Target-Date Funds (TDFs) facilitate retirement planning by varying asset allocation over time with the goal of reducing portfolio risk. We explore potential agency problems in TDFs by examining their return performance and flow-performance relation. We find that TDFs under-perform balanced funds (BFs) which are also approved as a default option along with TDFs in 401(k) plans with automatic enrollment. We show that the under-performance is driven by TDFs that have a fund-of-fund structure and constituent funds with high expense ratios or poor performance within the fund family. Additionally, we discover an absence of flow-performance relation in TDFs while BFs exhibit the convex flow-performance relation shown for mutual funds. Our evidence suggests the presence of agency problems in TDFs arising from investor inertia, weak incentives for fund managers to outperform peers, and opportunities for fund families to gain private benefits.

This dissertation consists of three essays on investments. The first essay examines the incidence, determinants, and consequences of hedge fund share restriction changes. This paper finds that nearly one in five hedge funds change their share restrictions (e.g., lockup) over the period of 2007-2012. Share restriction changes are not random. Fund’s asset illiquidity, liquidity risk, and performance are related to share restriction changes. A hazard model indicates that funds who actively manage liquidity concerns live longer by adjusting share restrictions. The paper examines whether changes in share restrictions create an endogeneity bias in the share illiquidity premium (Aragon, 2007) and find that 18% of the premium can be explained by the dynamic nature of contract changes. The second essay examines why mutual funds appear to underperform hedge funds. Utilizing a unique panel of mutual fund contracts changes, this paper explores several possible channels, including: alternative investment practices (e.g., short sales and leverage), performance-based compensation, and the ability to restrict the funding risk of fund flows. This paper documents that over our sample period, mutual funds were more likely to shift their contracting environment closer to that of hedge funds. However, this shift provided no benefit to mutual funds and the paper finds no causal link between these contract changes and improvements in performance. Rather, this paper casts doubt on the binding nature of investment restrictions in the mutual fund industry. The third essay examines whether the 52-week high effect (George and Hwang, 2004) can be explained by risk factors. The paper finds that it is more consistent with investor underreaction caused by anchoring bias: the presumably more sophisticated institutional investors suffer less from this bias and buy (sell) stocks close to (far from) their 52-week highs. Further, the effect is mainly driven by investor underreaction to industry instead of firm-specific information. The 52-week high strategy works best among stocks whose values are more affected by industry factors. The 52-week high strategy based on industry measurement is more profitable than the one based on idiosyncratic measurement.

Thesis (doctoral) - Universität, Mannheim, 2005. / Includes bibliographical references.

These (M.A.)--Tufts University, 2007. / Title from PDF title page. Available through UMI ProQuest Digital Dissertations. Includes bibliographical references (leaves 71-74). Also issued in print.

Thesis (Ph. D.)--State University of New York at Binghamton, Department of Economics, 2009. / Includes bibliographical references.

Dans l’environnement financier d’après crise, le business model des hedge funds semble remis en cause. La crise a en effet révélé leur incapacité à générer du rendement absolu puisqu’ils sont corrélés aux marchés financiers. La prétention d’en être décorrélée ne tient pas en effet, au début de l’année 20l0, la performance des hedge funds était parallèle à celle des actions, qui ont enregistré une hausse fin 2009. Aujourd’hui la tendance est d’avantage à la stagnation, à l’instar des hedge funds. Ils ont eu des difficultés à se rétablir et à dégager des profils exceptionnels, indépendamment de la conjoncture financière. C’est pourquoi l’évaluation et l’analyse de la performance représentent des éléments de recherche qu’on examine à travers cette thèse. Ce travail de recherche offre aux investisseurs, aux risk managers, ou encore aux autorités de régulation des marchés, une réponse à plusieurs interrogations, à savoir, l’attribution des performances absolues dans l’industrie hedge funds est-elle « vrai » ou il s ’agit d ’un phénomène de marketing ? Quelle est la relation entre les rendements des hedge funds et l’évolution des marchés financiers ? Comment expliquer la différence des rentabilités des stratégies hedge funds ? / In the post-crisis financial environment, the business model of hedge funds seems challenged. The crisis has revealed their inability to générérer absolute return since they are correlated with financial markets. Pretending to be uncorrelated does not in fact, at the beginning of 2010; the hedge fund performance was parallel to that of actions, which rose late 2009. Today the trend is of benefit to the stagnation, like hedge funds. They had difficulty réatblir and release profiles exceptional indépedemment financial conditions. This is why the evaluation and analysis of the performance represent elements of research that examines through this thesis. This research provides investors, risk managers, or regulators to market a response to several interrogations, namely, the assignment of absolute performance in the hedge fund industry is it "true" or it is a marketing phenomenon? What is the relationship between hedge fund returns and financial markets? How to explain the difference in returns of hedge fund strategies?

Submitted by Cristiane Shirayama (cristiane.shirayama@fgv.br) on 2011-08-20T19:16:46Z No. of bitstreams: 1 DISSERT_IGINO ZUCCHI DE MATTO.pdf: 894398 bytes, checksum: 0d19d1d1f176cfa48f33320690add5cf (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-08-22T12:09:40Z (GMT) No. of bitstreams: 1 DISSERT_IGINO ZUCCHI DE MATTO.pdf: 894398 bytes, checksum: 0d19d1d1f176cfa48f33320690add5cf (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-08-22T12:15:14Z (GMT) No. of bitstreams: 1 DISSERT_IGINO ZUCCHI DE MATTO.pdf: 894398 bytes, checksum: 0d19d1d1f176cfa48f33320690add5cf (MD5) / Made available in DSpace on 2011-08-22T12:22:43Z (GMT). No. of bitstreams: 1 DISSERT_IGINO ZUCCHI DE MATTO.pdf: 894398 bytes, checksum: 0d19d1d1f176cfa48f33320690add5cf (MD5) Previous issue date: 2011-07-06 / With the ETF going to be used for more sophisticated investors and with the possibility to go on to win representation, either for a passive strategy or strategy combined with more specialized and higher risk assets, this paper seeks to explain and justify the coexistence of these vehicles, which has similar goals, but with different structures. With this objective, the study seeks to analyze the behavior and the effectiveness of passive investment products-funds classified as ETF´s (acronym for Exchange-Traded Fund) and Passive mutual funds in the Brazilian market. Study seeks to benchmark, demonstrating differentiations of products from a technical point of view, validating the behavior of managers and product for final investors. Despite recent academic literature, the study seeks to elucidate potential opportunities and relevant aspects to investors. The objective doesn't include make comparison between active funds and ETF´s in Brazil, only display the figures - returns obtained - in recent periods. Concluding with numeric examples, ETF becomes an attractive to investors as harnessing their potential, the fact this with relevant developments in the markets of Europe and United States, mainly. / Com o ETF passando a ser utilizado por investidores mais sofisticados e com a possibilidade de passar a ganhar representatividade, seja para uma estratégia passiva ou para uma estratégia combinada com ativos de maior risco e mais especializados, este paper busca explicar e justificar a coexistência destes veículos, que tem objetivos semelhantes, mas com estruturas diferentes. Com este objetivo, o estudo busca analisar o comportamento e a eficácia dos produtos passivos de investimentos - fundos classificados como ETF´s (sigla para Exchange-Traded Fund) e Fundos Mútuos Passivos no mercado brasileiro. Buscamos avaliar comparativamente, demonstrando diferenciações dos produtos do ponto de vista técnico, validando o comportamento dos gestores em relação a gestão passiva e de produto para os investidores finais. Apesar de literatura acadêmica recente sobre a comparatividade, o estudo busca elucidar possíveis oportunidades e aspectos relevantes para os investidores. Não é objetivo deste trabalho fazer relação comparativa entre produtos ativos de ações e os ETF´s no Brasil, apenas detalharemos o retorno obtido nos últimos períodos. O trabalho demonstra, com exemplos númericos, que o ETF torna-se um instrumento atrativo aos investidores na medida do aproveitamento de suas potencialidades, fato este com evolução relevante nos mercados da Europa e Estados Unidos, principalmente.

O objetivo central do presente trabalho é calcular os índices de desempenho dos fundos de ações no mercado brasileiro e determinar qual a probabilidade de que um fundo, que vinha apresentando bom desempenho em relação a seus pares, consiga manter esta posição no período seguinte. Como objetivos específicos buscou-se investigar quais índices de desempenho estão mais associados à expectativa de boa performance, se os gestores de fundos de ações no Brasil apresentam habilidade de se antecipar aos movimentos de alta e baixa na Bolsa de Valores e se estes gestores apresentam habilidades para selecionar as ações. A principal contribuição do trabalho é desenvolver um modelo para análise de fundos de investimento em ações no mercado brasileiro que possa ser utilizado pelos investidores, para selecionar os melhores fundos para aplicação de seus recursos. Buscou-se analisar quais métricas de desempenho são melhores para discriminar os fundos com bom desempenho, através da técnica estatística de regressão logística binária, cuja resposta permita estabelecer a probabilidade de ocorrência de fundos com desempenho superior e a importância das variáveis para essa ocorrência. A abordagem é inovadora. A matriz de classificação do modelo revelou um índice de acertos de 81% e as variáveis com significância estatística que entraram na equação, pela ordem de importância, foram: taxa de administração, índice de Treynor, índice de Sharpe generalizado, índice de Modigliani e taxa de performance. Os resultados da mensuração da habilidade de se antecipar ao mercado indicaram que 67,6% dos gestores apresentaram esta característica. A análise da habilidade dos gestores de fundos de ações brasileiros para selecionar as ações revelou que apenas 15% conseguiram obter seletividade positiva. Este resultado está em linha com os de outras pesquisas internacionais, tais como: Fama (1972), Sharpe (1992), Bollen e Busse (2005) e Fama e French (2009). / The main objective of this work is to calculate the performance measurements of equity funds in the market and determine the probability that a fund, which had shown good performance in relation to their peers, can maintain this position in the next period. The specific objectives sought to investigate what levels of performance are more closely associated with the expectations of good performance, if managers of equity funds in Brazil have timing abilities and if these managers have skills to select stocks. The main contribution of this work is to develop a model for the analysis of investment funds in stocks in the Brazilian market, which can be used by investors to select the best funds to invest their resources. Was analyzed what performance metrics are better to discriminate funds with good performance through the statistical technique of binary logistic regression, whose response would establish the likelihood of funds with superior performance and the importance of the variables for this occurrence. The approach is innovative. The classification matrix of the model revealed a hit rate of 81% and statistically significant variables that entered into the equation, in order of importance were: management fee, Treynor ratio, generalized Sharpe ratio, Modigliani ratio and performance fee. The results of measuring timing abilities indicated that 67.6% of managers had this skill. To analyze whether the Brazilian managers of equity funds had skills to select stocks revealed that only 15% of managers were able to obtain positive selectivity. This result is in line with results from other international studies, such as Fama (1972), Sharpe (1992), Bollen and Busse (2005) and Fama and French (2009).

>Magister Scientiae - MSc / Motivated by the growing attraction of the mutual fund industries across the world, this research seeks to explore the economic benefits contributed by the South African equity unit trust managers over the period from 1 January 2002 to 2 September 2012. The performance is examined over two sub-periods and the overall examination period, where the first sub-period captures the performance of the unit trusts before the 2007/2008 global financial crisis and the second sub-period captures the devastation in performance of the unit trusts after the crisis. Active fund managers are usually presumed to possess superior abilities in asset allocation, security selection and market timing that assist them to consistently generate abnormal returns on a risk-adjusted basis. This research attempts to test this claim by making a distinction in performance attribution between returns generated as a result of managerial skills and those generated as a result of random chance. The study emerges by first examining the risk-adjusted performance of the South African unit trust managers against the performance of a broad market index proxied by FTSE/JSE All Share Index (ALSI). Six different risk-adjusted performance measures are employed for this purpose. Regardless of the different applications of risk parameters employed by each performance measure, the results reveal that on average, most of the South African unit trust managers do not outperform the market on a consistent basis. The majority of the unit trust managers show good performance during the first sub-period, with subsequent inferiority in performance during the second sub-period. The study further examines the performance of the South African unit trust managers relative to the pre-specified sector benchmarks constructed by following a set of performance attribution techniques proposed by Yu (2008) and Hsieh (2010). The objective of this test is to determine whether the equity unit trust managers are able to create value through their security selection skill in addition to their asset allocation decisions. Consistent with international evidence, the results reveal that returns generated by South African unit trusts are driven mainly by asset allocation activities and stock picking of asset managers do not add significant value. In addition, test results also indicate that South African equity unit trust managers are not good at managing risk as the majority of the unit trusts exhibit higher standard deviation compared to their benchmarks. Furthermore, the study examines the economic value contribution of the South African equity unit trust managers through their market timing activities. In particular, the study attempts to determine whether or not unit trust managers possess the ability to correctly anticipate future market movements. To achieve this, two market timing performance models developed by Treynor-Mazuy (1966) and Henrikson-Merton (1981) are employed. The results reveal that, regardless of the changes in market conditions, South African equity unit trust mangers delivered significantly inferior timing performance in both sub-periods and the overall examination periods that actually destroyed fund values. The paper concludes by stating that investors are better off by investing in cost-effective passive investment vehicles such as exchange traded funds (ETF's).

The thesis aims to analyze European funds promoting tourism in the Czech Republic, and to assess the extent to which the Czech Republic was able to take advantage of this support. The intention is to introduce current possibilities of using EU funds and analyze how effective implementation was. The work is divided into three chapters. The first chapter is devoted to regional policy and the instruments through which it is implemented. The second chapter deals with the Implementation process of EU funds at European and national level. The last chapter analyzes data focused on financial support to the tourism development in the period of 2007-2013, and 2014-2020.