Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi‐sector Managed Funds

Using a sample of Australian Multi-sector trusts we examine selectivity and market timing performance and extend the analysis to include the relatively new measure of volatility timing. This is of particular relevance to our data set, as high levels of volatility persistence are prevalent in Australia. In addition we consider the stability, asymmetry and seasonality of the various performance and risk measures. A survivorship adjustment procedure is also employed in order to assess the impact of survivorship on selectivity, market timing and volatility timing performance.     

How to measure mutual fund performance: economic versus statistical relevance

In the present paper a comprehensive assessment of existing mutual fund performance models is presented. Using a survivor‐bias free database of all US mutual funds, we explore the added value of introducing extra variables such as size, book‐to‐market, momentum and a bond index. In addition to that we evaluate the use of introducing time‐variation in betas and alpha. The search for the most suitable model to measure mutual fund performance will be addressed along two lines. First, we are interested in the statistical significance of adding more factors to the single factor model. Second, we focus on the economic importance of more elaborate model specifications. The added value of the present study lies both in the step‐wise process of identifying relevant factors, and the use of a rich US mutual fund database that was recently released by the Center for Research in Security Prices.     

Efficiency outcomes of market concentration and managed care

The paper examines how hospital cost efficiency has reacted to extensive horizontal integrations of hospitals and rapid growth of managed care in the US health care industry. Cost efficiency is estimated by using panel data approaches to relax the assumptions for the hospital effects imposed in earlier studies. The paper shows that higher managed care penetration over time is associated with greater hospital efficiency, and higher market concentration is positively associated with efficiency when markets are highly competitive or highly concentrated.     

我国投资基金业绩的持续性分析

基金业绩的持续性是指业绩优秀的基金以后一段时间继续保持优秀的业绩,而业绩差的基金继续表现出差的业绩。如果基金具有持续性,对于投资者来讲,他们可以买进前期业绩优秀的基金,而卖出前期业绩差的基金,来获取超额收益,投资者不必耗费大量的资金和时间去评价和选择基金经理。本文就基金业绩持续性的研究理论方法进行阐述,并对我国投资基金作实证分析。     

SUPPLY CHAIN INFORMATION SHARING IN A VENDOR MANAGED INVENTORY PARTNERSHIP

Vendor Managed Inventory (VMI) involves the vendor making the replenishment decision for products supplied to a customer based on various inventory and supply chain policies. Information sharing between supply chain members is required in VMI. Sometimes VMI decisions are delayed and/or the information shared is inaccurate. This research examines the effects of information delay and accuracy, and the sharing of sales and forecast information in a VMI environment facing stationary and nonstationary demand. The simulation experiments show the impact of information delay, information inaccuracy, and information sharing on a variety of performance measures, including inventory levels and fill rates.     

Pricing of Mutual Fund Services in Retirement Plans: Evidence from Open-End Equity Funds

Management fees of mutual funds are more costly to investors than is often realized. Moreover, research indicates that in many cases, the fees are not related to performance, contrary to what might be expected from an efficient market. This study uses sample data to illustrate the consequences of inefficiency to an individual investor. It then turns to an empirical examination of the determinants of the ratio of management fees to total assets (MER), investigating market concentration, fund performance, and non-performance characteristics as explanatory variables. All of these classes of variables contributed to the variation of MERs . JEL Classification G23     

发展我国养老保险的思考

本文分析了现阶段养老保险中人口老龄化的压力日益加剧，覆盖范围明显过窄，已入保群体“空账运行”，养老待遇过低等问题，提出了提高退休年龄、降低缴费比率、将社会统筹基金与个人账户基金实行分账管理、让基金保值增值加快社会保障制度立法等若干相关政策建议。     

MANAGING VENDOR INVENTORY IN A DUAL LEVEL DISTRIBUTION SYSTEM

Collaborative arrangements among members of the supply chain have received a great deal of interest in recent years as a means of reducing costs. One such arrangement is vendor managed inventory (VMI). VMI allows the vendor to make decisions concerning the quantity and timing of deliveries to the retailer. Such an arrangement offers the potential of a more efficient supply chain by removing the negative effects of retail ordering policies. A thorough review of the literature was conducted to identify factors likely to impact the performance of a VMI partnership. Computer simulation was used to study the effects of these factors from both the vendor's and retailer's perspectives. The results lend insight into the performance of VMI and guidance for managers as to the environments in which VMI is most effective.     

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.     

养老基金筹集模式的实证分析

当前的养老制度改革是关注的焦点。本文首先将从介绍现存的筹集模式入手,试图换个角度来思考在人口老龄化背景下的我国养老金基金制度,实证分析模式选择对于缴费率等的影响,并基于此,讨论未来改革的方向。