Denna uppsats har skrivits i syfte att undersöka om finansiella aktörers information angående risk i fondsparande är förenlig med investerares riskuppfattning. Idag följer finansiella institutioner EU-direktiv och svensk lagstiftning när de riskklassificerar sina fonder. Konkret används 5-årig historisk volatilitet mätt med standardavvikelse. Vi har därför ämnat undersöka om det riskmått och teorierna som ligger till grund för det är tillfredställande i sin nuvarande form. Vi har undersökt detta med hjälp av så väl traditionell som behovsfokuserad finansieringsteori. Genomförandet har gjorts med hjälp av en enkätundersökning som skickats ut till ett urval av medlemmar i Sveriges Aktiesparares riksförbund. Vi har i och med detta urval undersökt en investerare som är något mer kunnig än en småsparare. Resultaten av undersökningen visar på att det finns en brist i kommunikationen mellan finansiella institut och investerare. Likheten mellan de begrepp som idag används och de som reflekterar investeras riskuppfattning är visserligen inte helt olika. Dock visar undersökningen på att det trots detta finns ett antal problem. För det första finns svagheter i förståelse för de akademiska begrepp som förklarar de definitioner som används hos de finansiella instituten. För det andra har investerare en mycket bredare riskdefinition än vad som förmedlas genom nuvarande praxis. Resultaten visar också på problematiken med de psykologiska aspekter som påverkar mänskligt beteende. I fondinformationens nuvarande form tas detta inte i beaktning vilket leder till en asymmetri mellan teori och verklighet. Undersökningen pekar därför på att de riskmått och teorier som ligger till grund för information om risk i fondsparande idag ej är tillräcklig. Slutsatsen är därför att det behövs förbättring från den finansiella sfären för att uppnå bättre kundkommunikation, kundskydd och konkurrenskraft.

As the demand for liquidity risk management has increased, the importance of comprehensive liquidity assessments of exchanges has been highlighted. This thesis investigates the liquidity on the Nasdaq OMX Stockholm exchange by using daily end of day data. The transaction cost is evaluated using the Holden model and the price impact from trading is evaluated using the Illiq model. Considering the three segments; small cap, mid cap, and large cap, the results suggest that both the transaction cost and price impact is highest for small cap stocks and lowest for large cap stocks. It is also shown that the transaction cost has decreased between 2002-03-20 and 2012-01-06 for all three segments although the cost is increasing for the small cap segment again. No decrease in price impact over this time period could be found. The data behind the results has then been used to create a combined liquidity measure with the purpose of indicating the liquidity condition of a mutual fund. The combined measure can also be used to assess whether it is price impact or transaction cost that contributes most to the liquidity cost when liquidating stocks or reveal what stocks in a portfolio that are the most illiquid. It is hence suggested as a tool for assessing large portfolios.

Die fondsgebundene Umsetzung einer Long/Short-Strategie stößt schnell an ihre Grenzen, wenn die Regulierungserfordernisse der UCITS IV-Richtlinie 2009/65/EG als rechtlicher Rahmen für den Investmentfonds maßgeblich sind. Die betreffenden Regelungen verlangen einerseits eine diversifizierte Ausrichtung des Portfolios und beschränken das Universum an investierbaren Vermögenswerten auf finanzielle und liquide Produkte. Andererseits führen sie zu einer wesentlichen Begrenzung der zulässigen Anlagetechniken. Die Möglichkeiten zur Hebelinvestition sind streng limitiert und das Durchführen von Leerverkäufen wird vollständig ausgeschlossen. Der Anknüpfungspunkt, die Performance einer Short-Position dennoch in den Fonds zu integrieren, ist die Abkehr von der direkten und physischen Umsetzung hin zu einer indirekten und synthetischen Einbindung, wie sie durch den Einsatz von Derivaten möglich ist. Um die Auswirkungen der Derivate auf das Risiko- und Renditeprofil der Investmentfonds überschaubar und kontrollierbar zu halten, wird die Intensität des Derivatehandels durch das Festsetzen von Risikolimits auf ein vertretbares Maß beschränkt. Die Wahl eines konkreten Derivats beeinflusst die technische Umsetzung der synthetischen Positionsbildung und bestimmt deren assoziierte Vorgaben im Kontext des Risikomanagements. Insofern Derivate bei der Strategieausrichtung des UCITS-Fonds ausgeschlossen werden, lassen sich Short-Positionen lediglich gegenüber aggregierten Exposures in Form einer Dachfondskonstruktion berücksichtigen. Das Ausarbeiten kapitalrechtlicher Vorgaben und das darauf basierende Ableiten von praxisrelevanten Investitionsansätzen, zur Abbildung der Short-Positionen innerhalb einer fondsgebundenen Long/Short-Strategie, stehen im Fokus.

This thesis investigates the performance of hedge funds, funds of hedge funds and alternative Ucits together with the determinants of this performance by using new or well-suited econometric techniques. As such, it lies at the frontier of finance and financial econometrics and contributes to both fields. For the sake of clarity, we summarize the main contributions to each field separately. <p>The contribution of this thesis to the field of financial econometrics is the time-varying style analysis developed in the second chapter. This statistical tool combines the Sharpe analysis with a time-varying coefficient method; thereby, it is taking the best of both worlds. <p>Sharpe (1992) has developed the idea of “style analysis”, building on the conclusion that a regression taking into account the constraints faced by mutual funds should give a better picture of their holdings. To get an estimate of their holdings, he incorporates, in a standard regression, typical constraints related to the regulation of mutual funds, such as no short-selling and value preservation. He argues that this gives a more realistic picture of their investments and consequently better estimations of their future expected returns.<p>Unfortunately, in the style analysis, the weights are constrained to be constant. Even if, for funds of hedge funds the weights should also sum up to 1, given their dynamic nature, the constant weights seem more restrictive than for mutual funds. Hence, the econometric literature was lacking a method incorporating the constraints and the possibility for the weights to vary. Motivated by this gap, we develop a method that allows the weights to vary while being constrained to sum up to 1 by combining the Sharpe analysis with a time-varying coefficient model. As the style analysis has proven to be a valuable tool for mutual fund analysis, we believe our approach offers many potential fields of application both for funds of hedge funds and mutual funds.<p>The contributions of our thesis to the field of finance are numerous. <p>Firstly, we are the first to offer a comprehensive and exhaustive assessment of the world of FoHFs. Using both a bootstrap analysis and a method that allows dealing with multiple hypothesis tests straightforwardly, we show that after fees, the majority of FoHFs do not channel alpha from single-manager hedge funds and that only very few FoHFs deliver after-fee alpha per se, i.e. on top of the alpha of the hedge fund indices. We conclude that the added value of the vast majority of FoHFs should thus not be expected to come from the selection of the best HFs but from the risk management-monitoring skills and the easy access they provide to the HF universe.<p> <p> <p>Secondly, despite that the leverage is one of the key features of funds of hedge funds, there was a gap in the understanding of the impact it might have on the investor’s alpha. This was likely due to the quasi-absence of data about leverage and to the fact that literature was lacking a proper tool to implicitly estimate this leverage. <p>We fill this gap by proposing a theoretical model of fund of hedge fund leverage and alpha where the cost of borrowing is increasing with leverage. In the literature, this is the first model which integrates the rising cost of borrowing in the leverage decision of FoHFs. We use this model to determine the conditions under which the leverage has a negative or a positive impact on investor’s alpha and show that the manager has an incentive to take a leverage that hurts the investor’s alpha. Next, using estimates of the leverages of a sample of FoHFs obtained through the time-varying style analysis, we show that leverage has indeed a negative impact on alphas and appraisal ratios. We argue that this effect may be an explanation for the disappointing alphas delivered by funds of hedge funds and can be interpreted as a potential explanation for the “capacity constraints ” effect. To the best of our knowledge, we are the first to report and explain this negative relationship between alpha and leverage in the industry. <p>Thirdly, we show the interest of the time-varying coefficient model in hedge fund performance assessment and selection. Since the literature underlines that manager skills are varying with macro-economic conditions, the alpha should be dynamic. Unfortunately, using ordinary least-squares regressions forces the estimate of the alpha to be constant over the estimation period. The alpha of an OLS regression is thus static whereas the alpha generation process is by nature varying. On the other hand, we argue that the time-varying alpha captures this dynamic behaviour. <p>As the literature shows that abnormal-return persistence is essentially short-term, we claim that using the quasi-instantaneous detection ability of the time-varying model to determine the abnormal-return should lead to outperforming portfolios. Using a persistence analysis, we check this conjecture and show that contrary to top performers in terms of OLS alpha, the top performers in terms of past time-varying alpha generate superior and significant ex-post performance. Additionally, we contribute to the literature on the topic by showing that persistence exists and can be as long as 3 years. Finally, we use the time-varying analysis to obtain estimates of the expected returns of hedge funds and show that using those estimates in a mean-variance framework leads to better ex-post performance. Therefore, we conclude that in terms of hedge fund performance detection, the time-varying model is superior to the OLS analysis.<p>Lastly, we investigate the funds that have chosen to adopt the “Alternative UCITS” framework. Contrary to the previous frameworks that were designed for mutual fund managers, this new set of European Union directives can be suited to hedge fund-like strategies. We show that for Ucits funds there is some evidence, although weak, of the added value of offshore experience. On the other hand, we find no evidence of added value in the case of non-offshore experienced managers. Motivated to further refine our results, we separate Ucits with offshore experienced managers into two groups: those with equivalent offshore hedge funds (replicas) and those without (new funds). This time, Ucits with no offshore equivalents show low volatility and a strongly positive alpha. Ucits with offshore equivalents on the other hand bring no added value and, not surprisingly, bear no substantial differences in their risk profile with their paired funds offshore. Therefore, we conclude that offshore experience plays a significant role in creating positive alpha, as long as it translates into real innovations. If the fund is a pure replica, the additional costs brought by the Ucits structure represent a handicap that is hardly compensated. As “Alternative Ucits” have only been scarcely investigated, this paper represents a contribution to the better understanding of those funds.<p>In summary, this thesis improves the knowledge of the distribution, detection and determinants of the performance in the industry of hedge funds. It also shows that a specific field such as the hedge fund industry can still tell us more about the sources of its performance as long as we can use methodologies in adequacy with their behaviour, uses, constraints and habits. We believe that both our results and the methods we use pave the way for future research questions in this field, and are of the greatest interest for professionals of the industry as well.<p> / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

Die fondsgebundene Umsetzung einer Long/Short-Strategie stößt schnell an ihre Grenzen, wenn die Regulierungserfordernisse der UCITS IV-Richtlinie 2009/65/EG als rechtlicher Rahmen für den Investmentfonds maßgeblich sind. Die betreffenden Regelungen verlangen einerseits eine diversifizierte Ausrichtung des Portfolios und beschränken das Universum an investierbaren Vermögenswerten auf finanzielle und liquide Produkte. Andererseits führen sie zu einer wesentlichen Begrenzung der zulässigen Anlagetechniken. Die Möglichkeiten zur Hebelinvestition sind streng limitiert und das Durchführen von Leerverkäufen wird vollständig ausgeschlossen. Der Anknüpfungspunkt, die Performance einer Short-Position dennoch in den Fonds zu integrieren, ist die Abkehr von der direkten und physischen Umsetzung hin zu einer indirekten und synthetischen Einbindung, wie sie durch den Einsatz von Derivaten möglich ist. Um die Auswirkungen der Derivate auf das Risiko- und Renditeprofil der Investmentfonds überschaubar und kontrollierbar zu halten, wird die Intensität des Derivatehandels durch das Festsetzen von Risikolimits auf ein vertretbares Maß beschränkt. Die Wahl eines konkreten Derivats beeinflusst die technische Umsetzung der synthetischen Positionsbildung und bestimmt deren assoziierte Vorgaben im Kontext des Risikomanagements. Insofern Derivate bei der Strategieausrichtung des UCITS-Fonds ausgeschlossen werden, lassen sich Short-Positionen lediglich gegenüber aggregierten Exposures in Form einer Dachfondskonstruktion berücksichtigen. Das Ausarbeiten kapitalrechtlicher Vorgaben und das darauf basierende Ableiten von praxisrelevanten Investitionsansätzen, zur Abbildung der Short-Positionen innerhalb einer fondsgebundenen Long/Short-Strategie, stehen im Fokus.

La « fin de la géographie » constitue un sujet de débats et d’oppositions entre les économistes et lesgéographes. Pourtant, les premiers participent à la reconnaissance du rôle de la géographie par la miseen évidence de l’influence toujours prégnante de la distance géographique sur les comportementsfinanciers. Ainsi, les économistes participent à la construction de cette discipline. Dans cetteperspective, l’objectif de cette thèse est l’intégration des OPCVM européens comme objets d’analysepertinents en géographie de la finance. Elle suppose de s’interroger sur le fonctionnement del’industrie, ses pratiques, sa réglementation. Le point focal mis sur le marché européen des OPCVMpermet de mettre au coeur de l’analyse le processus d’expansion spatiale inhérent à la finance. Si lesprincipes guidant cette expansion trouvent leurs origines dans l’industrie américaine, cette thèsesouligne le rôle actif joué par les États, l’Europe et les acteurs français. La circulation différenciée descapitaux au sein du marché européen révèle la logique multi-scalaire de la finance / The “end of geography” is a disputed and controversial topic among economists and geographers.Nevertheless economists contribute to the recognition of the role of geography by highlighting thepersistently important influence of geographic distance over financial behaviour. In this way they takepart in the construction of the discipline. Seen in this light, the aim of this study is the integration ofEuropean UCITS as a relevant research topic in geography of finance. The study claims to questionthe functioning of the industry, its practices and its regulation. The focus on European markets ofUCITS enables to place the process of geographic expansion in the centre of analysis. If the principlesguiding this expansion find their origins in the US, this study highlights the active role of States,Europe and French actors. Differentiated circulation of capital within European markets reveals themulti-scalar logic of finance.

C’est au milieu du XXème siècle que la participation des salariés reprend un nouveau souffle sous l’impulsion du général de Gaulle. Ainsi dès 1947, celui-ci prône l’idée d’une troisième voix entre capitalisme et communisme. Malgré l’attachement du général de Gaulle à la nécessité de mettre en œuvre cette association du capital et du travail, il peine à élaborer, de façon pratique, son projet de réforme participative. Un consultant, polytechnicien, Marcel Loichot, essaye alors de proposer un modèle opérationnel de participation qui permettra tout à la fois un autofinancement des entreprises et une redistribution du capital au salarié. Il s’agit de permettre aux salariés d’accéder à l’outil de production et ainsi d’accéder au pouvoir dans l’entreprise. Le schéma proposé par Loichot est soutenu par Louis Vallon et René Capitant. Le projet ainsi décrit s’inscrit dans un mouvement appelé « pancapitaliste ».Les projets avancés par le mouvement « pancapitaliste » sont alors soumis à l’analyse de la commission Mathey qui émet de nombreuses réserves. Par ailleurs de nombreuses réticences se forment tant du côté patronal que salarial. Finalement, le 17 août 1967 deux ordonnances mettent en œuvre un dispositif de participation des salariés et qui donne naissance au PEE. Face aux résistances rencontrées, l’ordonnance n° 67-694 met en place un dispositif qui est loin des attentes du projet pancapitaliste. Même si elle comporte déjà quelques écueils, elle constitue toutefois une trame qui peut servir de support à la construction d’un nouveau projet de société. Au fur et à mesure des différentes évolutions législatives, l’ordonnance de 1967 a été très largement revisitée et s’est principalement orientée vers un dispositif de démultiplication du financement des entreprises. L’accès au capital des salariés même s’il demeure potentiellement massif et collectif n’entraîne aucun exercice effectif de pouvoir des salariés. Le PEE contient aujourd’hui toute une série de filtre et d’écran à cet éventuel pouvoir. Par ailleurs, si l’accès demeure massif et collectif, il permet surtout aux salariés aux plus haute rémunérations d’être investis de titres de leur entreprise. On assiste à une bipolarisation du PEE. Ce dispositif rapproche ainsi les cadres des préoccupations des actionnaires mais sans jamais leur conférer aucun pouvoir. Les salariés aux plus faibles rémunérations subissent alors de plein fouet ces rapports de subordination. Le PEE, loin d’avoir construit un nouveau projet de société, a progressivement glissé vers un pur outil de financement de l’entreprise. De même, loin de redonner du pouvoir aux salariés, il répercute avec plus d’intensité les rapports hiérarchiques et aboutit à une sorte de renforcement du lien de subordination juridique. / In the middle of the 20th century, the participation of the employees takes a new breath with the help of general de Gaulle. In 1947, he proposed the idea of a third way between communism and capitalism. In despite of this will of general de Gaulle, it was difficult for him to develop this project into practice. So a polytechnician consultant called Marcel Loichot, then tries to propose an operational model of participation which is at the same time a self-financing companies and a redistribution of capital to the employees The aim is mainly to allow the employees to accede to the production tools and at the same time to accede to the power in the firm.The schema proposed by Loichot is supported by Rene Capitant and Louis Vallon. The project is called the “pancapitalism” movement. This project was subjected to Mathey’s commission which expressed many disagreements with the movement. Besides, a lot of reservations were expressed by the labor unions and the employers. Finally, on 17 august 1967, two ordinances instaure a system of employee participation. Because of the resistances encoutered, the act n° 67-694 adopted is far from the expectations of the project pancapitalism. Even if the act contains some pittfalls, however it is a frame that can be used to support the construction of a new social project.As to the various legislative changes, the act of 1967 was revisited and focused to a scaling system of corporate finance. The acces to the capital by employees, even if it is still potentially massive and collective, does not allow to get an effective exercise power for the employees. Today, the schema authorizes principaly the hight classes of employees to access to the capital of their firm. This last element can be analyse as a polarization of the PEE. The device brings closer those hight classes of employees to the interest of the shareholders but never give them any power. The lower wages will undergo the full force of these relations of subordinationThe PEE, far from building a new social project has gradually shifted to a pure tool of corporate finance. Far from restoring power to the employees, it affects more intensely the reporting relationship and culminates in a kind of strengthening of the legal subordination link.