Consistency of UK Pension Fund Investment Performance

Transition matrix techniques are used to relate the past and present performance of pension fund portfolios. In particular, funds are ranked to study the tendency of portfolios to remain in the same quartile of the ranking as they were in the previous period. For raw returns, funds in both of the top quartiles are found to be more likely to remain in the same quartile than would be expected by chance. This result can be taken as limited evidence for the consistency of performance. Similar systemic effects are observed on a risk-adjusted basis. There appears to be clear evidence that some fund managers can offer a degree of consistent good performance.     

Money Demand in Singapore Revisited: A Comment with Implications

This comment reviews the meaning and significance of the econometric results relating to money demand in Singapore in a paper by Daquila and Phua (1993). I argue that there are a number of confusions and faults in their analysis that could account for their results being incompatible with earlier studies and with monetary events in Singapore. An explanation of their perplexing findings is offered, simple re-estimates are made to justify this point and then some implications for economic methodology and research are offered.     

Editorial. Problems, challenges and opportunities: the small business as a setting for management accounting research

This special issue is devoted to management accounting in the small firm. It comprises five studies which address various aspects of this topic, which have been undertaken from different perspectives and which involve different research methodologies. The editorial below reviews the potential for and significance of research in this area and assess the contribution made by the five studies.     

Do risk management practices work? Evidence from hedge funds

We examine hedge fund risk management practices and their association with left-tail risk during the 2008 financial crisis. Consistent with risk management practices reducing left-tail risk, funds in our sample that use formal risk models performed significantly better in the extreme down months of 2008. We find no evidence that having either position limits or a dedicated head of risk management is associated with reduced left-tail risk. Funds employing value at risk models had more accurate expectations of how they would perform in a short-term equity bear market.     

Economic Analysis for the UK National Ecosystem Assessment: Synthesis and Scenario Valuation of Changes in Ecosystem Services

We combine natural science modelling and valuation techniques to present economic analyses of a variety of land use change scenarios generated for the UK National Ecosystem Assessment. Specifically, the agricultural, greenhouse gas, recreational and urban greenspace impacts of the envisioned land use changes are valued. Particular attention is given to the incorporation of spatial variation in the natural environment and to addressing issues such as biodiversity impacts where reliable values are not available. Results show that the incorporation of ecosystem services and their values within analyses can substantially change decisions.