Mutual Funds最新文献

{"title":"Financial Returns to Collecting Rare Political Economy Books","authors":"H. Ursprung","doi":"10.1016/j.ejpoleco.2021.102139","DOIUrl":"https://doi.org/10.1016/j.ejpoleco.2021.102139","url":null,"abstract":"","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"9 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85706903","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Capitalism, heal thyself","authors":"Alan R. Palmiter","doi":"10.2139/ssrn.3940395","DOIUrl":"https://doi.org/10.2139/ssrn.3940395","url":null,"abstract":"A paradigm shift is underway. The corporation -- much reviled as an externalizing, short-termist, inward-focused, politically manipulative machine – is undergoing a fundamental change. A real metamorphosis. This is good news. Capitalism has developed mechanisms to start a transformation of the world's economy. Already this is underway. The corporations that undergird Capitalism are beginning to confront the harm they created. Capitalism is in the process of healing itself. There are three powerful factors at work. First, large institutional investors (all of which hold both managed and indexed portfolios) are either focusing on ESG investing in their managed portfolios or using their voting power in their indexed portfolios to demand ESG actions by portfolio companies. Why? These big investors – as they seek better financial returns -- are realizing that portfolio companies that externalize harm ... are not sustainable investments. Second, it has become clear (and is becoming clearer) that corporations have better financial returns when they seek to pursue environmental, social, and governance actions (ESG) – often much better than corporations that continue their delusional thinking that the world is not interconnected, that externalizing harm is a profitable business strategy. All big corporations – motivated to seek profits -- are now pursuing real ESG. Third, there are the (almost miraculous) communication and information advances of the Internet. Investors learn in milliseconds what is happening with companies. And corporations can learn, coordinate, and implement new ESG tactics almost overnight. And there are also powerful feedback loops that only accelerate these phenomena. Companies that infuse real ESG into their operations – not the fake stuff that the financial markets are getting better and better at ferreting out – attract money from the big institutional investors engaged in ESG investing. And with additional capital or a higher stock price, these real ESG companies increase their real ESG operations, attracting further real ESG investing. But there is a timing issue. Just as these developments are happening exponentially, Mother Nature has begun her own feedback loops. For example, the fires in Siberia -- which make the West Coast fires (as devastating as they’ve been) look like a kid playing with matches -- are thawing the tundra and unleashing ungodly amounts of methane. Next year will probably be worse. And this is just one of many feedback loops. It’s sometimes hard to take. Can Capitalism catch up? The race is on, and Capitalism started late and is behind. But Capitalism, unlike Mother Nature, does not work on an annual, solar cycle. It works on at least a quarterly cycle when companies file their financial 10-Qs. And, given the way that financial analysts have every incentive to know as much about public companies as the companies themselves, Capitalism is really working on an almost minute-to-minute cycle. And Capitalism ha","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"358 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76341556","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Commitment to Responsible Investing and Mutual Fund Performance - Evidence from China","authors":"Yue Zhang, Z. Zong","doi":"10.2139/ssrn.3934854","DOIUrl":"https://doi.org/10.2139/ssrn.3934854","url":null,"abstract":"We study the impact of fund-families committing to the United Nations Principles for Responsible Investment on mutual fund performance in China. First, we find consistent evidence that the funds coming from signatory fund-families outperform peers from comparable non-signatory fund-families, and that such an effect is stronger for the ESG funds than for the non-ESG funds. Second, we conjecture that facing the opaque ESG-information environment, signatory fund-families may need to rely on the information collected through private channels to fulfill their commitments. Using a unique dataset of information acquisition activities, we show that signatory fund-families conduct more selective access events than the comparable non-signatories, and that the subsequent increase in the stock holding of the event firms is larger for the signatory funds than for the non-signatory funds. Third, we show that the performance of funds’ positions in the stocks of the event firms exceeds that of the positions in the stocks of the non-event firms in the same industry. The results indicate that the outperformance of signatory funds is associated with higher information acquisition activism of their fund-families that brings information advantages over other market participants. The study draws attention to the issue of promoting information transparency and in particular ESG disclosures.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"95 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83693620","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Quarterly Investment Spikes, Stock Returns and the Investment Factor","authors":"M. Altieri, Jan Schnitzler","doi":"10.2139/ssrn.3942428","DOIUrl":"https://doi.org/10.2139/ssrn.3942428","url":null,"abstract":"We propose abnormal fourth quarter capital expenditures as a proxy for managerial agency conflicts in investment decisions. In line with this interpretation, we document a negative link with future stock returns. Interestingly, the performance of the resulting zero-investment portfolio closely resembles the investment factor, which has become part of standard asset pricing models. Cross-sectional tests show that high cash flows, low dividend yields, and low debt levels aggravate the reported effect. Our analysis provides new evidence in support of an agency interpretation for the investment factor.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90116075","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Listed Equity Securities and Exchange-Traded Funds - An Operational Observation","authors":"Fred Sommers","doi":"10.2139/ssrn.3941904","DOIUrl":"https://doi.org/10.2139/ssrn.3941904","url":null,"abstract":"Exchange-traded funds (ETF or ETFs) are presented as securities with the same trading, clearing and settlement features as listed equity securities. The CFA Institute Research Foundation A Comprehensive Guide to Exchange-Traded Funds (ETFs) notes: “…Confusion abounds about how ETFs work. Claims have even appeared in the popular press that somehow ETFs are a special class of securities subject to different rules when it comes to the back-office processes. Although ETFs are truly unique, the reality is that from the perspective of an investor buying them on the open market, they go through the same settlement and clearing process as any other stock listed on the US stock markets….” As such, the expectation is that operational overhead associated with ETFs would not produce an operational outcome pattern different from the operational outcome pattern of listed equity securities. However, using available public fails-to-deliver data, the data demonstrates ETFs have an operational outcome that is not comparable to the operational outcome pattern for listed equity securities groups. Organizations such as The CFA Institute Research Foundation and Blackrock believe “…a market maker can benefit from delaying settlement for as long as possible…” or “…higher failure-to-deliver rates in ETF shares may merely represent greater market making activity….” A \"market maker\" is a firm that stands ready to buy or sell a stock at publicly quoted prices . On June 7, 1995 when T+3 settlement came into existence, bona fide market making was allowed an additional 3 days after contractual settlement date to close-out a position. The additional 3 days were to allow for the physical processing and movement of securities by couriers carrying satchels of physical securities. On September 5, 2017, T+2 settlement took effect to reduce settlement risk by a shortened period to convert market liquidity into settlement liquidity. Despite with the change to T+2 settlement, bona fide market making was allowed to continue an additional 3 days to close-out a position. Currently, DTCC is considering a change from T+2 settlement to T+1 settlement to improve liquidity, margin usage, and risk control. White papers from organizations such as DTCC and SIFMA make no mention of improvements to market making close-out efficiency to accompany overall settlement and clearing process improvements. Even with the technological advances in trading, clearing, and settlement since the mid-1990s, market maker close-out efficiency has not improved. This suggests market making close-out efficiency, in particular with respect to ETFs, is a matter for consideration to accompany overall settlement and clearing process improvement efforts.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"11 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84319167","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"How Do Investors Trade R&D-intensive Stocks? Evidence from Hedge Funds and Other Institutional Investors","authors":"Dallin M. Alldredge, M. Çaglayan, Umut Celiker","doi":"10.2139/ssrn.3699806","DOIUrl":"https://doi.org/10.2139/ssrn.3699806","url":null,"abstract":"We examine how institutional investors trade stocks with high research and development (R&D) expenses and investigate whether they can detect value-relevant R&D. We document significant differences between hedge funds and other institutional investors in their trading in high R&D stocks. We find that hedge funds (other institutional investors) invest more (less) in high R&D stocks compared to all other stocks. Moreover, hedge funds exhibit strong stock-picking ability in high R&D stocks, and hedge funds with larger allocations to high R&D stocks generate higher future fund returns. Our findings suggest that hedge funds have superior skill in identifying value-relevant R&D.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"20 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84337471","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"An Economic Case for Transparency in Private Equity: Data Science, Interest Alignment and Organic Finance","authors":"Ashby H. B. Monk, Sheridan Porter, Rajiv Sharma","doi":"10.2139/ssrn.3931906","DOIUrl":"https://doi.org/10.2139/ssrn.3931906","url":null,"abstract":"The private equity asset class has grown rapidly since 2008, attracting institutional investors in need of higher returns than those expected from public markets. But while most investors would say they have been rewarded with good performance, this success is hard to objectively demonstrate due to intransitive metrics and unmeasured risks. It is our belief that there is a pressing need to substantiate the economic case for private equity. In this article, we describe a new transparency framework, which we situate in our research agenda on ‘organic finance’. The framework uses data science technology to operationalize private equity data and institute a scientific approach to performance measurement. We elucidate what scientific measurement should look like in private equity, incorporating examples of technologies in use today. We also reveal how bringing new levels of transparency into the asset class can, on its own, create significant value. Finally, we look at the effect of organic finance on the industry, connecting greater transparency to a structural shift that enables efficiencies, expansion, and innovation. The magnitude and sustainability of this shift reinforces the economic case for private equity, albeit with far more transparency than is practiced today.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"29 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79211887","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"US Corporate Complicity in China's Genocide: Creating Genocide-Free Portfolios","authors":"Dennis R. Hammond","doi":"10.2139/ssrn.3930260","DOIUrl":"https://doi.org/10.2139/ssrn.3930260","url":null,"abstract":"Environmental, social, and governance (ESG) standards avoid investments in companies complicit in modern slavery (PRI 2021, 4). Responsible investors have long recognized modern slavery, including forced labor, child labor, sweatshops, migrant worker abuses, human trafficking—and still more undeniably, genocide—is incompatible with basic legal, social, and religious mores of any civilized nation. Nevertheless, state-imposed labor is an everyday condition for more than a million people of Turkic ethnic origins in the Xinjiang Uyghur Autonomous Region (Xinjiang) of the People’s Republic of China (PRC or China). According to credible government and nongovernmental organization (NGO) sources, the PRC’s unrelenting and inhumane treatment of these people constitutes genocide. Investing in companies complicit in genocide is neither ethically nor morally responsible, contravenes commonly accepted notions of social justice and ESG best practices, and may result in disappointing financial performance for complicit companies. Investors should shun these companies and seek to invest, instead, in genocide-free portfolios. We show it is possible to create portfolios that are not only free of links to China’s genocide, but also demonstrate acceptable tracking errors to popular benchmarks.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"42 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"80084008","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Capital Allocation and the Market for Mutual Funds: Inspecting the Mechanism","authors":"Jules H. van Binsbergen, Jeong Ho (John) Kim, S. Kim","doi":"10.2139/ssrn.3462749","DOIUrl":"https://doi.org/10.2139/ssrn.3462749","url":null,"abstract":"We exploit heterogeneity in decreasing returns to scale parameters across funds to analyze their effects on capital allocation decisions in the mutual fund market. We find strong evidence that steeper decreasing returns to scale attenuate flow sensitivity to performance, which has a large effect on equilibrium fund sizes. Our results are consistent with a rational model for active management. We argue that an important fraction of cross-sectional variation in fund sizes is due to investors rationally anticipating the effects of scale on return performance.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"18 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74473154","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Alpha in Indian Large Cap Equity Funds - A Tale of Two Periods","authors":"Rajan Raju","doi":"10.2139/ssrn.3929136","DOIUrl":"https://doi.org/10.2139/ssrn.3929136","url":null,"abstract":"We look at the trend of alpha generation among 18 large-cap equity mutual funds in India between September 2010 and August 2021. Between September 2013 and December 2017, these schemes, on average, outperformed a NIFTY 50 index tracker fund (average annualised 3-year alpha of 3.22%), but since January 2018 have, on average, underperformed the index tracker (average annualised 3-year alpha of -1.65%). While average R2, a traditional measure of active management or selectivity, between returns of large-cap schemes in our sample and those of a large-cap index tracking fund, has remained stable at 0.93 through the period, there have been key changes to selectivity of schemes. 1 in 3 funds every month have had R2 >= 0.95, a popular benchmark for “closet index” funds. We show that the pandemic has significantly impaired the returns from selectivity as seen in the jump in the average R2 from 2020 and is a significant driver for the drop in 3-year alpha between 2018-2021. Finally, there is a weak but significant inverse relationship between large-cap scheme alpha and R2.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"14 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72692044","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}