The last decade has witnessed a dramatic growth in passive investing via exchange-traded funds (ETFs). To the extent that the demand for stocks via ETF flows is not related to firm-specific fundamental values, large ETF flows may push the price of the underlying stocks away from their fundamentals-based value. In this study I provide evidence consistent with this conjecture. In particular, I first document a positive association between ETF flows and the price-to-fundamentals relation of underlying stocks. Then, by using BlackRock’s expansion into the ETF business as an exogenous shock, I provide evidence that the association is likely to be causal rather than reflect some form of endogeneity (i.e., ETFs selecting certain stocks). Also, I find that high-flow firms subsequently underperform low-flow firms in operating and stock performance, consistent with the misvaluation being caused by non-fundamental demand shocks. Cross-sectional tests suggest that the ETF-related misvaluation is stronger for stocks with: a less competitive equity market (i.e., with prices more sensitive to demand shocks), lower ownership by active investors, and more costly arbitrage constraints. Finally, I find that high-flow firms exhibit behavior typically associated with perceived overvaluation (e.g., more secondary equity offerings).

In this paper, an analyse of management effectiveness and sustainability of public subsidies to the sector of environment was made. First, there was described what are the operational programs in this area and what is the system of monitoring indicators. For each indicated problem a solutions was found . Finally, analysis of the effectiveness of the whole system was made, using simple statistical methods.

[pt] Os fundos de pensão são mundialmente conhecidos pelos efeitos sociais que provocam ao pagar aposentadorias dignas e também ao investir a poupança previdenciária que acumulam. Afinal, benefícios previdenciários justos evitam a exclusão do inativo, tanto do convívio social como do mercado consumidor. Paralelamente, o investimento dos recursos na economia eleva o nível de produção; é fonte estável de financiamento das atividades produtivas; faz crescer o nível de emprego e aumenta a arrecadação de tributos. Portanto, é fundamental que os fundos de pensão busquem cada vez mais a implementação de técnicas modernas e eficientes para a administração de seus ativos e passivos, ajustando as suas políticas de investimentos de recursos aos tempos atuais e futuros. Este trabalho tem como objetivo contribuir para a criação de um sistema racional e adequado de gestão de investimentos, através da análise das principais diretrizes pertinentes à aplicação de recursos que são adotadas por essas entidades. Tem como objeto de estudo as políticas de investimentos de 55 fundos de pensão brasileiros. Os dados foram analisados à luz da legislação de investimentos do setor e do referencial teórico construído. Os resultados da pesquisa evidenciam a necessidade de reformulação da legislação de investimentos do setor, assim como de criação de um modelo mais eficiente, com mecanismos mais rígidos e competentes de fiscalização e acompanhamento dessa indústria. / [en] The pension funds are widely known by their social effects when paying worthy retirements and also when investing the savings they accumulate. After all, fair benefits not only keep the retired people away from social exclusion, but also active in the consuming market. Simultaneously, the investment of the resources in the economy raises the production level; is a stable source of the productive financing activities; raises the employment level and also increases the income taxes collection. Therefore, it is essencial that the pension funds look forward to implementing modern and efficient techniques for the management of its asset and liabilities, by adjusting its resources investiments policies for current and future times. This work aims to contribute for the creation of a rational and adequated system of investments management, through the analysis of the main directions to the application of resources that are adopted by these entities. This study is based on the investment policies of 55 Brazilian pension funds. The data was analyzed based on the sector legislation investments and on the theoretical referential elaborated in this study. The research results make evident the necessity of a reformularization in the investments legislation of the sector, as well as the creation of a more efficient model, with more severe mechanisms of fiscalization and supervision of this industry.

Chu, Ho. / "December 2009." / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (p. 99-111). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iv / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Overview of Mutual Fund Investment --- p.1 / Chapter 1.2 --- Research Motivation --- p.4 / Chapter 1.3 --- List of Contributions --- p.9 / Chapter 1.4 --- Thesis Structure --- p.12 / Chapter 2 --- Literature Review --- p.14 / Chapter 2.1 --- Traditional Measurement Approaches --- p.14 / Chapter 2.1.1 --- Jensen's Alpha --- p.16 / Chapter 2.1.2 --- Treynor Index --- p.19 / Chapter 2.1.3 --- Sharpe Ratio --- p.21 / Chapter 2.1.4 --- Other Measures --- p.23 / Chapter 2.1.4.1 --- M2 Measure --- p.23 / Chapter 2.1.4.2 --- Multifactor Models --- p.25 / Chapter 2.1.4.3 --- Morningstar's RAR --- p.27 / Chapter 2.1.5 --- Shortcomings of Traditional Measures --- p.30 / Chapter 2.2 --- Data Envelopment Analysis --- p.33 / Chapter 2.2.1 --- Brief Introduction --- p.33 / Chapter 2.2.2 --- Research Review on Fund Performance Mea-surement --- p.37 / Chapter 2.2.3 --- Limitations of Basic DEA Models --- p.42 / Chapter 3 --- DEA Methodology and Formulation --- p.47 / Chapter 3.1 --- CCR and BCC Model --- p.48 / Chapter 3.2 --- Problem of Slacks and DEA efficiency --- p.52 / Chapter 3.3 --- Slacks-based Measure --- p.55 / Chapter 3.4 --- Variables with Negative Values --- p.57 / Chapter 3.5 --- Range Directional Measure --- p.59 / Chapter 3.6 --- Modified Slacks-Based Measure --- p.62 / Chapter 4 --- Empirical Study and Discussions --- p.65 / Chapter 4.1 --- Data Source and Tools for Measurement --- p.65 / Chapter 4.2 --- Model Variables Defined --- p.67 / Chapter 4.3 --- Comparison of MSBM Performance Measure to Other Measures --- p.73 / Chapter 4.4 --- Comparison of Hong Kong MPFs with Different Categories --- p.78 / Chapter 5 --- Conclusions and Future Work --- p.90 / Bibliography --- p.99

The purpose of the ethnographic narrative project was to understand ourselves and our students in a more in-depth manner. The ethnographic narrative project has allowed me to explore myself, my students, my classroom, the community I teach in, and the link each of these has to social justice. In order to best serve our students as educators, we must comprehend all of the funds of knowledge our students possess and utilize these facets to aid their learning. I have found that understanding my students cultural, social, academic assets is critical to fulfilling their needs both as students and individuals. I have also explored my own strengths and areas of growth as an educator and solidified my teaching identity. As educators we must not only teach our students academic skills teach social and emotional assets as well.

The first chapter studies mutual funds. I model intraquarter trading and use a genetic algorithm to estimate the trade pattern that is most consistent with the fund's daily reported returns. I validate the model empirically on a sample of institutional trades from Ancerno and I confirm that the method more accurately predicts daily holdings when compared to existing naive assumptions. Further, my method is substantially more accurate in classifying a fund's tendency to supply liquidity, and this increased precision has important implications for identifying superior performing funds. Specifically, a long-short strategy based on the model's liquidity provision measures earns significant abnormal returns, while a similar strategy that relies on quarterly holdings does not exhibit any outperformance. The second chapter studies investment research. We find evidence that crowdsourced investment research facilitates informed trading by retail investors and improves firm liquidity. Specifically, retail order imbalances are strongly correlated with the sentiment of Seeking Alpha articles, and the ability of retail order imbalances to predict returns is roughly twice as large on research article days. In addition, firms with exogenous reductions in Seeking Alpha coverage experience increases in bid-ask spreads and price impact, with the effect being stronger for firms with high retail ownership. Our findings suggest that technological innovations have helped democratize access to investment research with important implications for firm liquidity.

Thesis (LLM. (Labour Law)) -- University of Limpopo, 2014 / This mini-dissertation deals with the adjudication and conciliation of the pension fund complaints as regulated by the Pension Funds, Act, 24 of 1956 (the Act). Section 30E of the Act gives the Pension Funds Adjudicator powers to investigate any complaint that has been lodged within the period of 3 years as prescribed by the law. This mini-dissertation further discusses the powers of the Adjudicator and the way the Office of the Pension Funds Adjudicator was established. The research further discusses the determinations issued by the Adjudicator which are ground-breaking which interpret the Act.

This thesis examines the degree to which alternative funds deviate from their style-benchmark and how this is related to past performance and fund size, and how it impacts future risk and returns. Additionally the thesis examines how security selection and market timing skills differ across varying degrees of deviation from the benchmark. The thesis uses data for hedge funds, funds of funds, and CTA funds from the Center for International Securities and Derivatives Markets and employs fund???s tracking error relative to their style-benchmark to estimate the level of drift. The style-benchmarks used are the median return for all reporting funds that follow a particular style and funds are assigned a benchmark based on their self-reported style. First, this thesis documents statistically significant differences in the tracking errors of portfolios of funds with the highest tracking error versus funds with the lowest tracking error, implying that some managers drift from their self-reported style-benchmarks. Second, funds??? benchmark-inconsistency is less severe in the case of funds that have a regulatory obligation to disclose their performance, suggesting that the absence of regulation fosters an environment where managers can be more flexible with their investment approach. Third, the tendency to drift from the benchmark is most prevalent amongst funds with superior past performance as well as small funds. Fourth, future total portfolio risk increases as funds display more benchmarkinconsistency, suggesting that managers adopt riskier strategies as they attempt to enhance returns. Fifth, the thesis demonstrates that CTA funds that display drift from their benchmark produce higher absolute and relative returns in subsequent periods regardless of the direction of the general market. In contrast, the findings show for hedge funds and funds of funds, benchmark-inconsistent funds are likely to outperform in bull markets and underperform in bear markets. Finally, this thesis shows that more benchmark-consistent managers have better security selection skill. The main contribution of this thesis is in identifying the group of hedge funds, funds of funds, and CTA funds that are likely to deviate from their self-reported style-benchmark and the risk-return consequences of such deviations. The findings have implications for investors and regulators.

This research discusses the use of Delta in regulating the investment behaviour of the Trustees of Self-Managed Superannuation Funds (SMSFs) who use Exchange Traded Options (ETOs) in their investment strategies. An ETO represents a contract between two parties, giving the taker (the buyer) the right, but not the obligation, to buy or sell a parcel of shares at a predetermined price, on or before a predetermined date, to or from the writer (the seller). It is acceptable for SMSF Trustees to use ETO investments as part of their overall investment strategy, providing that leverage or mere speculation are not the reasons behind that investment. It is important to note that neither the Regulator, the Australian Taxation Office (ATO), nor its predecessor, the Australian Prudential Regulatory Authority (APRA), actually state what constitutes 'speculation', or what the allowable uses for derivatives are. There are no practical guidelines. This is a key issue for this research, which aims, as practically as possible, to fill these crucial gaps. A Trustee must abide by their superannuation fund's overriding covenants and investment strategy, and inform its members, through Risk Management Statements, of the trust's derivative strategy. While ETOs can be used to manage risk, they also carry a level of risk themselves. Delta measures an ETO's value movement in correlation with a movement in the option's underlying share price. An ETO carrying a low Delta generally means a cheaper price (premium) per contract than an option carrying a higher Delta. The lower the Delta, however, the lower the chance there is of a positive result for the buyer. This research shows that an ETO Delta of less than 0.2 gives results in favour of buyers in only 11 out of 100 occurrences. This figure rises to 42 out of 100 when Delta is greater than 0.8. From the sampled data, there is an overall financial loss to the buyer of -1.91%, with the financial return results being mixed at all levels of Delta. The overall return results have been compiled without preference to market direction, and clearly highlight the natural premium bias (which the buyer pays) to the seller. What this data does is reenforce the need for Trustees to have a solid view of market directions, or a set strategy in place, as buyers of ETOs. The conclusions drawn from the findings show that the chance of loss (when buying), or gain (when selling) ETOs with a Delta of; - less than 0.20 is 89%; - less than 0.40 is 74%; - less than 0.60 is 66%; - less than 0.80 is 57%; - greater than 0.80 is 58%; For example, a Trustee buying an ETO with a Delta of less than 0.20, faces an 89% chance of loss; a Trustee selling an ETO with a Delta of less than 0.20, faces an 89% chance of gain. The findings on overall financial returns (profit or loss) offer additional support to this critical review of Delta as a risk measurement tool. Whist it is impossible to know the motives or actual positions of portfolio managers of SMSF at any time, the aim of the thesis is to provide a measurement tool that can be used to assist the trustee at any given time by measuring the option risk element alone. When interpreting the findings, the reader must remember that ETO strategies are numerous, and a high-risk profile for one strategy may represent a low risk for another. Further to this, an ETO strategy's risk profile may change with the overlaying of another ETO. For example, where a Call option is bought, the risk involved in that purchase is represented by the premium paid. However, another Call option can then be sold against that position, with a later (or earlier) date to expiry, and with a higher strike price. This 'overlay' reduces the initial risk, but impacts on the maximum gain. It is vital that Trustees have a solid understanding of the basics of ETO strategies before considering using Delta as a measure of risk. The research proposes some guidelines Trustees can use when assessing an ETO strategy against their derivative/investment risk profile. For example, a Trustee buying an ETO with a Delta of less than 0.20, faces an 89% chance of loss; a Trustee selling an ETO with a Delta of less than 0.20, faces an 89% chance of gain. The findings on overall financial returns (profit or loss) offer additional support to this critical review of Delta as a risk measurement tool. Whist it is impossible to know the motives or actual positions of portfolio managers of SMSF at any time, the aim of the thesis is to provide a measurement tool that can be used to assist the trustee at any given time by measuring the option risk element alone. When interpreting the findings, the reader must remember that ETO strategies are numerous, and a high-risk profile for one strategy may represent a low risk for another. Further to this, an ETO strategy's risk profile may change with the overlaying of another ETO. For example, where a Call option is bought, the risk involved in that purchase is represented by the premium paid. However, another Call option can then be sold against that position, with a later (or earlier) date to expiry, and with a higher strike price. This 'overlay' reduces the initial risk, but impacts on the maximum gain. It is vital that Trustees have a solid understanding of the basics of ETO strategies before considering using Delta as a measure of risk. The research proposes some guidelines Trustees can use when assessing an ETO strategy against their derivative/investment risk profile. (table inserted) The findings from 2400 data samples show strong trends in support of the underlying premise (see Figure: Positive Results Versus Delta (ETO Buyers) below). Given these findings, the research concludes that Delta can be used as a measure of risk by SMSF Trustees. Delta may not be suitable, however, for measuring multiple layers of combined ETO positions, a type of derivative strategy not suited to or usual in the context of measuring risk within a SMSF. (table inserted) There is a major difference between simple and simplistic solutions offering practical answers in an environment of increasing complexity. Often, simple solutions offer far more value to the less experienced, when compared to complex ones, especially given the growing number of SMSFs, and the increasing lack of expertise in the areas of superannuation and risk management that this growth implies.

This thesis examines the degree to which alternative funds deviate from their style-benchmark and how this is related to past performance and fund size, and how it impacts future risk and returns. Additionally the thesis examines how security selection and market timing skills differ across varying degrees of deviation from the benchmark. The thesis uses data for hedge funds, funds of funds, and CTA funds from the Center for International Securities and Derivatives Markets and employs fund???s tracking error relative to their style-benchmark to estimate the level of drift. The style-benchmarks used are the median return for all reporting funds that follow a particular style and funds are assigned a benchmark based on their self-reported style. First, this thesis documents statistically significant differences in the tracking errors of portfolios of funds with the highest tracking error versus funds with the lowest tracking error, implying that some managers drift from their self-reported style-benchmarks. Second, funds??? benchmark-inconsistency is less severe in the case of funds that have a regulatory obligation to disclose their performance, suggesting that the absence of regulation fosters an environment where managers can be more flexible with their investment approach. Third, the tendency to drift from the benchmark is most prevalent amongst funds with superior past performance as well as small funds. Fourth, future total portfolio risk increases as funds display more benchmarkinconsistency, suggesting that managers adopt riskier strategies as they attempt to enhance returns. Fifth, the thesis demonstrates that CTA funds that display drift from their benchmark produce higher absolute and relative returns in subsequent periods regardless of the direction of the general market. In contrast, the findings show for hedge funds and funds of funds, benchmark-inconsistent funds are likely to outperform in bull markets and underperform in bear markets. Finally, this thesis shows that more benchmark-consistent managers have better security selection skill. The main contribution of this thesis is in identifying the group of hedge funds, funds of funds, and CTA funds that are likely to deviate from their self-reported style-benchmark and the risk-return consequences of such deviations. The findings have implications for investors and regulators.