Management structure and the performance of funds of mutual funds

A rapidly growing mutual fund category is funds of funds (FOFs) which invest in other mutual funds instead of individual securities. This study reports on FOFs' characteristics and performance relative to traditional equity mutual funds and finds that FOFs compare favorably. FOFs with identified managers outperform their unidentified counterparts, and FOFs that invest in-family outperform both traditional equity funds and those FOFs investing out-of-family. Finally, replicating FOFs' holdings can be prohibitively expensive since they commonly hold funds with high minimum initial investments, closed funds and/or funds that are restricted to a particular investor type.     

Mode of entry mode into a foreign market: the case of U.S. mutual funds in Canada

U.S. mutual fund companies offer funds in Canada through two channels: foreign direct investment or trade in advisement services. The total value of U.S.-controlled funds amounts to 18% of the Canadian equity fund market. This paper investigates how the fund-level and firm-level characteristics affect the channel used to enter the Canadian market. Empirical results indicate that the funds offered through FDI are not especially successful in the U.S. market but are associated with dominant companies, whereas the funds offered through trade in advisement services are highly successful in the U.S. market and are from companies with relatively few successful funds.     

Market penetration strategies and the fee–performance relationship: the case of Spanish money mutual funds

This article shows that market penetration strategies are common practice during the product introduction stage in the money mutual funds in Spain. During this stage there is no relation between fees and performance because this strategy is optimal. In order to analyse this relationship during the other stages of the product life cycle, funds under three years old were omitted from the analysis. Among the remaining funds, those with the highest fees are found to present a higher gross return than the low-fee funds, although the difference is not statistically significant. Nevertheless, in terms of net returns, low-fee funds are observed to stochastically dominate high-fee funds for any risk-averse investor. These findings hold for any managerial skill level or segmentation by the mutual fund family type.     

Measuring the financial and social performance of French mutual funds: A data envelopment analysis approach

Socially responsible investors pursue both financial and non-financial goals. In this paper, we attempt to assess the performance of French socially responsible mutual funds (SRMFs). We consider the data envelopment analysis (DEA) approach, which allows us to assign a unique efficiency score while combining financial and social characteristics, using various combinations within different types of risk (total risk, market risk, and downside risk). We report the list of funds found to be DEA efficient using various output-oriented models. We also compare our obtained results with the traditional and modern measures used in the literature (Sharpe, Treynor, and the information ratio). We contribute to the literature by testing the validity of the DEA methodology in the financial context. The findings have important implications for fund selection processes and would be mainly of interest to investors and fund managers who integrate environmental, social, and governance criteria into their investment choices.     

A note on closet-indexing

Actively managed equity mutual funds with returns that are highly correlated with popular stock market indices like the S&P 500 often are accused of “closet-indexing”. We ask whether a trading strategy that shorts these funds and buys “true” index funds makes money for investors. Using a sample of high-R² growth-and-income funds from the CRSP survivor bias free mutual fund file, we document that the Sharpe ratio of this trading strategy and the market Sharpe ratio are statistically indistinguishable in the 1991–2000 sample period. The result is consistent with the view that widespread closet-indexing does not exist in the mutual fund industry.     

Business returns from gold price fixing and bullion trading on the interwar London market

From September 1919, the world price of gold was ‘fixed’ daily in London by a small group of licensed traders. The arrangement was not ideal, as it advantaged the traders concerned, but it was seen by the Bank of England at the time as critical to British economy recovery and to the maintenance of London’s position as a world trading centre. This article examines the available archival evidence on whether direct knowledge of the workings of the mechanism enabled Mocatta and Goldsmid, traders central to the operations of the ‘gold fix’, to earn unusually high profits across the interwar period.     

Predicting the antecedents of consumers' intention toward purchase of mutual funds: A hybrid PLS-SEM-neural network approach

The current study intends to identify the behavioural antecedents of investors' attitude and investment intention toward mutual funds using a robust SEM-ANN approach. It focuses on novel factors in the purview of the COVID-19 pandemic, increasing digitalization and social media usage. The research outcome indicates that attitude (ATB), awareness (AW) and investment decision involvement (IDI) have a significant positive relation with investment intention (BI). In contrast, perceived barrier (PBR) negatively relates to investment intention. Herd behaviour (HB) and social media influence (SMI) do not influence investment intention toward mutual funds. Moreover, all the tested predictors share direct relation with the attitude toward mutual fund investment, barring perceived risk (PR), which has an inverse relationship. As per the outcome of ANN sensitivity analysis, attitude is the most crucial determinant of investment intention. It is followed by awareness (AW), perceived barriers (PBR) and investment decision involvement (IDI). Among the significant determinants of attitude, self-efficacy (SE) is the most important determinant, followed by perceived usefulness (PU), perceived emergency (PEMER), subjective norms (SN) and perceived risk (PR).     

医药行业基金的业绩分析

最近几年,A股市场行业差异明显,在结构性行情的背景下,凸显出行业基金的配置价值.股票型医药行业基金通过研究精选个股,使得业绩大幅领先于同类基金的平均水平.     

医药行业基金可投资性分析

近年来股票型医药行业基金的业绩大幅领先于同类基金的平均水平,具有投资价值。此外,医药行业未来前景向好,投资者可以选择长期持有该类基金。     

Emerging market hedge funds and the yen carry trade

For emerging market hedge funds, funding through the yen carry trade provides the possibility of enhancing returns by funding in a low coupon currency. This study examines whether emerging market hedge funds are exposed to the value of the Japanese yen and whether this is the key exposure associated with their use of leverage. The results suggest that the returns of these hedge funds are only weakly exposed to yen exchange rate but the use of leverage is associated with yen exposure, which implicates the importance of the yen carry trade.     

中国开放式基金表现的动态能力研究

本文以中信指数与中信债券指数的加权超额收益率为市场基准 ,以GDP增长率和消费物价指数的增长率以及广义货币供给增长率为条件变量 ,构建了证券投资基金表现的条件评价模型 ,对中国开放式证券投资基金的选股能力和市场时机把握能力进行了测度。计量方法上采用混合数据模型的回归方法以提高回归结果的有效性。研究结论为 :中国开放式基金不但具有一定的选股能力 ,而且具有良好的市场时机把握能力 ;条件模型的解释能力高于无条件模型。     

Covered in Gold: Examining gold consumption by middle class consumers in emerging markets

As wealth and status rise for middle class (MC) consumers in emerging markets (EMs), they increasingly acquire gold for both consumption and investment. The authors delineate a conceptual map for gold consumption drawing insights from the context of MC in EMs. Perceived benefits of gold and disposable income directly determine the attractiveness and availability of gold for individual consumers. Cultural, institutional and economic factors account for country variations in gold consumption. Based on theoretical considerations and empirical evidence, we contend that gold consumption and disposable income have a curvilinear relationship: as EMs mature and MC consumers’ shopping baskets become more diverse and sophisticated, their gold consumption decreases and eventually stabilizes.     

Evaluating the performance of global emerging markets equity exchange-traded funds

We examine the performance of passively managed exchange-traded funds (ETFs) that provide exposure to global emerging markets equities. We find that the tracking errors of these funds are substantially higher than previously reported levels for developed markets ETFs. ETFs that use statistical index replication techniques turn out to be especially prone to high tracking errors, and particularly so during periods of high cross-sectional dispersion in stock returns. At the same time, we find no convincing evidence that these funds earn higher returns than ETFs that rely on full-replication techniques.     

Small firm mutual funds: Additional evidence on the small firm effect

Returns generated with small firm mutual fund data are used to examine the extent to which identification of a small firm effect is due to the difficulty in measuring the direct and indirect transaction costs involved in investing in the common shares of small capitalization stocks. Little if any evidence of the excess risk-adjusted returns is obtained for either of the period 1978–1983, when the small firm effect was observed, or the period 1984–1989, when it was not. The small firm effect may therefore be attributed to (1) higher direct transaction costs including bid-ask spread and broker fees and (2) higher indirect transaction costs including portfolio management expenses and market impact costs.The authors thank an anonymous referee for helpful comments on an earlier version of this paper, and Brett Salazar for valuable assistance in data collection. Errors remain our own.     

How does the volatility-timing strategy perform in mutual funds portfolios

Literature suggests that a volatility-timing strategy improves the performance of factor portfolios in the stock market and currency carry trade. This paper shows that the performance of this strategy is mixed when applied to mutual fund portfolios. More specifically, its performance not only depends on the investment style of the mutual funds but also the time periods when it is applied.     

我国财政科技经费使用绩效问题研究

提高财政科技经费使用绩效,是深化科技体制改革、全面落实创新驱动发展战略和加强我国创新能力建设的关键支撑。本文综合运用定量分析与定性研究相结合的方法,从财政科技经费的规模绩效、结构绩效和项目管理三个维度全面剖析了我国财政科技经费使用现状与问题。对规模绩效的分析发现,我国财政科技经费绩效存在科技产出绩效内部趋势不平衡、科技产出绩效与经济产出绩效总体趋势不匹配的现象;对结构绩效的分析发现,虽然基础研究、应用研究、技术研究与开发财政支出均呈现较为一致的增长趋势,但基础研究经费占比仍远远低于其他两类研发活动;在项目管理维度,本文具体分析了中央科技计划重大科技项目在项目布局、执行与全过程评估过程中存在的问题,并综合提出进一步改进财政科技经费使用绩效的建议。     

泡沫吸附-电感耦合等离子体发射光谱法测定低品位金矿样中痕量金

建立了泡沫塑料吸附无臭灰化处理低品位金矿,电感耦合等离子体发射光谱法（ICP-OES）测定痕量金的方法,解决了由于复杂基体引入的物理效应及光谱干扰导致仪器测定结果精密度及准确度差的缺点。通过对仪器工作参数及测定介质等进行系统试验,并对国家一级标准物质进行分析验证,测定值与参考值相符。试验结果表明,在10%的王水介质中,该方法对低品位金矿样的检出限为0.52ng/g,方法的加标回收率为98.0%-102.7%。     

财政信用担保资金绩效评价模型及其指标体系探析

财政信用担保资金绩效评价应把握分类实施和多维度考察原则,根据目前财政信用担保资金运行机制的现状特征及其评价模型,适宜构建3张评估表格2个层面15个指标的绩效评价体系,选取浙江省秀洲区财政信用担保资金绩效进行了实证分析,并对评价结果作出分析及提出相关对策建议。     

Creating mutual value: Lessons learned from ventures serving base of the pyramid producers

The base of the pyramid (BoP) literature is grounded in the proposition of mutual value creation, an important but not yet well-tested relationship between business development and poverty alleviation. This paper begins to address this gap by assessing how business ventures serving BoP producers address local constraints and create mutual value. Using a case study methodology, sixty-four ventures are analyzed to identify the constraints faced by BoP producers. These are classified into productivity and transactional constraints. While the former set of constraints inhibits local value creation, the latter severely diminish the value capture potential of BoP producers. An in-depth analysis of eleven agricultural ventures provides insight into the strategies that ventures use to address constraints and enhance value creation and capture by BoP producers. The findings also indicate that alleviating constraints creates value not only for local producers, but also for the ventures themselves.