Showing papers on "Investment management published in 2022"

Luxembourg and Ireland in global financial networks: Analysing the changing structure of European investment funds

Abstract: Using a unique database on investment funds and the conceptual framework of global financial networks, this paper examines the spatial structure of the European investment fund industry, with particular focus on Luxembourg and Ireland. Grounded in financial and economic geography, the paper shows how these countries became the leading investment fund domiciles through a mixture of structural factors and agency enabling a fast and flexible implementation of the European Directive on the Undertakings for the Collective Investment in Transferable Securities (UCITS) of 1985, and the cultivation of the investment fund industry ever since. In the process, Luxembourg and Ireland have built on and developed their functions as offshore jurisdictions and international financial centres, both sustained by their governments and regulatory agencies. The analysis of the functional structure of investment funds and their networked geography reveals the increasingly dominant position of London as the investment management centre for the industry, and the increasing concentration of control by large asset management firms. Stripped to its basics, the geography of European investment fund networks is about large, mainly US, asset management firms, creating and managing funds in Luxembourg and Ireland, and investing money through London. As such, the rise of European investment funds can be seen as an example of European financial integration through Americanisation. The Luxembourg and Irish investment fund industry are connected mainly through London and New York, and thus function as satellites of the NY-LON axis, rather than a Luxembourg-Dublin axis in international finance. Overall, the paper demonstrates that studying this seemingly arcane industry, and the role of two small countries in it, reveals much about the nature of financial globalisation.

Attributes and performance of fund management companies: evidence from the largest shariah-compliant fund markets

Abstract: Background and Purpose: The study examines the effect of fund management companies’ (FMCs) attributes on FMC performance in the four countries with the largest number of Islamic funds from 2007 to 2018. Methodology: The study uses pooled regression analysis on 70 FMCs, comprising Saudi Arabia (25), Malaysia (20), Indonesia (14) and Pakistan (11). The sample is further divided into FMC with Islamic funds focused (IFFMC) and conventional funds focused (CFFMC). Findings: Only past flows are insignificantly related to performance. Both proxies for size positively relate to returns, but only in the case of Saudi Arabia. In Pakistan, performance improves with assets under management (AUM), while in Malaysia and Indonesia, an increasing number of funds negatively relate to performance. A relatively high number of better performing funds positively affect FMC and vice versa. Additionally, there are significant differences in the factors determining IFFMC and CFFMC performance, with the number of funds and AUM positively affecting the performance of IFFMC but not CFFMC. Poorly performing funds adversely affect CFFMC but not IFFMC. Contributions: This study provides useful information for investors using a top-down approach to FMC then fund selection, and for managers in evaluating the impact of factors like FMC scale and scope on performance. The impact of these attributes differs between CFFMCs and IFFMCs which lies in the performance differences commonly observed, at the FMC and fund level. Keywords: Islamic funds management industries, Islamic mutual fund, fund performance, Islamic finance. Cite as: Marzuki, A., Bani Atta, A. A., & Worthington, A. (2022). Attributes and performance of fund management companies: Evidence from the largest Shariah-compliant fund markets. Journal of Nusantara Studies, 7(1), 114-141. http://dx.doi.org/10.24200/jonus.vol7iss1pp114-141

Optimal Pension Fund Management with Foreign Investment in a Stochastic Environment

Abstract: To ensure the success of a pension plan under a self-contained defined contribution (DC) retirement plan, the inclusion of foreign assets in a local pension portfolio could be beneficial for risk diversification and the efficient improvement of a fund’s investment performance during its accumulation phase. This study focuses on developing international asset allocation criteria for a DC pension plan; accordingly, we consider risk exposure relative to stochastic interest rates and ex- change rates with minimum guarantees. An arbitrage-free framework, namely, the cross-currency Heath–Jarrow–Morton interest rate model, is introduced in dynamic optimization programming for the DC pension fund. The proposed solution based on the generalized stochastic framework provides tractable and appropriate criteria for the dynamic allocation of a DC pension fund. The constituents of the optimal solution can reflect changes in investment lifecycles and shifts in risk preferences during the accumulation phase of a DC pension plan.

The Multifactor Quantitative Investment Model Based on Association Rule Mining and Machine Learning

Abstract: The security information database has accumulated a large amount of historical data due to the continuing development of the securities market. People are concerned about how to fully utilize these data to investigate the securities market’s law. In the financial field, financial asset pricing is a major issue. To some extent, the size of the return is determined by the difference between asset prices and their intrinsic value. The total global investment scale of quantitative funds will surpass 20 billion yuan by the end of 2021. Global asset management firms have turned to quantitative funds as their most important investment tool. Quantitative investment applies a specific investment idea to a specific model by creating specific indicators and parameters and then executes the investment strategy, greatly increasing the breadth and depth of investment. The goal of investors is to understand risk and maximize returns on investment. Researchers and investors alike value quantitative investment because of its scientific and efficient operation. In quantitative stock selection, a multifactor stock selection model is a critical tool for building a portfolio. This paper builds a multifactor investment strategy based on the relevant factors of corporate finance and valuation, selects the portfolio, and calculates the excess return using a machine learning classification algorithm.

REIT Unit Investment Trusts and Fund Manager Skill

Abstract: This article examines fund manager skill using a sample of real estate investment trust unit investment trusts (REIT UITs). Since REIT UITs are limited to a single industry and since the fund managers do not trade, REIT UITs present an ideal sample to study fund manager stock-selection skill. Using a hand-collected sample of REIT UITs from May 2009 to July 2015, this article finds that REIT UITs do not deliver a statistically significant positive alpha. This is the first article to investigate fund manager stock-selection skill in REIT UITs and contributes to the literature evaluating the effectiveness of active fund management.

Perbandingan kepentingan antara dana darurat dan dana pensiun beserta pengelolaannya

Abstract: AbstractLack of society’s awareness related to financial planning will have an impact on financial needs, both short-term and long-term financial goals. In meeting these financial needs, two types of funds that must be known are emergency fund and pension fund. The purpose of this study is to describe the level of importance of emergency fund and pension fund and how to manage them so that people are supposed to be aware and start thinking about their readiness and plan to fulfill the two funds. This study uses descriptive qualitative analysis with a scientific approach based on valid and reliable sources according to the facts on the ground. The results of the research discussion emphasize that the society must first understand their financial needs so that their management can run optimally and sustainably. In an emergency fund, the placement of funds must be in liquid and short-term financial instruments. Whereas in pension fund, the placement of fund can be done in long-term financial instruments as the fund will only be used when old age. Various financial instruments that can be used as placements for emergency and pension funds, namely time deposits, money market mutual funds, gold, stocks and bonds.Keywords: emergency fund; pension fund; management; investment. AbstrakKurangnya kesadaran masyarakat terkait dengan perencanaan keuangan akan berdampak pada kebutuhan finansial, baik itu tujuan keuangan jangka pendek maupun panjang. Dalam memenuhi kebutuhan finansial tersebut, dua jenis dana yang harus diketahui adalah dana darurat dan dana pensiun. Tujuan dalam penelitian ini adalah untuk mendeskripsikan tingkat kepentingan dana darurat dan dana pensiun serta cara mengelolanya sehingga masyarakat diharapkan dapat sadar dan mulai memikirkan kesiapan serta rancangannya dalam memenuhi kedua dana tersebut. Penelitian ini menggunakan analisis kualitatif deskriptif dengan pendekatan ilmiah yang didasari sumber valid serta reliabel sesuai dengan fakta di lapangan. Hasil pembahasan penelitian menegaskan bahwa masyarakat harus memahami terlebih dahulu kebutuhan finansial mereka supaya pengelolaannya dapat berjalan secara optimal dan berkelanjutan. Pada dana darurat, penempatan dananya harus pada instrumen keuangan yang likuid dan berjangka pendek. Sedangkan pada dana pensiun, penempatan dananya dapat dilakukan pada instrumen keuangan yang bersifat jangka panjang sebagaimana dana hanya akan terpakai ketika masa tua. Berbagai instrumen keuangan yang dapat dijadikan penempatan dana darurat yang bersifat dan pensiun, yaitu deposito, reksadana pasar uang, emas, saham dan obligasi.Kata kunci: dana darurat; dana pensiun; pengelolaan; investasi.

Lily Jin

Abstract: Merely 1 in 10 C-level positions in the asset management and broader finance industry are filled by women. This statistic doesn't just apply to the very top of the corporate ladder: women make up 14% of all fund managers and 18% of total employees in private equity. Women on Wall Street, in the investment management industry, and the international finance industry often face an increased unique structural challenge as the industry typically thrives on, and rewards, traits that are associated with men. From New York to Beijing, Lily Jin used her investment career experiences, resources, and influence to pave the way for women in the broader finance and asset management industry by founding a community and mutual assistance platform called HerValue. The sole mission of HerValue is to advance women's representation and development in the broader finance and asset management industry in China. She has been joined by the 2021 HerValue working group and HerValue's management team in 2022 to actively build the community and achieve its mission.

Inter‐temporal mutual‐fund management

Abstract: Traditionally, mutual funds are mostly managed via an ad hoc approach, namely a terminal‐only optimization. Due to the intricate mathematical complexity of a continuum of constraints imposed, effects of the inter‐temporal reward for the managers are essentially neglected in the previous literature. For instance, the inter‐temporal optimal investment problem from the fund manager's viewpoint, who earns proportional management fees continuously (a golden rule in practice), has been outstanding for long. This article completely resolves this challenging question especially under generic running and terminal utilities, via the Dynamic Programming Principle which leads to a nonconventional, highly nonlinear HJB equation. We develop an original mathematical analysis to establish the unique existence of the classical solution of the primal problem. Further numerical calibrations and simulations for both the portfolio weight and the value functions illustrate the robustness of the optimal portfolio towards the manager's risk attitude, which allows different managers with various risk characteristics to sell essentially the same investment vehicle. Simulation studies also indicate that the policy of charging a substantial terminal‐only management fee can be replaced by another one with only a negligible amount over the interim period, which substantially reduces the total management fee paid by the clients without lowering the manager's satisfaction at all; this last observation echoes the magic of the alchemy of finance.

Pengaruh Compound Annual Growth Rate, Drawdown, Expense Ratio, Dan Total Asset Under Management Terhadap Pengambilan Keputusan Berinvestasi Pada Dana Reksa

Abstract: This study aims to determine the effect of compound annual growth rate, drawdown, expense ratio, and total asset under management on student investment decisions in mutual fund products. The type of research used in this study is non-case quantitative research. The sample in this study found 92 samples obtained from filling out questionnaires via google forms to students who are belonging to the investment group on telegram social media. The sampling method used is a purposive sampling method with the criteria that students are active, interested in investing in mutual funds, and have invested in mutual funds. Based on the regression analysis, the compound annual growth rate and total asset under management have a positive and significant effect on student investment decisions in mutual fund products, while the drawdown and expense ratio variables have no effect on student investment decisions in mutual fund products.

Implementasi pengelolaan dana desa dalam meningkatkan perekonomian masyarakat di kampung kemiri distrik makki kabupaten lanny jaya

Abstract: The purpose of this study is to find out how the implementation of Village Fund management in Kemiri Village, Makki District, Lanny Jaya Regency, to find out how productive economic business is in Kemiri Village, Makki District, Lanny Jaya Regency. And to find out whether the implementation of Dana Desa (DD) management in Kemiri Village can improve the community's economy. This study aims to analyze the implementation of Village Fund Management in Improving the Community Economy in Kemiri Village, Makki District, Lanny Jaya Regency in 2020 and analyze the obstacles that hinder the implementation of Village Fund Management in Improving the Community Economy in Kemiri Village in 2020. The author uses qualitative research methods with 10 key informants and data sources in the form of documents and researchers as research instruments to obtain data that meets the requirements in writing this scientific paper. The results of this study indicate that: a). Implementation of Village Fund Management in Improving the Community Economy in Kemiri Village, Lanny Jaya Regency in 2020, which includes indicators: Effectiveness, Efficiency, Adequacy, Equity, Responsiveness and Accuracy has been going well, although there are still people who are not satisfied with the implementation of the Village Fund program in improve the economy of the people in Kemiri Village in 2020. b). The obstacles to implementing Village Fund management in Improving the Community Economy in Kemiri Village, Makki District include: psychological constraints on the distribution of village funds that are not in accordance with technical guidelines/or lacking, the market field is difficult to predict for external markets, political constraints of the Regency Government, District Government, Government The village is not consistent in the funding ceiling available for serious realization in the village but there is budget politics, the village government's authority does not run optimally, practical political factors during the election are a measure of the distribution of village funds, resource constraints all SPJ (Surat Pertanggung Jawaban) is regulated by District Government because the Human Development Index in Kemiri Village is still low in special skills, there is no reality, this can be seen in the realization of the distribution budget for non-physical village funds, which is more than for physical development.

To the theoretical and methodological aspects of state management of investment activities

Abstract: Discussed are the debatable issues of determining priority areas for the development of state management of investment activities in modern market conditions, which in turn helps to strengthen the methodological base for studying the problems of creating an effective system of state investment management.

Practical Applications of “An Index Isn’t a Fiduciary” and What That Means for Active Management

Abstract: In “An Index Isn’t a Fiduciary” and What That Means for Active Management, from the Spring/Summer 2021 issue of The Journal of Index Investing, author Adam L. Berger (of Wellington Management) critiques widely held views about active versus passive investing. Nowadays, many investors avoid actively managed funds, which they view as having a limited and unrealistic purpose: trying to beat the average performance of the market, net of management costs. But active investing also has a fiduciary purpose; investment managers must allocate assets in ways that align with their clients’ goals. Passive investments like index funds are designed merely to match a performance benchmark while minimizing costs, with no thought of alignment. Berger says the “active vs. passive” debate misses the mark because investors may benefit from both strategies. Investors can take a fiduciary approach to choosing investments by considering whether a market capitalization–weighted index is aligned with their goals or whether a manager can construct a better-aligned portfolio, after costs. Different investors have different goals, so treating passive investing as the default option ignores the important fiduciary purpose of active investing.

Pengaruh efektivitas manajemen dana desa terhadap pembangunan ekonomi masyarakat (studi kasus di desa kalikayen)

Abstract: One of the government programs in supporting rural development is by issuing Village Funds as a source of village income. The Village Fund Allocation (ADD) provided, in principle, must adhere to the principles of accountability, transparency and participation and efficiency. This study examines the Village Fund in the Kalikayen region. The reason for taking the location is referring to previous research which says that Kalikayen Village is a village in which the village fund management is in accordance with the rules that apply in its management process. For this reason, the purpose of this study was to determine the relationship between Village Fund Management and the Economic Development Level of the Kalikayen Village Community. This analysis is carried out with a simple regression analysis method, with secondary data obtained from literature and primary data obtained from surveys, questionnaires and observations on the intended object. Statistical test results using SPSS, generated data that the R Square test results were found to be 0.181, this implies the meaning that the influence of village fund management variables on economic development variables is 18.1%. While the remaining 81.9% is explained by other unknown factors or variables in this study such as the enthusiasm of the residents, the leadership capacity of the village head, and others. Statistical test results prove that the village fund management variable (X) obtained sig value greater than 0.05 (0.114> 0.05). This means that the Hypothesis (Village Fund Management on Economic Development) which states that village fund management has a positive and significant effect on economic development is not accepted because to several factors including the village government is still focused on infrastructure development.

Reflections on Professional Ethics in Investment Management and Pension Fund Investment Consulting

Abstract: This article is a travelogue of sorts. The author shares with the reader two of his ethical journeys. The first part of the article describes a set of lessons derived from having interviewed 25 senior investment professionals about ethical dilemmas they faced in their careers and how they view the state of ethics in our field. The second part provides a detailed ethical analysis of a single issue: what should investment professionals do if they believe a client has an illusory understanding of his or her financial condition? The author discusses that specifically in the context of investment professionals who advise public and Taft–Hartley pension funds.

A Study on the Influence of Fund Manager's Appearance and Ability on Fund Performance

Abstract: Recently, investment of fund has become more and more popular. The fund manager plays a very important role in the process of fund management. This paper takes China's common stock fund as research sample, focusing on the impact of the personal characteristics of fund managers, including appearance and ability, to study the influence of fund manager's appearance and ability on fund performance. The results show that appearance and ability have a significant positive effect on fund manager performance. Therefore, this paper has reference and practical significance for investors to choose excellent fund managers.

False Pretenses in Institutional Asset Management

Abstract: From an initial position engaging mainly in ex post portfolio performance monitoring, investment consultants have come to occupy the central ex ante roles in conventional arrangements, advising on objectives, strategy, asset management structure, and portfolio management selection in the five-stage process that constitutes the standard model. The author identifies the theoretical, empirical, and regulatory factors that facilitated this fundamental change, which cannot be accommodated in the existing literature. As consultants can no longer be regarded as agents but are, in effect, either quasi-principals or principals, the author examines whether they have the skills necessary to execute these enhanced responsibilities, concluding that they do not. So, clients following consultants’ recommendations may be allocating assets on false pretenses, as one recent empirical study suggested. Demonstrating that investment consultants, not asset managers, have become the dominant players in the investment chain, the author’s analysis produces other uncomfortable conclusions from the conventional perspective: first, that regulators and consultants are in a symbiotic relationship, and second, that asset management is necessarily characterized by asymmetric information but consultants are powerless to address it.

Proposals of methodologies for the assessment of risks from the atypical situations in the investment fund management activity

Abstract: The aim of the NIER international conference ”Economic Scientific Research - Theoretical, Empirical and Practical Approaches”- ESPERA, initiated in 2013 by the ”Costin C. Kirițescu” National Institute for Economic Research (NIER), is to present and evaluate the economic scientific research portfolio, to argue and substantiate the Romanian development strategies - including European and global best practices. The 2020 edition of the Conference will be held on 26th -27th November, under the title: ”30 Years of Inspiring Academic Economic Research – From the Transition to a Market Economy to the Interlinked Crises of 21st Century”. The event, dedicated to the 30th anniversary of NIER and its economic research network of its return under the auspices of the Romanian Academy, will include a scientific program of wide diversity initiatives, bringing together researchers from all NIER institutes and centres, members of the Romanian Academy, Romanian academic researchers and also guests from other countries. Researchers are encouraged to present articles on economic scientific research that they have focused on most over the past 30 years, summarizing as much as possible paradigm shifts and dialogue between currents of thought, developments and trends in national, European and international economic realities. The recent developments

Study of the Skills of Balanced Fund Managers in Poland

Abstract: The market timing is one of the active methods used by portfolio managers to do their investments more effective. It allows to separate management skills on a micro and macro scale. The market timing applies to the appropriate selection of assets for the portfolio and the right moment to change its structure. The aim of the presented research was to check whether the managers of balanced open-end mutual funds operating on the Polish market apply market timing skills. Nine balanced funds have been accepted for the research, which have existed since at least 2003 year. The research period covered the years 2003-2019. WIBOR 1M was used as the risk-free rate, and the market factors were the main WSE indexes. The research was first conducted based on basic market timing research models, i.e. the Henriksson-Merton and Treynor-Mazuy. Then, these models were expanded to include factors related to the bond market. The Henriksson-Merton and Treynor-Mazuy models and their extensions with additional factors were compared among themselves. Studies show that models with additional factors have proven to be more appropriate for balanced open-end mutual funds. It has occurred that regardless of the model used, market timing skills were similar. In most cases the fund managers did not achieve higher results than the results of the relevant benchmark. Managers tried to follow the trend rather than anticipate it. In most cases, there was also no ability to select assets or market-timing. Most of the parameters standing by these variables were not statistically significant.