Empirical Analysis of Mutual Funds investing in German Equity (1995-2015)

Empirical Analysis of Mutual Funds investing in German Equity (1995-2015) PDF

Author: Carsten Fritz

Publisher: GRIN Verlag

Published: 2016-10-21

Total Pages: 70

ISBN-13: 3668325227

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Master's Thesis from the year 2016 in the subject Economics - Finance, grade: 1,3, University of Regensburg (Centre of Finance), language: English, abstract: Financial markets are as complex as ever due to an accelerating development in the last decades. Especially evaluations of mutual fund performance have been a subject of interest since the introduction of financial services. In this thesis, a study on the performance of mutual funds investing in German equity from July 1995 to June 2015 is conducted. The aim is to find out if fund managers have sufficient skill to generate risk adjusted return in order to cover the cost imposed on the investors. Another purpose is to provide investors with relevant results. Inter alia, Jensen one-factor, Fama and French three-factor and the Carhart four-factor model are used as different benchmark models for performance. Paired bootstrap simulations suggest that, net of cost, a small fraction of fund managers do have sufficient skill to cover cost. For the bottom ranked funds, there is statistical evidence that their poor performance is caused by bad management, rather than by bad luck. The results for gross returns show that there is an unneglectable fraction of fund managers with good performance not due to luck. Compared to net returns, there is stronger evidence of skill, negative as well as positive. Form an investor’s point of view it seems rather beneficial to invest in passively managed vehicles. High costs eat into the return, and they are the main reason why the majority of actively managed funds end up with sub-par performance.

The Performance Analysis of German Mutual Funds Investing in Small-Cap Companies

The Performance Analysis of German Mutual Funds Investing in Small-Cap Companies PDF

Author: Maximilian Wegener

Publisher: Grin Publishing

Published: 2014-10-24

Total Pages: 66

ISBN-13: 9783656822318

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Thesis (M.A.) from the year 2014 in the subject Business economics - Investment and Finance, grade: 7.5, Maastricht University, language: English, abstract: The following study examines the performance of mutual funds investing in small cap companies in the period from 1990 until 2013. Therefore, funds investing in small companies in Germany are tested on their ability to deliver risk-adjusted abnormal returns. The returns are risk-adjusted according to Fama French (1996) three-factor model, Carhart four-factor model and the liquidity adjusted five-factor model of Pastor and Stambaugh (2003). A separate examination of the internet crisis 2000 until 2003 and the financial crisis period 2008 until 2013 is done, to assess the ability of fund managers in isolation to examine their results in situations when their skills are most needed. On average, I conclude that fund managers, investing in the small capitalization segment in Germany, are not able to outperform the market even before fees.

The Macroeconomic Effects of Public Investment

The Macroeconomic Effects of Public Investment PDF

Author: Mr.Abdul Abiad

Publisher: International Monetary Fund

Published: 2015-05-04

Total Pages: 26

ISBN-13: 1484361555

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This paper provides new evidence of the macroeconomic effects of public investment in advanced economies. Using public investment forecast errors to identify the causal effect of government investment in a sample of 17 OECD economies since 1985 and model simulations, the paper finds that increased public investment raises output, both in the short term and in the long term, crowds in private investment, and reduces unemployment. Several factors shape the macroeconomic effects of public investment. When there is economic slack and monetary accommodation, demand effects are stronger, and the public-debt-to-GDP ratio may actually decline. Public investment is also more effective in boosting output in countries with higher public investment efficiency and when it is financed by issuing debt.

ESG and Responsible Institutional Investing Around the World: A Critical Review

ESG and Responsible Institutional Investing Around the World: A Critical Review PDF

Author: Pedro Matos

Publisher: CFA Institute Research Foundation

Published: 2020-05-29

Total Pages: 80

ISBN-13: 1944960988

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This survey examines the vibrant academic literature on environmental, social, and governance (ESG) investing. While there is no consensus on the exact list of ESG issues, responsible investors increasingly assess stocks in their portfolios based on nonfinancial data on environmental impact (e.g., carbon emissions), social impact (e.g., employee satisfaction), and governance attributes (e.g., board structure). The objective is to reduce exposure to investments that pose greater ESG risks or to influence companies to become more sustainable. One active area of research at present involves assessing portfolio risk exposure to climate change. This literature review focuses on institutional investors, which have grown in importance such that they have now become the largest holders of shares in public companies globally. Historically, institutional investors tended to concentrate their ESG efforts mostly on corporate governance (the “G” in ESG). These efforts included seeking to eliminate provisions that restrict shareholder rights and enhance managerial power, such as staggered boards, supermajority rules, golden parachutes, and poison pills. Highlights from this section: · There is no consensus on the exact list of ESG issues and their materiality. · The ESG issue that gets the most attention from institutional investors is climate change, in particular their portfolio companies’ exposure to carbon risk and “stranded assets.” · Investors should be positioning themselves for increased regulation, with the regulatory agenda being more ambitious in the European Union than in the United States. Readers might come away from this survey skeptical about the potential for ESG investing to affect positive change. I prefer to characterize the current state of the literature as having a “healthy dose of skepticism,” with much more remaining to be explored. Here, I hope the reader comes away with a call to action. For the industry practitioner, I believe that the investment industry should strive to achieve positive societal goals. CFA Institute provides an exemplary case in its Future of Finance series (www.cfainstitute.org/research/future-finance). For the academic community, I suggest we ramp up research aimed at tackling some of the open questions around the pressing societal goals of ESG investing. I am optimistic that practitioners and academics will identify meaningful ways to better harness the power of global financial markets for addressing the pressing ESG issues facing our society.

The Handbook of Equity Style Management

The Handbook of Equity Style Management PDF

Author: T. Daniel Coggin

Publisher: John Wiley & Sons

Published: 2003-04-07

Total Pages: 514

ISBN-13: 0471468789

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A fully updated guide to equity style management Pioneered by Nobel laureate William Sharpe, equity style management is derived from a correlation analysis of various equity style categories, such as value, growth, small cap, large cap and foreign stocks. In the Third Edition of The Handbook of Equity Style Management, twenty contributors from industry and academia help readers understand various equity style management issues, including equity style indices, different approaches to equity style measurement, foreign stock investing, tactical style management, behavioral aspects of equity style, and equity style benchmarks for manager selection and performance attribution. This updated edition gives readers the rationale behind equity style management, and shows how new strategies can be used to manage risk and improve returns.

Alternative Investments: A Primer for Investment Professionals

Alternative Investments: A Primer for Investment Professionals PDF

Author: Donald R. Chambers

Publisher: CFA Institute Research Foundation

Published: 2018

Total Pages:

ISBN-13: 1944960384

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Alternative Investments: A Primer for Investment Professionals provides an overview of alternative investments for institutional asset allocators and other overseers of portfolios containing both traditional and alternative assets. It is designed for those with substantial experience regarding traditional investments in stocks and bonds but limited familiarity regarding alternative assets, alternative strategies, and alternative portfolio management. The primer categorizes alternative assets into four groups: hedge funds, real assets, private equity, and structured products/derivatives. Real assets include vacant land, farmland, timber, infrastructure, intellectual property, commodities, and private real estate. For each group, the primer provides essential information about the characteristics, challenges, and purposes of these institutional-quality alternative assets in the context of a well-diversified institutional portfolio. Other topics addressed by this primer include tail risk, due diligence of the investment process and operations, measurement and management of risks and returns, setting return expectations, and portfolio construction. The primer concludes with a chapter on the case for investing in alternatives.

The German Greens

The German Greens PDF

Author: Margit Mayer

Publisher: Temple University Press

Published: 1998

Total Pages: 364

ISBN-13: 9781566395168

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The Greens have been not only a political force and social conscience for Germany before reunification and after but also an inspiration to political groups and movements in many other countries. The Greens have raised the issues of ecology, gender, and grassroots democracy in protest against government. They have also had the rare opportunity to try converting themselves into a political party that works within the system. This is a book about their paradoxical situation and about the dilemmas all advocates of change face when they become powerful enough to negotiate with the status quo. The critical essays by German social scientists and activists also provide a detailed picture of the dynamics of the German Greens—where their support has come from, The nature of the competing factions, And The place of feminism. The editors provide a substantial introduction. The flavor and texture of the Greens—including their raucous public arguments and their innovative campaign tactics—are suggested by the political posters included in the book and by a whole section of primary documents. The documents And The essays (except for one originally written in English) have been translated from German. The result is to make available to English-speaking readers a view of a complex movement whose very name and color have become synonymous with social action in favor of the environment And The empowerment of people. Author note:Margit Mayeris Professor of Politics at the Free University of Berlin. She has also taught at the New School for Social Research And The University of California, Santa Cruz.John Elyis a long-time commentator on social movements in Germany.

The Equity Home Bias Puzzle

The Equity Home Bias Puzzle PDF

Author: Ian Cooper

Publisher:

Published: 2013-12-01

Total Pages: 133

ISBN-13: 9781601987624

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After an introduction, this book defines the equity home bias puzzle and explains why it is important. It also reviews the two main methods used to quantify equity home bias, the positive and normative approaches, and shows how alternative home bias measures can be constructed using variations or combinations of these two methods.

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