The Drivers of Responsible Investment: The Case of European Pension Funds

We investigate what drives responsible investment of European pension funds. Pension funds are institutional investors who assure the income of part of the population for a long period of time. Increasingly, stakeholders hold pension funds accountable for the non-financial consequences of their investments and many funds have engaged in responsible investing. However, it appears that there is a wide difference between pension funds in this respect. We investigate what determines pension funds’ responsible investments on the basis of a survey of more than 250 pension funds in 15 European countries in 2010. We use multinomial logistic regression and find that especially legal origin of the country, ownership of the pension fund and fund size-related variables are to be associated with pension funds′ responsible investment. For fund size, we establish a curvilinear relationship; especially the smallest and largest pension funds in the sample tend to engage with responsible investing.     

风险-收益悖论与绩差基金的业绩持续性

绩差基金的业绩具有持续性,这种现象为何产生,现有文献对此缺乏研究。文章从前景理论和金融市场的异常现象——风险-收益悖论出发,分析绩差基金业绩持续的原因,并提出一种解释这种原因的假说。文章利用我国开放式基金的数据,对这个假说进行了实证检验,检验结果证实：业绩排名落后时基金经理偏好冒险的决策行为,承担高风险却没有得到高收益补偿,是绩差基金业绩持续的重要原因。     

The Canadian Hedge Fund Industry: Performance and Market Timing

We analyze the risk and return characteristics of Canadian hedge funds based on a comprehensive database we compiled. We find that Canadian hedge funds have higher risk‐adjusted performance and different distributional characteristics relative to the global hedge fund indices. We investigate market timing by Canadian hedge funds and find that they do not time the Canadian or global stock and bond markets, but hedge funds in the Managed Futures strategy group time the commodity market. These results are robust to parameter instability and structural changes in the model. We also illustrate the impact of using local and global risk factors to analyze the performance of local investment firms.     

PROFIT SHARING IN HEDGE FUNDS

In a new scheme for hedge fund managerial compensation known as the first‐loss scheme, a fund manager uses her investment in the fund to cover any fund losses first; by contrast, in the traditional scheme currently used in most US funds, the manager does not cover investors' losses in the fund. We propose a framework based on cumulative prospect theory to compute and compare the trading strategies, fund risk, and managers' and investors' utilities in these two schemes analytically. The model is calibrated to the historical attrition rates of US hedge funds. We find that with reasonable parameter values, both fund managers' and investors' utilities can be improved and fund risk can be reduced simultaneously by replacing the traditional scheme (with 10% internal capital and 20% performance fee) with a first‐loss scheme (with 10% first‐loss capital and 30% performance fee). When the performance fee in the first‐loss scheme is 40% (a current market practice), however, such substitution renders investors worse off.     

Do hedge funds time market tail risk? Evidence from option-implied tail risk

This paper focuses on an unexplored dimension of fund managers’ timing ability: Market-wide tail risk implied by information in options markets. Constructing the option-implied tail risk, we investigate whether hedge fund managers can strategically time the tail risk through adjusting their exposure to changes of it. Using an extensive sample of equity-oriented hedge funds, we find strong evidence of tail risk timing ability of hedge fund managers. Furthermore, tail risk timing ability brings significant economic value to investors. Top-ranked funds outperform bottom-ranked funds by 5–7% annually after adjusting for risk factors. Our results are robust to various robustness checks.     

The Economic Inefficiency of Secrecy: Pension Fund Investors’ Corporate Transparency Concerns

In the wake of recent corporate scandals, this paper traces the growing power of pension funds to provide managerial oversight of the firms they hold in their investment portfolios. Increasingly pension funds are exercising their legitimate rights as owners to raise the corporate governance standards of the firms they invest in. Within corporate governance generally, pension funds are shifting their attention away from managerial accountability and toward measures that increase transparency in firm-level decision-making. Pension funds use transparency to ensure that shareholders are the primary interest being served by the firm. Transparency not only aligns managers and owners, it also raises issues of firm behaviour that allow other stakeholders to engage the corporation more broadly. I contend that secrecy is economically inefficient. When organizations are opaque and interests are secret, decision-making can and does distort efficiency. I examine recent pension fund corporate governance campaigns with particular reference to the California Public Employees Retirement System. Dr. Hebb is a senior research associate at the Labor and Worklife Program, Harvard University and the Oxford University Centre for the Environment. She is researching the role of US public sector pension funds and urban revitalization as lead investigator on a two-year Rockefeller and Ford Foundation grant. Her doctoral work at Oxford University examined the impact of pension fund corporate engagement on the corporate governance, social and environmental standards of firm behaviour. She was a Clarendon Scholar at Oxford University and was awarded the prestigious William E. Taylor Fellowship (2003) from the Social Sciences and Humanities Research Council, Government of Canada. Dr. Hebb is also a recipient of the York University Schulich School of Business National Research in Financial Services and Public Policy Scholarship (Canada). Dr. Hebb is also the Director of the Capital Strategies Program at the Carleton Centre for Community Innovation (3ci), Carleton University, Canada. Here her work focuses on the financial and non-financial impact of pension fund economically targeted investment in Canada as part of a three-year SSHRC Initiatives in the New Economy grant.     

Liability driven investment with alternative assets: Evidence from Brazil

We study the portfolio choice problem for an asset-liability investor who invests in stocks, equity mutual funds, government bonds, short term interest, hedge funds, listed real estate, and commodities futures available in Brazil. Inflation and real interest play as important risk sources. We estimate the asset classes and liabilities time-varying conditional covariance structure using an asymmetric multivariate dynamic conditional correlation GARCH model and compare the asset-liability portfolio's global minimum variance allocation with Brazilian pension funds' market portfolio. The conditional covariance structure provides insights about the complex dynamic relationships between the asset classes and liabilities. We find that some (though not all) Brazilian alternative assets render strong diversification and liabilities hedging benefits for asset-liability investors. There are significant strategic asset allocation differences between the market portfolio and the liability driven portfolio as given by our model. We, therefore, question the Brazilian pension funds' allocation.     

Effects of pension fund freezing on firm performance and risk

This study considers the effect of freezing defined benefit pension funds on shareholder risk and returns. The conditional models used in this study directly assess the effects of a pension fund freeze on returns and on systematic and residual risk. While pension fund freezes do not significantly affect performance or systematic risk, they do significantly reduce short‐term residual risk. Pension fund freezes therefore do not generally present significant financial advantages to shareholders. Only shareholders of firms with pension funds in crisis would benefit from significant systematic risk reductions. Copyright © 2015 ASAC. Published by John Wiley & Sons, Ltd.     

The case against active pension funds: Evidence from the Turkish Private Pension System

Using data on private Turkish pension funds we show that most active managers are not able to provide performance beyond what could be achieved by passive indexing. The average fund beats its benchmark by only 26 basis points, before fees. We also observe herding behavior among managers' asset allocation decisions which can potentially explain their lack of overperformance. Our results strongly support the need for low-cost index funds in emerging market countries that are reforming their pension schemes. We further recommend regulatory oversight on the “activeness” of funds and introduction of default plans with more balanced asset allocations.     

Interview: The future is bright,the future is hedge funds: An interview with James R. Hedges IV,founder, president,and chief investment officer of LJH Global Investments

Founded in 1992, LJH Global Investments is one of the oldest global hedge fund advisory and fund of hedge funds management firms. Its disciplined approach to evaluating hedge funds and their respective managers is recognized by many financial services firms such as banks, asset management firms, and insurance companies. They rely on the firm as a sub‐advisor to build, manage, and service fund of hedge funds products. Its founder, James R. Hedges IV, was the first fund of hedge funds expert ever invited to speak to the Bank of Japan executives on the burgeoning hedge fund industry. © 2004 Wiley Periodicals, Inc.     

Les effets du gel d'une caisse de retraite sur la performance et le risque des entreprises

This study considers the effect of freezing defined benefit pension funds on shareholder risk and returns. The conditional models used in this study directly assess the effects of a pension fund freeze on returns and on systematic and residual risk. While pension fund freezes do not significantly affect performance or systematic risk, they do significantly reduce short‐term residual risk. Pension fund freezes therefore do not generally present significant financial advantages to shareholders. Only shareholders of funds in crisis would benefit from significant systematic risk reductions. Copyright © 2015 ASAC. Published by John Wiley & Sons, Ltd.     

不同目标类型的开放式基金收益率特征分析

本文利用传统的单指数模型和ARCH模型，分析了开放式基金的收益率的统计特征、ARCH效应及与股价指数的关系。实证结果表示开放式基金的收益率基本具备GARCH(1，1)特征，与股价指数有较强的相关性，但不同目标的开放式基金与股指的关系有所差异，说明基金管理公司在选择投资组合上与基金目标较为一致。有超过一半的样本基金的平均收益率低于同期股指收益率，盈利能力不甚理想。     

发展我国期货投资基金研究

国际期货市场发展的历程表明,以机构投资者为主体的投资者结构是期货市场走向成熟的一个重要标志。而期货投资基金正是机构投资者中非常重要的一种组织形式。发展期货投资基金不但有利于解决我国期货市场规模小、流动性差的问题,同时对我国资本市场的持续、健康、稳定发展也将起到巨大的推动作用。发展期货投资基金已经成为整个期货业和资本市场梦寐以求的目标。     

建立合理有效的社会保障基金监管方法研究

论述中国社会保障基金监管的基本情况及存在的问题,分析我国社保基金监管存在法律和市场体系不完善、难以保障社保基金的保值增值、基金管理透明度低等方面的原因,结合国外社保基金监管方式的经验与教训,提出提高立法层次、强化监督力量、推进监管体系市场化以及建立完善的三方监管体系等切实可行建议,从而保障我国社保基金监管合理有序的发展。     

欠发达地区财政支农资金配置绩效与对策研究——以西南地区贵州为例

通过运用线性回归和效益指标分析方法对贵州省财政支农资金配置进行实证分析发现,贵州财政支农资金配置对贵州农村经济的发展起到了一定的推动作用,但是资金投入的总量与结构配置效益水平都比较低,没有发挥科技兴农的作用。究其原因,主要是贵州省农村公共财政严重缺位和越位、财政支农支出结构不合理、支农资金管理不善。贵州省应尽快健全农村公共财政体系,建立多元化农业投资格局;科学确定投资重点,优化支农支出结构。同时,加强对财政支农资金监管,从而有效解决贵州财政支农资金配置绩效低下的问题。     

中国养老保险制度的困境与发展对策

中国养老保险制度的改革滞后于经济与政治体制改革。主要体现在保险的覆盖面 ,基金的征集、管理、运营等方面 ,对养老保险的可持续发展构成了严重的障碍。根据我国的国情及经济发展状况 ,在廓清理论框架的前提下 ,加大个人帐户的比重 ,提高养老基金的运作效率 ,在此基础上扩大养老保险的覆盖范围 ,使养老保险系统在我国经济与政治生活中发挥其应有作用     

Gold price risk and the returns on gold mutual funds

A model is presented for estimating the theoretical gold price elasticity of the value of mutual funds investing in gold mining companies. The theoretical elasticity shows that if the funds invest in companies whose assets are comprised primarily of operating gold mines, then the return of an investment in the fund will be at least as great as an investment in gold (i.e., the gold price elasticity of the gold fund is greater than 1). Empirical tests of the above propositions are presented. Empirical tests also show, however, that the gold mutual funds contain a substantial amount of risk which is not explained either by market risk or gold price risk. Accordingly, gold mutual funds and gold bullion do not bring identical risks to an investor's portfolio.     

我国开放式基金业绩持续性的实证检验

本文运用绩效二分法和横截面回归方法对我国开放式基金的业绩持续性进行了检验。实证结果发现,我国开放式基金从总体上看业绩持续性不强,业绩持续性只是在短期内出现,基金经理不能连续战胜市场。此外,开放式基金在短期内还有显著的业绩反转现象产生,说明很难根据基金过去的收益来判断其未来的业绩。     

Can Hedge Funds Time the Market?

We answer the somewhat narrower question of whether hedge funds adjust their conditional market exposure in response to real‐time changes in macroeconomic conditions, and whether doing so improves their performance. We find that hedge funds differ substantially in their responsiveness to macroeconomic data. The most procyclical market timers outperform their less active and counter‐cyclical peers by over 4% annualized with a risk adjusted alpha of 5.5%.     

Stock picking,market timing and style differences between socially responsible and conventional pension funds: evidence from the United Kingdom

As far as we are aware, this study presents the first comparative analysis of the stock picking and market timing abilities of managers of conventional and socially responsible (SR) pension funds, and of their use of superior information. For the United Kingdom, the results obtained show a slight stock picking ability on the part of SR pension fund managers (although it disappears if multifactorial models are considered), and a negative market timing ability on the part of both SR and conventional pension fund managers (these results hold for multifactorial models controlled by home bias). In relation to the management styles, both conventional and SR pension funds usually invest in small cap and growth values, although it is the SR pension funds that are the most exposed to these styles. We also observed that, while conventional pension fund managers make certain use of superior information to follow stock picking strategies, managers of SR pension funds use superior information to follow market timing strategies.