Showing papers on "Investment management published in 1991"

Bond performance analysis: A multi-factor approach

Abstract: 40 w P erformance analysis focuses on the central goal 9 f: S of investment management: achieving superior performance. Most simply, was the portfolio up or down? More sophisticated, did the portfolio beat the market? Most sophisticated, what specific bets paid off, does the pattern of winning bets show evidence of manager skill, and, given some demonstrated level of skill, did the manager add value? Performance analysis is important both for pension fund sponsors and for investment managers. Sponsors use performance analysis to monitor their investment managers. They need to know the skill and value-added of their managers. They also need to monitor manager styles to insure a proper fit between different managers. Investment managers use performance analysis to monitor and hone their investment strategies. This article presents a rigorous and systematic multi-factor approach to performance analysis as applied to fixed-income investments. A multi-factor model can measure the return generated by each factor, and can forecast the ex ante risk of each factor's return.' Such an approach to bond performance analysis allows detailed identification of the sources of return, as well as analysis of the statistical significance of those returns. Previous approaches to bond performance analysis have focused on a limited attribution of return to different investment factors, and have not 4 attempted a statistical analysis of the significance of the returns. (See, for example, Fong, Pearson, and Vasicek [19831, and Fong et al. [19911.) After briefly introducing the multi-factor framework, I present two separate components of performance analysis in turn: single-period performance attribution and multi-period performance analysis. Single-period performance attribution identifies the sources of exceptional return in each period. Multiperiod performance analysis investigates the series of single-period attributed re turns in order to separate skill from luck.

Investment management fees and determinants of pricing structure in the industry

Abstract: If we look more closely at the conditions that must be fulfilled in order to produce perfect competition, we realize immediately that outside of agricultural mass production there cannot be many instances of it. A farmer supplies his cotton or wheat in fact under those conditions: from his standpoint the ruling prices of cotton or wheat are data, though very variable ones, and not being able to influence them by his individual action he simply adapts his output; since all farmers do the same, prices and quantities will in the end be adjusted as the theory of perfect competition requires. But this is not so even with many agricultural products with ducks, sausages, vegetables and many dairy products for instance. And as regards practically all the finished products and services of industry and trade, it is clear that every grocer, every filling station, every manufacturer of gloves or shaving cream or handsaws has a small and precarious market of his own which he tries must try to build up and to keep by price strategy, quality strategy \"product differentiation\" and advertising. Thus we get a completely different pattern which there seems to be no reason to expect to yield the results of perfect competition and which fits much better into the monopolistic schema. In these cases we speak of Monopolistic Competition.

A City Perspective on Environmental Audits

Abstract: Financial institutions, banks, insurance and fund management companies are starting to use environmental audits as management tools. As more attention is given to the environment, fund managers will become anxious to monitor the environmental performance of the companies in which they invest. One effective tool in monitoring environmental performance is the environmental audit. They not only highlight the environmental risks but also indicate business opportunities. In order to monitor the investments on the Commercial Union Environmental Exempt Pension Fund, the “Outline System for Good Environmental Management” and the “Environmental Management Check List” has been developed. The latter is intended to focus the attention of analysts and fund managers on key aspects of good environmental management.