Bakgrund: En stor andel av de svenska invånarna sparar idag i fonder. De senaste åren har utbudet av fonder ökat allt mer, dels genom antalet fondbolag samt spridningen över olika marknader. Fonder allokerade mot tillväxtmarknader, Emerging Markets samt Frontier Markets, är en av de fondtyper som fått större uppmärksamhet på sistone. På grund av lägre grad av transparens från dessa marknader har investerare inte tillgång till lika mycket finansiell information från tillväxtmarknader, de ses även som mindre effektiva jämfört med de mer utvecklade marknaderna. Tillväxtmarknadsfonder tenderar även att ta ut höga avgifter för förvaltningen. Det för oss vidare till att analysera hur förvaltare av tillväxtmarknadsfonder lyckas med sina investeringar sett till den årliga avgift de tar ut för sin förvaltning. Syfte: Syftet med denna uppsats är att studera hur sambandet ser ut mellan fonders årliga avgifter och den riskjusterade avkastningen hos fonder med full allokering mot tillväxtmarknader kategoriserade inom Emerging Markets samt Frontier Markets. Metod: Genom studien har en deduktiv ansats och en kvantitativ metod tillämpats för att undersöka samband mellan flertalet variabler mot den beroende variabeln, Total Expense Ratio. Vi har hämtat in månadsdata från ett urval av 50 fonder via Thomson Reuters som vi sedan analyserat genom nyckeltal samt regressioner. Slutsats: Studiens resultat tyder på att det finns ett negativt samband mellan fondernas riskjusterade avkastning och dess årliga avgift. Vi ser att fonderna med högre avgift tenderar att resultera i en lägre riskjusterad avkastning. / Background: Today most of the swedes saves in mutual funds. The past few years we have seen an increase in the supply of mutual funds. Funds allocated to Emerging Markets and Frontier Markets has gotten more attention as well. These markets have a lower grade of transparency and has a lack of financial information compared to more developed markets. Studies has shown that they are also less efficient than the developed. Mutual funds in Emerging Markets tends to charge higher fees for their management. These factors make it interesting to analyze how the trustees of the mutual funds succeed in their investments related to the Total Expense Ratio that they charge. Purpose: The purpose of this study is to analyze the relationship between mutual funds’ Total Expense Ratio and their risk adjusted return for funds allocated to Emerging Markets and Frontier Markets. Methodology: The authors have used a deductive approach and a quantitative methodology to fulfill the aim of this study. We have gathered data by observing 50 mutual funds and retrieved the data from Thomson Reuters. We have then analyzed the data by calculating key ratios and by regression analysis. Conclusion: The results of this study show that there is a negative relationship between mutual funds’ total expense ratio and their risk adjusted return. We note that mutual funds with higher expense ratios tends to result in lower risk adjusted return.

This thesis examines which factors drive overall net inflows to a Swedish niche bank. It further investigates whether these factors are the same or different from the factors that drive net inflows to mutual funds as well as shares. To find the key factors, and to what degree they drive the different net inflows, three separate multiple linear regressions were performed. The data analysed was taken from the period January 2018 to February 2022, and was provided by Avanza Bank. The data for the driving factors were gathered from different sources online. 21 regressors were used for this analysis. The thesis conclusion in brief was that for total net inflows the main contributor was the number of customers, which positively impacted the net inflows. The two subcategories: mutual fund and stock inflows were more volatile and the number of customers proved not as important in these cases. Some seasonal patterns were recognized, e.g. January was always a significant month for total net inflows. Therefore, performing a time series analysis would be recommended to draw further conclusions. Other possible avenues for future research is to gain a deeper understanding of this applied area of mathematics and to gather more data both in terms of the analysed time period and number of regressors. / Detta arbete ämnar undersöka vilka faktorer som generellt driver nettoflöden till en svensk nischbank. Arbetet ämnar även att vidare undersöka om dessa eller andra faktorer är mest drivande för nettoflöden till kategorierna fonder och aktier. För att hitta dessa nyckelfaktorer, samt till vilken grad de driver nettoflöden, utfördes tre stycken regressionsanalyser. Datan som analyserades avsåg tidsperioden januari 2018 till februari 2022 och sammanställdes av Avanza Bank. Samtliga potentiella nyckelfaktorer för nettoinflödet samlades in från diverse källor online, totalt användes 21 stycken regressorer för analysen. Arbetets slutsats i korthet var att det för det totala nettoflöden är bankens totala antal kunder som är den största drivande faktorn, vilket har ett positivt samband med den beroende variabeln. För de två sub-kategorierna, nettoflöden till fonder och aktier var det svårare att bygga en modell och antal kunder visade sig inte ha en stor påverkan för dessa. Ett säsongsmönster kunde observeras i datan, exempelvis var januari alltid en signifikant månad för stora nettoflöden. Med detta som bakgrund kunde ett tidsserieanalys rekommenderas för att kunna dra bättre slutsatser inom ämnet. Andra möjliga alternativ för framtida forskning innefattar en djupare analys inom detta område av tillämpad matematik samt insamling av mer data både i fråga om den studerade tidsperioden samt antalet använda regressorer.

The demand for sustainable investments has seen an increase in recent years. There is considerable literature covering backtesting of the performance and risk of socially responsible investments (SRI) compared to conventional investments. However, literature that models and examines the risk characteristics of SRI compared to conventional investments is limited. This thesis seeks to model and compare the risk of mutual funds scoring in the top 10% in terms of sustainability, based on Morningstar Portfolio Sustainability Score, to those scoring in the bottom 10%. We create one portfolio consisting of the top 10% funds and one portfolio consisting of the bottom 10%, for European and global mutual funds separately, thus in total creating 4 portfolios. The analysis is based on data of the funds' returns and Morningstar Portfolio Sustainability Scores during December 2015 to August 2019. Investigating several GARCH models, we find an ARMA-GARCH model with skewed Student's t-distribution as innovation distribution to give the best fit to the daily log-returns of each portfolio. Based on the fitted ARMA-GARCH models with skewed Student's t-distribution, we use a parametric bootstrap method to compute 95% confidence intervals for the difference in long-run volatility and value at risk (VaR) between the portfolios with high and low Morningstar Portfolio Sustainability Scores. This is performed on the portfolios of European and global funds separately. We conclude that, for global and European funds respectively, no significant difference in terms of long-run volatility and VaR is found between the funds in each of the 10% ends of the Morningstar Portfolio Sustainability Score. / Efterfrågan av hållbara investeringar har ökat kraftigt de senaste åren. Det finns många studier som genomför backtesting av hållbara investeringars avkastning och risk jämfört med konventionella investeringar. Färre studier har däremot gjorts för att modellera och jämföra investeringarnas riskegenskaper. Denna uppsats syftar till att modellera risken av hållbara investeringar genom att jämföra de 10% fonder med högst Morningstar Portfolio Sustainability Score mot de 10% fonder med lägst score. Jämförelsen görs separat för globala fonder och europeiska fonder, vilket resulterar i totalt 4 portföljer. Analysen baseras på data på fondernas avkasting och Morningstar Portfolio Sustainability Score under tidsperioden december 2015 till augusti 2019. Genom att undersöka flera olika GARCH-modeller, kommer vi fram till att en ARMA-GARCH-modell med skev t-fördelning bäst beskriver den dagliga logaritmerade avkastningen för varje portfölj. Baserat på de anpassade ARMA-GARCH-modellerna, används en "parametric bootstrap"-metod för att beräkna 95%-iga konfidensintervall för skillnaden i långsiktig volatilitet och value at risk (VaR) mellan portföljerna med högt och lågt Morningstar Portfolio Sustainability Score. Detta görs separat för de europeiska och globala fonderna. Vår slutsats är att det, för globala och europeiska fonder, inte råder en signifikant skillnad i långsiktig volatilitet eller VaR mellan fonder med högt och lågt Morningstar Portfolio Sustainability Score.

Der erste Artikel liefert Beweise dafür, dass ein Liquiditätsschock bei geschlossenen Fonds zu einer Liquiditätsverschlechterung bei offenen Fonds führen kann. Unsere Ergebnisse zeigen, dass Aktien von geschlossenen Fonds, die aufgrund eines Marktversagens notverkauft wurden, temporär im Preis sinken. Offene Fonds, die viele der betroffenen Aktien halten, erleiden daraufhin einen Kapitalabfluss, der weitere Notverkäufe bedingt. Dies unterstreicht die Ansteckungsgefahr zwischen den beiden Finanzmärkten. Der zweite Artikel untersucht, ob Fonds, die mit Staatsanleihen handeln, ihr Risiko durch den Wertpapierverleih erhöhen, indem sie die hierbei erhaltenen Sicherheiten risikoreich reinvestieren. Hiermit konsistent finden wir, dass die Returnvolatilität von Fonds ansteigt, je mehr Wertpapiere verliehen werden. Diese Korrelation ist nur evident, wenn der für den Wertpapierverleih verantwortliche Agent bereits in der Vergangenheit solch eine Strategie praktiziert hat. Sie verschwindet hingegen, wenn der Agent Sicherheiten nicht risikoreich reinvestieren kann. Im dritten Artikel stellen wir ein neues Maß vor, mit dem sich die Handelsaktivität von Fonds drei Tage vor den Geschäftsberichten untersuchen lässt. Stark handelnde Fonds halten bei Berichtsschluss mehr Gewinner- und weniger Verliereraktien. Zudem sind die üblichen Maße, die zur Identifizierung von Window Dressing verwendet werden, signifikant höher. Aktien, die in den letzten drei Tagen vor den Juli und Dezember Berichten einen starken Nachfrageüberschuss aufweisen, steigen in dieser Periode um durchschnittlich 20 Bsp. Dieser Anstieg ist nicht durch Informationstheorien erklärbar, da die Preise innerhalb von einer Woche auf ihr ursprüngliches Niveau zurückfallen. Aktien mit hoher Liquidität zeigen geringere Anstiege und kehren schneller zum Ausgangspreis zurück. Die Preisbewegungen lassen sich nicht durch einen einzelnen Faktor, wie Window Dressing oder Portfolio Pumping, erklären. / The first paper provides evidence that a liquidity shock to closed-end funds can transmit to open-end funds. Using the failure of the market for auction rate securities we show that forced asset sales of highly levered closed-end funds result in temporary price declines in those assets. Open-end funds that hold significant numbers of the affected stocks in turn experience outflows, forcing them to conduct additional fire-sales. These forced sales induce additional price pressure consistent with financial contagion. The second paper examines whether mutual bond funds increase their risk exposure through securities lending transactions by reinvesting the cash collateral of these transactions in risky assets. Consistent with such behavior, we find that the return volatility of government bond funds increases with the percentage of securities on loan. This relation is only evident among funds whose lending agent likely reinvests the lending collateral riskily and disappears if the lending program is managed by agents who typically cannot make risky reinvestments. The third paper provides a new way to measure the trading activity by mutual funds in the last three days of their reporting periods. Consistent with window dressing, heavy end-of-period (EoP) traders report more winner, fewer loser stocks and higher return and rank gaps, yet perform no better. Stocks with a high positive EoP trade imbalance show significant price increases of about 20 bps at the end of reporting periods in June and December. Inconsistent with information trading, prices revert within a week. Liquid stocks appreciate less strongly and revert more quickly. Finally, we show that window dressing, portfolio pumping, or fund flows alone are unlikely to explain our results.

Corporate governance practice differs regionally and nationally, depending on how each legal environment protects minority investors, capital markets and company ownership structure. Governance can also change spectacularly in regions or countries with comparatively high levels of institutional investment. The notion of institutional investors' activism is increasingly important in developed markets as the ideal corporate governance mechanism to monitor corporate managers and overcome agency problems arising from dispersed corporate ownership in modern companies. These institutions can work together on an improved corporate governance framework more effectively than individual investors, monitoring corporate controllers of listed companies in emerging and developing markets, using their influence more vigorously and in ways more fitting to a concentrated ownership environment such as that in Saudi Arabia. Consequently, the role of institutional investors in emerging and developing markets will depend strongly on institutional investors' activism and the arrangements determined and undertaken by the corporate governance regulatory framework in these markets. In considering the influential role of institutional investors to improve corporate governance practice, a high level of minority shareholder protection thus remains an indicator of good corporate governance and regulatory pressure of rights and incentives, which are necessary to empower non-controlling shareholders in these concentrated ownership markets to exert a strong activist influence in monitoring corporate activities, thus improving the corporate governance practices of investee companies. In this context, this thesis contends that in Saudi Arabia in particular, shareholder involvement in corporate governance is inadequate, as a result of a variety of economic and regulatory obstacles. It goes on to identify what improvements are necessary and where, to ensure a sound framework for effective institutional investor activism and to improve the level of minority shareholder protection. It also cautions Saudi legislators against erecting hurdles to the future engagement of Saudi and foreign institutional investors in monitoring corporate activities which may affect the conditions for access, allocation and monitoring of equity, which is so important for value creation and sustainable economic growth. The main benefit to be derived from this research is that it facilitates a fuller understanding of the Saudi approach to corporate governance, the corporate ownership environment and trends in the capital market. The analysis also deepens knowledge of corporate governance regimes, including the role of institutional investors, and of their characteristics and investment behaviours. In short, it considers whether institutional investors are willing or have been encouraged to use their power to engage in the companies in which they invest and whether they are qualified to solve the agency problem.

在效率市場支配財務理論數十年後，市場上發現許多違反傳統訂價理論與理性假設的現象，以心理學為基礎的行為財務學因而掘起，將投資人之主觀行為及心理因素納入決策分析之考量。本研究便是以台灣股票型共同基金為研究對象，探討行為財務學中的錯置效果，了解是否台灣之股票型共同基金存在“急售利得，惜售損失”的現象。 / 本研究首先以Odean模型之概念，計算基金投資之已實現利得比率與已實現損失比率，再用兩者之差形成錯置效果之代理變數：Disposition Spread (DISP)，當DISP為正時，表示樣本基金存在錯置效果傾向，偏好實現利得。接著計算基金之Jensen’s Alpha，用以代表基金績效，利用迴歸模型觀察基金績效與錯置效果間之關聯性。最後再進一步透過DISP分成五級，觀察錯置效果是否存在持續性。 / 研究結果發現，台灣的股票型共同基金不存在錯置效果之傾向，不論是整體基金而言，或是分類觀察之，皆不存在錯置效果之傾向。但是總樣本觀察值中，有33%的比例出現正的DISP值，因此無法斷言共同基金完全不受錯置效果之影響。而錯置效果與基金績效間，則是存在顯著的負相關，即錯置效果越明顯者，其績效表現越差。普遍而言，台灣股票型共同基金錯置效果不存在顯著的持續性，每一期的基金DISP在各分級變動機率均約在20%上下。 / For several decades, financial literature was dominated by the idea of efficient market. However, we can find many phenomena which violate traditional pricing model or the hypothesis of rational investors. That’s why behavioral finance arises. Behavioral finance takes investors’ subjective and mental factors into account while talking about their decision making process. Based on behavioral finance, this study examines the disposition effect of Taiwan equity mutual funds. We want to know if Taiwan equity mutual funds appear to realize gains more readily than losses. / This study follows Odean model analyzing disposition effect by first calculating proportion of gains realized (PGR) and proportion of losses realized (PLR) of equity mutual funds. Then form the disposition effect proxy, Disposition Spread (DISP), by measuring the difference between PGR and PLR. While positive DISP existed means that sample funds exhibit a propensity to sell their winning stocks and hold on to their losers. Furthermore, we want to know whether the disposition effect influences the performance of mutual funds. Finally, separating samples in to five groups by DISP, we want to figure out if funds exists consistency in disposition ranking. / On average, mutual funds appear to realize losses more readily than gains. However, about 33% of the sample observations exhibit disposition effect. The disposition effect is negatively related to fund performance. Generally speaking, Taiwan equity mutual funds do not have consistency in disposition ranking.

Cielom diplomovej prace je vytvorenie expertného systému založeného na modeloch fuzzy logiky v programoch Excel a MATLAB, pomocou ktorého je možné ohodnotiť rôzne dôchodkové fondy a ďalšie finančné produkty. Vzhľadom na prehlbujúcu sa demografickú krízu, práca ponúka návrhy optimálneho investičného mixu pre tri modelové situácie s cieľom dodatočného finančného zabezpečenia počas dôchodkového veku. Práca je spracovaná pre podmienky Slovenskej republiky, podľa súčasnej situácie a platnej legislatívy.

Background: The Swedish fund savings have developed strongly over the past two decades. Together with this development, the knowledge that the earth's population is facing an extensive climate challenge has also increased. For many people today, living sustainably has become a central aspect of everyday life, and when it comes to investing their savings, the majority of Sweden's fund savers state that sustainability is something that is taken into account when choosing an investment. Investments in funds that based on measuring tools, show a high degree of sustainability have thus increased. This raises the question of whether these sustainable funds can generate a higher alpha and thus a better risk-adjusted return than the less sustainable alternatives available on the market. Previous studies have shown differences of opinion, which means that it is relevant to examine how these different types of funds perform against each other in the Swedish market.   Purpose: The aim of this study is to analyze whether fund savers that are investing in sustainable funds can generate a higher alpha and thereby a better risk adjusted return than fund savers that invests in less sustainable alternatives.   Methodology: The study was conducted with a quantitative method and a deductive approach. Sustainability ratings have been collected for 253 funds from a measuring institute. For these 253 funds, data in the form of net asset value have been collected between the period 2016 - 2020 monthly. These funds have then been evaluated based on risk-adjusted returns where regression analysis has been the groundwork for finding answers to whether alpha has been achieved compared to the market or not. Results obtained have then been statistically examined through various tests.   Conclusion: After completed study, there were no signs that studied sustainable funds have given rise to a better risk-adjusted return than the less sustainable alternatives available on the market. Of the 253 funds included in the study, only five funds showed a risk-adjusted return statistically different from zero, where three had a negative return and two a positive return. When the 253 funds were divided into four different quartiles based on sustainability ratings, it appeared that the funds with a positive risk-adjusted return were placed in quartile four, which was the one with the highest sustainability rating. However, this may be based on chance and a result of two in a sample of 253 gives clear indications that efficiency prevails in the market.

This article analyzes and compares an overview of the structure and evolution of the international and domestic mutual fund industry for the 2005–2014 period. The aim of this analysis is to identify opportunities for growth and development of the domestic mutual fund industry, in particular, passive management used by index equity funds. / Este artículo analiza y compara, de manera general, la estructura y evolución anual de la industria de fondos mutuos internacional y doméstica durante el período 2005-2014. El objetivo de este análisis es identificar las oportunidades de crecimiento y desarrollo del segmento de renta variable de la industria de fondos mutuos doméstica tomando como referencia el estilo de administración pasiva de las inversiones utilizado por los fondos mutuos indexados de renta variable. / Este artigo analisa e compara, em geral, a estrutura e a evolução da indústria internacional e nacional de fundos mútuos anuais ao longo do período 2005-2014. O objetivo desta análise é identificar oportunidades de crescimento e desenvolvimento dos fundos mútuos de ações na indústria nacional em função dos fundos de índice com gestão passiva de investimentos.