Mutual Funds最新文献

{"title":"Dividend Redux","authors":"R. Groenke","doi":"10.2139/ssrn.3837937","DOIUrl":"https://doi.org/10.2139/ssrn.3837937","url":null,"abstract":"Has dividend equity investing as a style been rendered irrelevant by the recent rise of equities without a payout, or should it remain an important building block in modern portfolios? This paper is an attempt to explore this question, supported by nearly a century of data. Reviewing the history of returns, I find strong evidence demonstrating long-term risk-adjusted return advantages for dividend equities relative to non-payers and the market despite a recent flourish from non-payers. I also find that despite the higher realized average returns and Sharpe ratios for a representative mid-yield dividend category, higher volatility and the relative propensity and size of right-tail outcomes for the market and non-dividend equities, in particular, make periods of relative underperformance not only possible but reasonably probable.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"49 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81321126","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":"Optimal Currency Allocation to Add Alpha and Reduce Risk","authors":"Andrew Ang, Coiai Fabrizio, Paul Henderson, Anita Rana","doi":"10.2139/ssrn.3837508","DOIUrl":"https://doi.org/10.2139/ssrn.3837508","url":null,"abstract":"We propose a framework for optimal currency allocations taken relative to a strategic benchmark, which may build in existing hedging positions. We determine optimal currency positions to obtain higher expected returns than the benchmark holding the risk constant, or to reduce risk but hold the expected return of the benchmark constant, or both. The currency exposures relative to the strategic benchmark are considered jointly across all asset classes and currencies. We make the intuition explicit in a theoretical setting without constraints and empirically illustrate the framework with two portfolios: a representative portfolio for a Wealth manager denominated in Euros and a typical pension fund portfolio denominated in Pounds. Optimal currency allocations to reduce risk tend to hedge all or a significant fraction of currency exposures for both portfolios. We find certain hedges, like to Australian dollars for the Euro Wealth investor and Japanese Yen for the GBP pension portfolio, to be optimal to maximize returns with the same risk as the strategic benchmark.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"95 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74756585","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":"Evaluation of Optimal and Coherent Risk-Capital Structures Under Adverse Market Outlooks","authors":"Mazin A. M. Al Janabi","doi":"10.2139/ssrn.1694447","DOIUrl":"https://doi.org/10.2139/ssrn.1694447","url":null,"abstract":"This paper broadens research literature associated with the assessment of modern portfolio risk management techniques by presenting a thorough modeling of nonlinear dynamic asset allocation and management under the supposition of illiquid and adverse market settings. This study analyses, from a fund manager’s perspective, the performance of liquidity adjusted risk modeling in obtaining optimal and coherent economic capital structures, subject to meaningful operational and financial constraints as specified by the fund manager. Specifically, the paper proposes a re-engineered and robust approach to optimal economic capital allocation, in a Liquidity-Adjusted Value at Risk (L-VaR) framework, and particularly from the perspective of trading portfolios that have both long and short trading positions and disallowing both pure long positions and borrowing constraints. This paper expands previous approaches by explicitly modeling the liquidation of trading portfolios, over the holding period, with the aid of an appropriate scaling of the multiple-assets’ L-VaR matrix along with GARCH-M technique to forecast conditional volatility and expected return. The key methodological contribution is a different and less conservative liquidity scaling factor than the conventional root-t multiplier. Moreover, in this paper, the authors develop a dynamic nonlinear portfolio selection model and an optimization algorithm which allocates both economic capital and trading assets by minimizing L-VaR subject to the constraints that the expected return, trading volume and liquidation horizon should meet the budget limits set by the fund manager. In addition, the paper illustrates how the modified L-VaR method can be used by an equity trading unit in a dynamic asset allocation framework for reporting risk exposure, optimizing economic capital, and assessing risk reduction alternatives. The empirical results strongly confirm the importance of enforcing financially and operationally meaningful nonlinear and dynamic constraints, when they are available, on the L-VaR optimization procedure.<br><br><br>REFERENCES AND FURTHER READING:<br><br>Al Janabi, M.A.M., Ferrer, R., and Shahzad, S. J. H., (2019). “Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach”. Physica A: Statistical Mechanics and its Applications, Volume 536, Article 122579.<br><br>Al Janabi, M.A.M., Arreola-Hernández, Jose, Berger, Theo, Khuong Nguyen, Duc, (2017), “Multivariate Dependence and Portfolio Optimization Algorithms under Illiquid Market Conditions”, European Journal of Operational Research, Vol. 259, No. 3, pp. 1121-1131.<br><br>Al Janabi, M.A.M. (2021a), “Is Optimum Always Optimal? A Revisit of the Mean-Variance Method under Nonlinear Measures of Dependence and Non-Normal Liquidity Constraints”. Journal of Forecasting, Vol. 40, No. 3, pp. 387-415.<br><br>Al Janabi, M.A.M. (2021b), “Multivariate Portfolio Optimization under Illiquid Market Prospects: A Rev","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"39 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86162564","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":"On the Assessment of Coherent Economic-Capital Structures","authors":"Mazin A. M. Al Janabi","doi":"10.2139/ssrn.1735187","DOIUrl":"https://doi.org/10.2139/ssrn.1735187","url":null,"abstract":"This research study analyses, from a fund manager’s perspective, the performance of liquidity adjusted risk modeling in obtaining optimal and coherent economic capital structures, subject to meaningful operational and financial constraints as specified by the fund manager. Specifically, the paper proposes a re-engineered and robust approach to optimal economic capital allocation, in a Liquidity-Adjusted Value at Risk (L-VaR) framework, and particularly from the perspective of trading portfolios that have both long and short trading. This paper expands previous approaches by explicitly modeling the liquidation of trading portfolios, over the holding period, with the aid of an appropriate scaling of the multiple-assets’ L-VaR matrix along with GARCH-M technique to forecast conditional volatility and expected return. Moreover, in this paper, the authors develop a dynamic nonlinear portfolio selection model and an optimization algorithm which allocates both economic capital and trading assets by minimizing L-VaR subject to the constraints that the expected return, trading volume and liquidation horizon should meet the budget limits set by the fund manager. The empirical results strongly confirm the importance of enforcing financially and operationally meaningful nonlinear and dynamic constraints, when they are available, on the L-VaR optimization procedure.<br><br><br>References and Further Reading:<br><br><br>Al Janabi, M.A.M., Ferrer, R., and Shahzad, S. J. H., (2019). “Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach”. Physica A: Statistical Mechanics and its Applications, Volume 536, Article 122579.<br><br>Al Janabi, M.A.M., Arreola-Hernández, Jose, Berger, Theo, Khuong Nguyen, Duc, (2017), “Multivariate Dependence and Portfolio Optimization Algorithms under Illiquid Market Conditions”, European Journal of Operational Research, Vol. 259, No. 3, pp. 1121-1131.<br><br>Al Janabi, M.A.M. (2021a), “Is Optimum Always Optimal? A Revisit of the Mean-Variance Method under Nonlinear Measures of Dependence and Non-Normal Liquidity Constraints”. Journal of Forecasting, Vol. 40, No. 3, pp. 387-415.<br><br>Al Janabi, M.A.M. (2021b), “Multivariate Portfolio Optimization under Illiquid Market Prospects: A Review of Theoretical Algorithms and Practical Techniques for Liquidity Risk Management”. Journal of Modelling in Management, Vol. 16, No. 1, pp. 288-309. <br><br>Al Janabi, M.A.M. (2014), “Optimal and Investable Portfolios: An Empirical Analysis with Scenario Optimization Algorithms under Crisis Market Prospects”, Economic Modelling, Vol. 40, pp. 369-381.<br><br>Al Janabi, M.A.M. (2015), “Scenario Optimization Technique for the Assessment of Downside-Risk and Investable Portfolios in Post-Financial Crisis”, Int. J. of Financial Engineering, Vol. 2, No. 3, pp. 1550028-1 to 1550028-28. <br><br>Al Janabi, M.A.M. (2013), “Optimal and Coherent Economic-Capital Structures: Evidence from Long and Short-Sales Tradin","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"48 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76754108","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":"Asset Market Liquidity Risk Management: A Generalized Theoretical Modeling Approach for Trading and Fund Management Portfolios","authors":"Mazin A. M. Al Janabi","doi":"10.2139/ssrn.1525787","DOIUrl":"https://doi.org/10.2139/ssrn.1525787","url":null,"abstract":"Asset market liquidity risk is a significant and perplexing subject and though the term market liquidity risk is used quite chronically in academic literature it lacks an unambiguous definition, let alone understanding of the proposed risk measures. To this end, this paper presents a review of contemporary thoughts and attempts vis-à-vis asset market/liquidity risk management. Furthermore, this research focuses on the theoretical aspects of asset liquidity risk and presents critically two reciprocal approaches to measuring market liquidity risk for individual trading securities, and discusses the problems that arise in attempting to quantify asset market liquidity risk at a portfolio level. This paper extends research literature related to the assessment of asset market/liquidity risk by providing a generalized theoretical modeling underpinning that handle, from the same perspective, market and liquidity risks jointly and integrate both risks into a portfolio setting without a commensurate increase of statistical postulations. As such, we argue that market and liquidity risk components are correlated in most cases and can be integrated into one single market/liquidity framework that consists of two interrelated sub-components. The first component is attributed to the impact of adverse price movements, while the second component focuses on the risk of variation in transactions costs due to bid-ask spreads and it attempts to measure the likelihood that it will cost more than expected to liquidate the asset position. We thereafter propose a concrete theoretical foundation and a new modeling framework that attempts to tackle the issue of market/liquidity risk at a portfolio level by combining two asset market/liquidity risk models. The first model is a re-engineered and robust liquidity horizon multiplier that can aid in producing realistic asset market liquidity losses during the unwinding period. The essence of the model is based on the concept of Liquidity-Adjusted Value-at-Risk (L-VaR) framework, and particularly from the perspective of trading portfolios that have both long and short trading positions. Conversely, the second model is related to the transactions cost of liquidation due to bid-ask spreads and includes an improved technique that tackles the issue of bid-ask spread volatility. As such, the model comprises a new approach to contemplating the impact of time-varying volatility of the bid-ask spread and its upshot on the overall asset market/liquidity risk.<br><br><br><br>REFERENCES AND FURTHER READING:<br><br>Al Janabi, M.A.M., Ferrer, R., and Shahzad, S. J. H., (2019). “Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach”. Physica A: Statistical Mechanics and its Applications, Volume 536, Article 122579.<br><br>Al Janabi, M.A.M., Arreola-Hernández, Jose, Berger, Theo, Khuong Nguyen, Duc, (2017), “Multivariate Dependence and Portfolio Optimization Algorithms under Illiquid Market Condit","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"18 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82878026","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":"The Price of Populism: Financial Market Outcomes of Populist Electoral Success","authors":"Sebastian Stöckl, Martin Rode","doi":"10.2139/ssrn.3728553","DOIUrl":"https://doi.org/10.2139/ssrn.3728553","url":null,"abstract":"Abstract Following financial research on the importance of public policy for asset prices, we hypothesize that the success of populist movements impacts risk assessments in financial markets. Building a novel dataset, findings show for a sample of Western democracies that the success of populist parties has a direct impact on volatility in major domestic market indexes, measured from option prices spanning national elections. Despite its anti-capitalist rhetoric, the political insecurity generated by populist movements on the far left only partially translates into financial insecurity in the context of institutionalized democracies. In turn, we find the electoral success of right-wing populists to reduce risk assessments, which could be driven by its frequent association with rent-seeking and big business.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"os-50 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87359803","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 Discretionary Decision-Making Impacts the Financial Performance and Legal Disclosures of S&P 500 Funds","authors":"Bernard S. Sharfman, Vincent Deluard","doi":"10.2139/SSRN.3794306","DOIUrl":"https://doi.org/10.2139/SSRN.3794306","url":null,"abstract":"When investment funds track the S&P 500, the index becomes more than just a list of 500 companies. The focus then turns to the financial and regulatory issues that arise from the discretionary decision-making of the Index Committee that governs the S&P 500. The discussion of these issues and their implications should be of extreme interest to both investors and regulators. Such discretionary decision-making is not illegal and from a business perspective it may be required. For example, if the Index Committee wants to exclude companies with dual class shares, that is its right. However, it needs to be disclosed to investors in S&P 500 funds that sub-optimal returns may result. \u0000 \u0000Based on our empirical research and analysis, we recommend a new principal risk disclosure under SEC Form N-1A, which we refer to as “selection risk,” that is to be included in the statutory and summary prospectuses of investment funds that track the S&P 500. It is a risk that results when the Index Committee uses its discretionary decision-making to exclude stocks or group of stocks which may outperform the index and not allow S&P funds to create portfolios of stocks which most accurately represent the market risk and expected returns of large cap, Blue Chip America. This new disclosure will provide investors with the necessary information to evaluate whether index funds that track the S&P 500 are appropriate for their investment needs. Moreover, we argue that the S&P 500 index is no longer an appropriate broad-based securities market index for purposes of Form N-1A benchmarking. \u0000 \u0000Our paper makes contributions to the literature on index managers and the SEC’s disclosure policy for open-end investment management companies. Most importantly, it will help guide the investment decisions of tens of millions of investors who are currently invested in, or are considering investing in, funds that track the S&P 500.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"21 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81592078","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":"Recency Bias and the Cross-Section of International Stock Returns","authors":"Nusret Cakici, Adam Zaremba","doi":"10.2139/ssrn.3832358","DOIUrl":"https://doi.org/10.2139/ssrn.3832358","url":null,"abstract":"Investors often focus on recent information only, underestimating the relevance of data from the distant past. In consequence, the ordering of historical returns reliably predicts future stock performance in the cross-section. Using data from 49 countries, we comprehensively examine this anomaly within international markets. The average return differential between the high and low deciles of global stocks sorted on chronological return ordering equals 0.91% per month. The effect is distinctly robust and prevails among the biggest companies. The mispricing is particularly strong in countries characterized by high individualism and shareholder protection. Furthermore, it is concentrated following down markets and periods of excessive volatility.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"46 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76588664","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":"Best Ideas","authors":"Miguel Antón, Randolph B. Cohen, Christopher Polk","doi":"10.2139/ssrn.1364827","DOIUrl":"https://doi.org/10.2139/ssrn.1364827","url":null,"abstract":"We find that the stocks in which active mutual fund or hedge fund managers display the most conviction towards ex-ante, their “Best ideas,” outperform the market, as well as the other stocks in those managers' portfolios, by approximately 2.8 to 4.5 percent per year, depending on the benchmark employed. The vast majority of the other stocks managers hold do not exhibit significant outperformance. Thus, the organization of the money management industry appears to make it optimal for managers to introduce stocks into their portfolio that are not outperformers. We argue that investors would benefit if managers held more concentrated portfolios.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"21 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74449096","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":"REIT Capital Structure Choices: When Does Preparation Matter?","authors":"Desen Lin, Andrey Pavlov, Eva Steiner, Susan M. Wachter","doi":"10.2139/ssrn.3830948","DOIUrl":"https://doi.org/10.2139/ssrn.3830948","url":null,"abstract":"Pavlov, Steiner and Wachter (2018) find that REITs which prepared by reducing leverage and extending maturity prior to the 2007-2009 financial crisis outperformed their peers during the crisis, a result that holds in the presence of leverage and maturity level controls. While the authors document this finding, they are unable to identify its cause. The recent COVID-related market downturn and subsequent recovery offers a unique opportunity to extend this work and to test for why leverage adjustments before a crisis matter. Specifically, we document that the capital structure adjustments that have strong predictive power for the 2007-2009 financial crisis returns have no impact on the REIT returns during the COVID pandemic of 2020. The relevant difference between the two events is that the 2007-2009 financial crisis was largely predictable, especially for members of the real estate industry, while the COVID pandemic was truly unpredictable. Therefore, preparation prior to the 2007-2009 crisis was seen as a signal for managerial competence, but had no information value during the recent pandemic. In other words, managers are expected to prepare for changes in the external environment if and only if those changes are predictable.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"18 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86748120","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}