using Fung and Hsieh's (2004) 7-factor model, and Edelman, Fung and Hsieh's (2012) revised 8-factor model, significant negative alphas are found for strategy portfolios. The relatively poor performance of the HETFs can be attributed to their high expense ratio and their failure to closely track the benchmark index.

This thesis investigates key issues concerning how active equity fund managers add value: measuring alpha (Chapter 3), generating alpha (Chapters 4, 5 and 6) and transaction cost minimisation (Chapter 7). Chapter 3 proposes important methodological adjustments to the widely adopted benchmarking methodology of Daniel, Grinblatt, Titman and Wermers (1997). Applying this modified benchmark to a sample of active funds and simulated passive portfolios that mimic fund manager style characteristics, statistically lower tracking error is documented, compared with using the standard methodology. These findings suggest that improved specifications of characteristic benchmarks represent better methods in accurately quantifying fund manager skill. Chapter 4 examines a portfolio strategy which selects stocks using the undisclosed monthly holdings of Australian active funds. When considering a large range of strategies incorporating portfolio holdings information, the top performing strategies are robust to data-snooping and are economically and statistically significant when incorporating transaction costs. Accounting for look-ahead bias in the formation of a strategy, statistically significant alpha of at least 6.88 percent per year is found when following the best performing strategy holding 20 stocks or more in the previous month. Chapter 5 examines the relation of active equity fund managers location proximity to a stock??s corporate headquarter using portfolio holdings data. Contrary to much international research, this study reveals evidence inconsistent with a location advantage for Melbourne and Sydney-based funds. Chapter 6 examines retail investor trading on the Australian Stock Exchange. The performance of retail investors is highly heterogeneous: discount (non-discount) retail brokerage investors lose -0.59 (-0.05) percent intraday and experience negative (positive) returns over the subsequent year. These findings are inconsistent with retail investors exerting price pressure or providing liquidity to institutions. Chapter 7 examines whether equity fund managers use multiple brokers in a trade package in order to lower their price impact and brokerage costs. Using the daily trades of funds, multiple broker trades are not found to have lower costs compared to a single broker, even when controlling for the informativeness of the trade package and potential endogeneity. These findings suggest that fund managers do not lower their costs when using multiple brokers.

The investment management industry has proven to be a fertile ground for theoretical and empirical research over the past forty years, particularly in relation to the nature and quantification of risk. However, the dominance of the U.S. industry has meant that much of the academic research has focused on the U.S. market. This thesis investigates aspects of investment risk using alternative data to that used in much of the prior published research. This thesis contains an extensive analysis of aspects of risk related to both the demand side and the supply side of the managed funds market in Australia. Among the demand side characteristics, attitudes towards risk and their impact on asset allocation decisions will be an important determinant of investors' financial well-being, particularly in retirement. Accordingly, the first part of the thesis examines the financial risk tolerance of investors, exploring the relationship between subjective financial risk tolerance and a range of demographic characteristics that are widely used as a basis for heuristically derived estimates of investors' attitudes towards financial risk. The second part of the thesis contains an analysis of the supply side of the industry, focusing on risk-shifting behavior by investment fund managers. Since the time when performance and risk-shifting behavior of fund managers was first put under the spotlight 40 years ago, it is possible to identify an evolving strand in the research where performance assessment is examined within the framework of the principal-agent literature. One focus that has emerged in this literature is the adaption of the tournament model to the analysis of investment manager behavior, wherein it is hypothesized that fund managers who were interim losers were likely to increase fund volatility in the latter part of the assessment period to a greater extent than interim winners. Against this background, the second part of the thesis examines risk-shifting behavior by Australian fund managers. Both the ability of fund managers to time the market and the applicability of the tournament model of funds management to a segment of the Australian

Hedge fund investing is a relatively new phenomenon in Sweden. The first Swedish hedge fund was started in 1996. This new financial sector has since showed a steady growth. Due to the novelty of hedge fund phenomena, it is right to ask whether the investors are prepared for this kind of investments; how they choose their hedge funds investments and whether they have adequate knowl-edge in the field. This thesis provides a mapping of the investors’ behavior regarding hedge fund investments. We have concluded that Swedish hedge fund investors have a limited basis of knowledge required to fully utilize hedge funds in their portfolios.

In this thesis, I examine the performance of a sample of ten Swedish-based internationally diversified mutual funds managed by one of the largest commercial banks in the Nordic region. The investigation cover a time span between 2000 and 2005 divided into two sets, 2000-2002 and 2003-2005. To measure the performance of the funds, I will utilize the Jensen’s index. The results shows that there is no empirical evidence which indicates that managers seize superior stock selection skills when investing locally compared with investing on different markets for the selected funds. It does on the other hand shows that two out of the seven funds increases the beta towards the market when the market goes up. Finally, this thesis shows that inclusion of emerging markets creates further possibilities for diversification in a portfolio due to more developed markets tends to have high level of integration and move together.

Mutual funds attracted great attention of both shareholders and academics in last few decades. Mutual funds provide benefits like diversification, professional managements and reduced costs for individual shareholders. Shareholders invest their assets into mutual funds managed by professionals. Managers may have an incentive to use those assets to satisfy their own interests. They can achieve this by charging excessive fees or spending more on the perquisites. These unmatched interests of shareholders and managers create so called principal-agent conflicts. Some researchers argue that market competition in mutual funds industry is strong enough to align interests of both shareholders and managers, thus mitigating principal-agent conflicts. Others believe there is need for internal governance to monitor managers‟ behaviors. Board of directors as an internal governance mechanism is responsible for aligning shareholders and managers interests.We collected data on board characteristics to find if they are related to funds attributes. Our sample of funds consists of 68 fund management companies with total of 603 mutual funds managed by those companies. Board characteristics include board size, age and gender of board members, and presence of CEO on the board. Fund attributes are total expense ratio, rate of return and management fees used as a measure of board effectiveness. We analyzed relationship of board characteristics and fund attributes separately on the company level and fund level.On the company level we found no relationship between board size and board age with expense ratio and rate of returns. We found significant positive relationship between board gender and presence of CEO with expense ratio. These results indicate that with the increase of male members on the board and the presence of CEO on the board there is an increase in total expense ratio. On the fund level analysis we found different relations with various types of funds. This may indicate that depending on the type of the fund the structure of the board that is effective changes.