Over the past years, the total assets under management among hedge funds and equity mutual fundshave increased significantly. The question from an investor point of view iswhich investment vehicle can provide the greatest return adjusted for risk. The purpose of this study involves an analysis on the historical net asset values todetermine and evaluate what one can except from actively managed hedge andequity mutual funds. It supports the determination of the most profitable asset, adjusted for risk, as part of a diversified portfolio. The performance is measured net of fees and costs with the inclusion of potential performance fees individual hedge funds may apply. Hedge funds practice different investment approaches depending on what strategy is applied and hence, return levels can vary dramatically. The study is designed to answer questions by comparing net returns and risk-adjusted returns for respective investments and the different hedge fund strategies. With a deductive research approach, the analysis is conducted by applying existing models and theories as the Fama-French three-factor model through time-series regressions measuring excess returns (alpha), risk-adjusted performance measures as Sharpe ratio, M-squared and the Sortino ratio. The results show that hedge funds outperform equity mutual funds in all examined aspects and produce positive monthly net alphas,on average. Equity mutual funds are unable to provide investors with positive excess returns and subsequently fail the purpose of an actively managed fund by providing returns lower than the return of the market. The results are increasingly strengthened with both time-series regressions and performance measures showing homogenous results and reaching the equal conclusions. From the conclusions that hedge funds provide the most profitable investment compared to equity mutual funds, the hedge fund strategy CTA/managed futures strategies perform best in both net and risk-adjusted terms.

The main purpose of this dissertation is to lessen the gap in the Islamic finance and investment literature by providing new answers to the most vital question raised in that literature: Is the adherence to the Shariah law associated with at any cost? The first chapter provides a primer on Islamic finance. It discusses several restrictions and necessary adaptations that must be made to have a Shariah-compliant product. The takeaway is that Shariah law mandates is related to fundamentals and, thus has a direct effect on the risk-return profile of all sorts of different products. This is referred to as the “Islamic-effect.” The second chapter investigates that Islamic-effect in a cross-sectional stock return context. This is done in two steps. First, looking at differences in stock returns between Islamic and conventional firms in Saudi Arabia during the period from January 2003 to April 2011. Results indicate that there is a negative relationship between Saudi Islamic firms and average returns. This is referred to as the “negative Islamic-effect.” Second, examine whether that negative Islamic-effect is considered a common, systematic, and undiversified risk factor that affects cross-sectional expected stock returns. Time-series regressions results indicate that the Islamic risk factor (CMI) does indeed capture strong common variation in Saudi stock returns regardless what is included in the model. Also, findings suggest that using a four-factor model that controls for the Islamic-effect is more appropriate than using a single- or a three-factor model in Islamic finance applications that require estimates of expected stock returns. The third chapter investigates the Islamic-effect in a mutual fund context. A unique sample of 143 Saudi mutual funds (96-Islamic and 47-conventional) is used to assess the performance and riskiness of Saudi Islamic funds relative to Saudi conventional funds and relative to different Islamic and conventional indices for the period from July 2004 to January 2010. Findings suggest that there is a benefit (cost) from adhering to the Shariah law when locally-focused (internationally-focused) fund portfolios are investigated. When Arab-focused fund portfolios are investigated, findings suggest that there is neither a cost nor a benefit from adhering to the Shariah law.

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

Social responsibility has gained popularity during the past few years, and one aspect of it is what benefits and costs it brings to a socially responsible investor. The purpose of this study is to examine whether different SRI strategies used by mutual funds are related to financial performance. By using multiple regression analysis and a sample of 88 Swedish SRI mutual funds over the period from 2014 to 2018, we find that using SRI screens first reduces the financial performance, but then gains a slight rebound as the screening intensity increases, indicating a U-shaped relationship. Further, we find that environmental screens impact the financial performance positively, and engagement and voting in sustainability matters is also positively related to performance.

Este trabalho estuda o impacto do efeito manada do investidor institucional no preço futuro das ações no Brasil. Segundo a literatura internacional, ações compradas (vendidas) pela indústria de fundos de investimentos têm seus preços aumentados (diminuídos) no curto prazo, de 1 a 6 meses. Já no longo prazo, esse efeito se inverte, corroborando a hipótese desestabilizadora de preços do efeito manada dos fundos. Foram realizadas análises em painel com efeitos fixos dos dados mensais da carteira de todos os fundos de investimento brasileiros de 2009 a 2015 e os resultados corroboram parcialmente as expectativas, ações compradas pelos fundos, com persistência positiva, apresentam queda nos retornos futuros, e as ações vendidas pelos fundos, com persistência negativa, sofrem aumento de retornos futuros. Quando separada a variável persistência em persistência de compra e persistência de venda, os resultados são ainda mais surpreendentes, ocorre que as ações compradas pelos fundos apresentam um resultado futuro muito positivo, entretanto as ações vendidas pelos fundos apresentam um retorno futuro, tanto no curto quanto no longo prazo, superior ao das ações compradas. Fundos ativos e pequenos comprando e vendendo ações small caps apresentam um efeito ainda mais forte. / This paper studies the impact of institutional herding on stock prices in Brazil. According to international papers, stocks bought (sold) by the fund industry have their prices increased (decreased) in the short term, from 1 to 6 months. In the long term, this effect is reversed, corroborating the destabilizing hypothesis of the institutional herding on prices. Fixed effects panel analyses were performed with the monthly portfolio data of all stocks held by Brazilian investment funds from 2009 to 2015 and the results partially corroborate expectations, stocks purchased by the funds, with positive persistence, decline in future returns, and stocks sold by the funds, with negative persistence, suffer an increase of future returns. When we separate the persistence variable into persistence of purchase and persistence of sale, the results are even more surprising, it happens that the shares bought by the funds present a very positive result in the following months, however the shares sold by the funds present a future return, both in the short and in the long run, higher than the shares purchased. Small and active funds buying and selling small caps have an even stronger effect.

Submitted by Elba Lopes (elba.lopes@fecap.br) on 2017-02-20T19:11:41Z No. of bitstreams: 2 Arthur Vieira de Moraes.pdf: 604872 bytes, checksum: 03aae596cb980ba0362441e5e1b67fda (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2017-02-20T19:11:41Z (GMT). No. of bitstreams: 2 Arthur Vieira de Moraes.pdf: 604872 bytes, checksum: 03aae596cb980ba0362441e5e1b67fda (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2016-10-10 / The Brazilian capital market offers increasingly financing instruments and investment products, which can enhance access to private capital for companies of different sizes and legal forms, as well as expand the range of investments available to investors of various profiles. In this scenario it highlights the Brazilian Real Estate Investment Trust (FII). Securities admitted to trading on the stock exchange, but very distinct from common stock, such trusts deserve attention from academics and market professionals. This study has the scope to elucidate which factors may be decisive for the risk reduction of FII, analyzing whether fund size, number of real estate or concentration of real estate explain the diversification of funds. 22 multi-asset FII listed on the BM & FBOVESPA in December 2015 were studied. It was found that fund size is a significant factor for diversification, while number of property and property concentration are not. / O mercado de capitais brasileiro oferece cada vez mais instrumentos de financiamento e produtos de investimentos, que permitem ampliar o acesso ao capital privado para empresas de diferentes portes e formas jur??dicas, bem como ampliar a gama de investimentos ?? disposi????o de investidores dos mais variados perfis. Nesse cen??rio, destacam-se os fundos de investimento imobili??rio (FII). Valores mobili??rios admitidos ?? negocia????o em bolsa, mas muito distintos das a????es, tais fundos merecem aten????o de acad??micos e profissionais de mercado. O presente estudo tem por escopo elucidar quais fatores podem ser determinantes para a redu????o dos riscos dos FII, analisando se tamanho do fundo, n??mero de im??veis ou concentra????o dos im??veis explicam a diversifica????o dos fundos. Foram estudados 22 FII multiativos listados na BM&FBOVESPA em dezembro de 2015. Constatou-se que tamanho do fundo ?? fator significante para a diversifica????o, enquanto n??mero e concentra????o de im??veis n??o o s??o

The Master thesis "Performance analysis of selected collective investment funds" is focused on development of collective investment and gives readers the general overview of the current situation of collective investment funds in the capital market of the Czech Republic. The initial description of the theoretical, historical and legislative development of this specific form of investment is followed by two primary parts of this thesis. The first part analyzes the impact of the global financial crisis on the Czech Republic's market of collective investment and the subsequent economic development. Second and also the fundamental part of this thesis focuses on the examination and comparison of the performance of selected funds operating in the Czech Republic.

Submitted by Elba Lopes (elba.lopes@fecap.br) on 2017-06-07T18:03:34Z No. of bitstreams: 2 HAMILTON CRUZ NEVES JUNIOR.pdf: 4080164 bytes, checksum: dcfca2a4598c2741282bf94fc30c3bde (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2017-06-07T18:03:34Z (GMT). No. of bitstreams: 2 HAMILTON CRUZ NEVES JUNIOR.pdf: 4080164 bytes, checksum: dcfca2a4598c2741282bf94fc30c3bde (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2016-07-27 / This research outlined a longitudinal view of Asset Backed Securities (in Brazilian version named FIDC) presenting evaluation events and problems that led to the early amortization and/or settlement by analyzing 44 ABS of a sample selected in the period between the years 2005 and 2014. It???s a descriptive and bibliographic research, with a qualitative approach and informative material content analysis related to such funds: regulations, prospectuses, rating reports and minutes of shareholders' meetings available on the websites of Brazilian Securities Commission (CVM) and Center for Custody and Financial Settlement of Securities (CETIP). The limitation of this research was that the document databases for the history of each existing fund with the CVM are not always complete. This study aimed to identify the main features of these ABS, the reasons that led to the evaluation events, and the presence of evidence to suggest "conflict of interest" from the perspective of agency theory in the management of these funds. On the one hand the results showed that many ABS who enjoyed high preliminary rating had operational problems that hampered receivables flows for these funds: only 20% of evaluated cases, ratings agencies could lower the ratings before evaluation events were announced . On the other hand, during biennium 2014/2015 CVM sought to improve legislation to prevent conflicts of interest among the participants of these operations, and to create mechanisms to ensure necessary information flows for credit rating agencies to carry out their monitoring work more effectively. / Essa disserta????o delineou um panorama longitudinal dos Fundos de Investimento em Direitos Credit??rios (FIDCs) que apresentaram eventos de avalia????o e problemas que levaram ?? amortiza????o e/ou liquida????o antecipada, analisando 44 FIDCs de uma amostra selecionada no per??odo que vai entre os anos de 2005 a 2014. Trata-se de uma pesquisa descritiva e bibliogr??fica, com abordagem qualitativa e an??lise de conte??do de material informativo referente a esses fundos: regulamentos, prospectos, relat??rios de rating e atas das assembleias de cotistas dispon??veis nas p??ginas da internet da Comiss??o de Valores Mobili??rios (CVM) e da Central de Cust??dia e Liquida????o Financeira de T??tulos (CETIP). A limita????o para a realiza????o desta pesquisa foi que os bancos de dados de documentos referentes ao hist??rico de cada fundo existente junto a CVM nem sempre s??o completos. Este trabalho objetivou identificar as principais caracter??sticas desses FIDCs, os motivos que levaram aos eventos de avalia????o e a presen??a de elementos que indiquem ???conflito de interesses??? sob a ??tica da Teoria da Ag??ncia na administra????o desses fundos. De um lado os resultados mostraram que diversos FIDCs que gozavam de elevado rating preliminar apresentaram problemas operacionais que prejudicaram o fluxo de receb??veis para esses fundos: somente em 20% dos casos avaliados, as ag??ncias puderam rebaixar os ratings antes que fossem acionados os eventos de avalia????o. Por outro lado, a CVM no bi??nio (2014/2015) procurou aprimorar a legisla????o para evitar conflitos de interesse entre os participantes dessas opera????es, bem como criar mecanismos que garantam o fluxo de informa????es necess??rias para que a ag??ncias de classifica????o de risco possam realizar seus trabalhos de monitoramento com mais efic??cia.

Mutual fund portfolio managers do not always meet risk-adjusted performance expectations, resulting in loss of capital reserves. Out of 3,612 U.S. based open-ended mutual funds, the risk-adjusted performance of 2,890 (80%) failed to meet or beat the S&P 500 (index fund) performance between the year 2006 to 2016. Grounded in Markowitz's modern portfolio theory, the purpose of this correlational study was to examine the relationship between mutual fund class type, portfolio turnover, fund longevity, management turnover, and annual fund risk-adjusted performance. Archival data were collected from 88 U.S. based equity mutual funds companies. The results of the multiple regression analysis indicated the model as a whole was able to significantly predict annual fund risk-adjusted performance for the 5-year period ending 2016, F (4, 83) = 3.581, p =.043, R2 = .147. In the final model, mutual fund class type and portfolio turnover were statistically significant with mutual fund class type (Ã?= .249, t = 2.302, p = .024) accounting for a higher contribution to the model than portfolio turnover (Ã? = .238, t = 2.312, p = .023). Mutual fund longevity and management turnover did not explain any significant variance in annual fund risk-adjusted performance. Society can benefit from the results of this doctoral study because investors and mutual fund managers could better predict the return based on the information from the study, which may lead to higher families' confidence in the positive contribution of the mutual fund in their portfolio.

證券投資信託事業在國內整體的證券金融體系之中，屬於新近興起的行業，發展迄今，不過十三年光景，與英、美等先進國家發展近百年的歷史相比，國內投信事業無論在業者募集行銷管理、政府相關法令訂定乃至投資人對共同基金的基本正確認識等各方面仍有極大的發展空間與尚待改進之處。 　　因此，本文以國內外學者對共同基金行銷策略的相關文獻探討為研究基礎，輔以服務業的行銷策略為立論背景，對我國經營績效卓著之投信業者進行個案訪談，並輔以對投資人之問卷調查，據以歸納出研究結論和相關建議。 　　而本論文之研究結論如下： 　　1. 近年來國內共同基金市場的規模雖有成長，卻仍嫌緩慢，且繼續成長擴大不易，原因如下：國內投資人習慣於自行操作、投資人對「共同基金」認識不足及基金產品太少。 　　2. 決定基金的募集及銷售的因素除報酬率外，尚有品牌形象及顧客關係、顧客服務、買賣的便利與否及手續費的高低等因素。 　　3. 顧客類型及所得高低為投信業者主要的區隔市場變數，而其目標市場則為法人投資者及高所得投資者。 　　4. 業者多定位為顧客的專業投資理財伙伴。 　　5. 產品策略（基金推出的時機）較價格（降低管理費）、促銷（廣告、舉辦說明會等）及通路策略更重要。 　　6. 由於銀行、證券商等通路日漸式微，業者對於自己擁有的通路及銷售力(Salesforce)就更加倚重。 　　7. 新基金推出時期的基金公告性質廣告大於續後公司形象廣告。報紙、直接郵寄之信函及印刷品是最主要的廣告媒體；公共報導亦是業者常用的方式。上Internet作形象及產品廣告成為趨勢。 　　8. 投資人對於投資工具最重視「安全性」（即穩定與保障）、「獲利性」與「瞭解程度」等三項屬性；投資人對共同基金的認知（瞭解）程度不強，不如銀行存款、股票。法人較個人投資者更為理性、穩健，對基金的認知（瞭解）程度也較強。