Fund Management Companies Research Articles

Intelligent portfolio asset prediction enabled by hybrid Jaya-based spotted hyena optimization algorithm

Purpose The purpose of this study is to provide a novel portfolio asset prediction by means of the modified deep learning and hybrid meta-heuristic concept. In the past few years, portfolio optimization has appeared as a demanding and fascinating multi-objective problem, in the area of computational finance. Yet, it is accepting the growing attention of fund management companies, researchers and individual investors. The primary issues in portfolio selection are the choice of a subset of assets and its related optimal weights of every chosen asset. The composition of every asset is chosen in a manner such that the total profit or return of the portfolio is improved thereby reducing the risk at the same time. Design/methodology/approach This paper provides a novel portfolio asset prediction using the modified deep learning concept. For implementing this framework, a set of data involving the portfolio details of different companies for certain duration is selected. The proposed model involves two main phases. One is to predict the future state or profit of every company, and the other is to select the company which is giving maximum profit in the future. In the first phase, a deep learning model called recurrent neural network (RNN) is used for predicting the future condition of the entire companies taken in the data set and thus creates the data library. Once the forecasting of the data is done, the selection of companies for the portfolio is done using a hybrid optimization algorithm by integrating Jaya algorithm (JA) and spotted hyena optimization (SHO) termed as Jaya-based spotted hyena optimization (J-SHO). This optimization model tries to get the optimal solution including which company has to be selected, and optimized RNN helps to predict the future return while using those companies. The main objective model of the J-SHO-based RNN is to maximize the prediction accuracy and J-SHO-based portfolio asset selection is to maximize the profit. Extensive experiments on the benchmark datasets from real-world stock markets with diverse assets in various time periods shows that the developed model outperforms other state-of-the-art strategies proving its efficiency in portfolio optimization. Findings From the analysis, the profit analysis of proposed J-SHO for predicting after 7 days in next month was 46.15% better than particle swarm optimization (PSO), 18.75% better than grey wolf optimization (GWO), 35.71% better than whale optimization algorithm (WOA), 5.56% superior to JA and 35.71% superior to SHO. Therefore, it can be certified that the proposed J-SHO was effective in providing intelligent portfolio asset selection and prediction when compared with the conventional methods. Originality/value This paper presents a technique for providing a novel portfolio asset prediction using J-SHO algorithm. This is the first work uses J-SHO-based optimization for providing a novel portfolio asset prediction using the modified deep learning concept.

Analiza efikasnosti finansijskih institucija u Srbiji na bazi OCRA metode

Recently, as is well known, the performance and efficiency of financial institutions are increasingly being measured on the basis of multi-criteria analysis. With this in mind, this paper analyzes the efficiency of financial institutions in Serbia based on the OCRA method. In this context, adequate measures have been proposed to improve the efficiency of financial institutions in Serbia in the future. Based on the obtained results of research on the efficiency of financial institutions in Serbia using the OCRA method, it can be concluded that banks and insurance companies are the most efficient in order. They are in order: other financial institutions, financial leasing providers, voluntary pension funds, broker-dealer companies, open-end investment funds, voluntary pension fund management companies and investment fund management companies. This positioning of financial institutions in Serbia was influenced by numerous macro and micro factors. The development of the financial market plays a significant role in this. It is still not at the level of developed market economies.

Institutional Trading around FOMC Meetings: Evidence of Fed Leaks

Using detailed institutional transaction records from Ancerno, I find evidence consistent with informed trading on the days before the Federal Open Market Committee (FOMC) scheduled announcements. The institutional trading imbalances on highly exposed stocks are in the direction of the subsequent monetary policy surprises. On the three days before a 1% surprise rate increase, the institutional trading imbalance is 27.7% higher for high-MPE stocks as compared to low-MPE stocks. This result is particularly strong before easing monetary policy shocks - when the aggregate market reaction is positive -, for the most-active traders and the hedge fund management companies, and for the US institutions that are headquartered close to one of the regional reserve banks. It holds throughout the Ancerno's sample, from 1999 to 2014. Overall, these findings are consistent with a hypothesis of a systematic informal communication of Fed officials with the financial sector, provide an additional channel through which institutions make abnormal profits from their intra-quarter trades, and contribute to an information-based explanation of the pre-FOMC drift.

Introduction to a Special Issue of the Financial Planning Review on financial technology

Introduction to a <i>Special Issue</i> of the <i>Financial Planning Review</i> on financial technology

Luxembourg Fund Data Repository

In this paper, we introduce the Luxembourg Fund Data Repository, a novel database of investment funds available for academic research that was created at the Department of Finance of the University of Luxembourg. The database contains the population of Undertakings for Collective Investment in Transferable Securities funds domiciled in Luxembourg from the starting month of their existence (March 1988) to October 2016. The fund characteristics are organized in a comprehensive database architecture encompassing static and dynamic data over the entire life of the funds. The characteristics include fund identifiers, official name, status information, management company and other service providers, daily and monthly performance time-series, portfolio holdings, classification of investment objective, fees, dividends, and cash flows. The database was constructed after collecting and assembling complementary historical information from three data providers. Importantly, funds no longer in existence due to liquidation or mergers are included in the database, preventing survivorship bias. The database has been constructed to serve as a research dataset of high accuracy due to the maximization of population coverage, the maximization of historical coverage, and validation by using information acquired from the supervisory authority of the financial sector of Luxembourg. License currently available to researchers of the Department of Finance of the University of Luxembourg. Future plans for extending accessibility to the global academic community.

Funds Manager and Mutual Funds Characteristics on Mutual Funds Performance: Empirical Evidence of Equity Mutual Funds in Indonesia

This study examines the effect of investment fund managers' characteristics in the form of tenure, and mutual fund characteristics with proxy turnover portfolios, market timing and stock selectivity on the performance of stock mutual funds. The research sample is 27 stock mutual funds in Indonesia that were active from 2013 to 2017. On the analysis of the relationships between the characteristics of investment managers and mutual funds characteristics on the performance of stock mutual funds, a series of OLS regressions were run. The panel data regression was included based on using the Eviews. All of the above were aimed at achieving portfolio optimization and realizing the maximization of the interests for fund management companies and investors. The main findings are as follows. Tenure does not affect the performance of stock mutual funds during the years 2013 to 2017, but if divided into 2 quadrants of tenure, namely tenure over 19 years and tenure under 19 years of work, the result is that tenure over 19 years has a positive effect on the performance of stock mutual funds, but tenure brought 19 years has no effect on the performance of equity funds, whereas mutual funds characteristics, which are proxied by portfolio turnover, market timing and stock selectivity, have a significant positive effect on the performance of equity funds in Indonesia. The primary limitation in the scope is the sample, because stock mutual funds that publish consistently Financial statements between 2013 and 2017 are few in number. These findings have important implications for fund management companies as input material that the investment strategy of the investment management team affects the performance of equity funds compared to the characteristics of investment managers with proxies for years of service. This paper proposes a new perspective to evaluate the relationship between the fund manager and mutual funds characteristicsanddivide 2 groups of working years, and calculate them with non-linear models.

PERSONAL INVESTMENTS IN INVESTMENT FUNDS LISTED ON BANJA LUKA STOCK EXCHANGE

The goal of this research is to determine possibility of investing individual personal financial assets in investments funds in Republic of Srpska and does households have financial assets that can be invested. In this research capital market of Republic of Srpska is represented, the structure and organization of Banja Luka Stock Exchange, and legal framework for investment fund management companies. The volume of activity in investment funds is shown in presentation of activity Banja Luka Stock Exchange, following with the assumed reasons of current status.

The Growing Importance of Secondary Market Activities for Open-End Real Estate Fund Shares in Germany

Shares of open-end real estate funds are typically traded directly between the investor and the fund management company. However, we provide empirical evidence for the growth of secondary market activities, i.e., the trading of shares on stock exchanges. We find high trading levels in situations where the fund management company suspends the issue or redemption of shares. Shares trade at a discount when the fund management company suspends the redemption, whereas shares trade at a premium when the fund management company suspends the issue. We also find evidence that secondary market trading activity is increasing since German regulation introduced a minimum holding period and a mandatory notice period for open-end real estate funds.

The Growing Importance of Secondary Market Activities for Open-end Real Estate Fund Shares in Germany

Shares of open-end real estate funds are typically traded directly between the investor and the fund management company. However, we provide empirical evidence for the growth of secondary market activities, i.e., the trading of shares on stock exchanges. We find high trading levels in situations where the fund management company suspends the issue or redemption of shares. Shares trade at a discount when the fund management company suspends the redemption, whereas shares trade at a premium when the fund management company suspends the issue. We also find evidence that secondary market trading activity is increasing since German regulation introduced a minimum holding period and a mandatory notice period for open-end real estate funds.

Shariah governance practices at Islamic fund management companies

PurposeThe purpose of this paper is to explore the Shariah governance practices of Islamic fund management companies (IFMCs) in Malaysia, with the principal goal of reviewing the need for a comprehensive Shariah governance framework for the Islamic fund management industry.Design/methodology/approachThe study was conducted using a qualitative approach via 14 semi-structured interviews with three companies (i.e. Company A, Company B and Company C) involving face-to-face interviews, telephone interviews and emails. Data from the interviews were recorded and later analysed using content analysis.FindingsThe study finds that Shariah governance processes among the IFMC examined are well-managed; and the current regulations issued by the regulators are sufficient to ensure the Shariah compliance of Islamic fund management industry. In spite of the absence of a comprehensive Shariah governance framework for the industry, most Shariah functions (i.e. Shariah risk management, Shariah review and Shariah audit) are performed by the parent company, except for Shariah research. Nevertheless, Shariah research is not an important function in Islamic fund management because the investment instruments are generally selected from a predetermined list of Shariah-compliant investment options.Practical implicationsThe study offers an overview of Shariah governance practices in the Islamic fund management industry to policymakers and practitioners for the future development of Shariah governance practices among IFMC.Originality/valueThis is the first paper to study Shariah governance practices in the Islamic fund management industry in Malaysia.

Understanding the Motivation to Invest: A Profile Analysis of Islamic Funds’ Investors

This paper seeks to provide a preliminary profile analysis of investors of Islamic funds based on their underlying motivation to invest, which at present received little interest in the literature. The experience of faith-based and socially responsible investment clearly reveals the heterogeneity of investors with divergent investment motives, and this is highly likely to be true among Islamic funds’ investors as well. For this purpose, the study surveys Investors of Islamic funds from three fund management companies in Malaysia with a total sample of 451 respondents. The profiling employs a cluster analysis of the respondents using religion, percentage invested in Islamic funds, and four potential motivations to invest. The result shows a possible segmentation of the investors into three groups, with Muslim investors being segmented into two categories, ‘committed’ and ‘pragmatic’ investors, while the third category being the ‘non-Muslim’ investors. The clusters represent a clear distinction between the three groups in terms of their commitment to Shariah principles in investment, the importance of earning halal vis-à-vis high returns, and the benefits of diversification between Islamic and conventional funds. The findings provide valuable insights for fund management companies in terms of understanding the different segments of investors and their issues of concerns for better investment services, product innovation and offering, as well as marketing strategies.

Bohai Industrial Investment Fund Management Company: From Start Up To Maturity – An Assessment

This paper records the life of Bohai Industrial Investment Fund Management Company, the first private equity fund in China specifically created to help develop industrial manufacturing in a region in China. Bohai started up in 2006 and in the last twelve years moved from a slow start up through to a fast developing scale up and has finally arrived at a stable and mature phase in its life cycle. After documenting Bohai’s ups and downs, the authors conclude with a list of recommendations for other developing Chinese industrial PE firms.

Sistema de fondos colectivos como estrategia para la adquisición de activos de las empresas de Tacna en el 2016

Este trabajo de investigación reúne los diferentes aspectos relacionados al Sistema de Fondos Colectivos como estrategia para la adquisición de activos de las de las empresas de Tacna en periodo 2016, así mismo se tiene que el Sistema de Fondos Colectivos es una forma de financiamiento que con el tiempo ha venido adquiriendo mayor relevancia como una opción para la adquisición de activos. Es no experimental, descriptivo y correlacional. Se ha considerado como población a las empresas financiadas con fondos colectivos de la ciudad de Tacna, como técnica se ha utilizado una encuesta y como instrumento se utilizó un cuestionario para evaluar las variables objeto de estudio. El área de investigación está enmarcada en la Contabilidad Financiera. Las Empresas Administradoras de Fondos Colectivos, vienen siendo una alternativa de financiamiento para la adquisición de activos para las empresas de Tacna, permitiendo mejorar sus ingresos y por ende el crecimiento económico financiero de cada una de estas empresas, permitiéndoles mejorar su rentabilidad y por ende su desarrollo económico, dando oportunidad a miles de personas a acceder a mejores niveles y calidad de vida.

Key Elements of the Protechnological Absorptive Capacity of Financial Companies in Poland

A number of socio-economic phenomena that are intensifying nowadays, in particular an increase in competition and customer expectations, forces enterprises to seek new sources of innovation, including process (technological) ones to ensure their ability to compete effectively. It turns out that they are increasingly transferring them from their environment, and the success of this undertaking is dependent on their absorptive capacities. Therefore, the main goal of this article was to identify the key absorptive capacities that are endogenous determinants of the effectiveness of the process of the absorption of process innovations in the activity of Poland’s financial companies. The empirical part of the article was written on the basis of an online survey carried out in 2015-2016. It was sent to the heads of 155 commercial financial sector companies registered in Poland, namely all banks, property and life insurance companies, investment funds and universal fund management companies. In total, 111 entities filled in the online survey questionnaire. In the conducted study an attempt was made to assess the direction and strength of dependence between the level of development of specific absorptive capacities of financial companies and the scale of the effects achieved as a result of the absorption of process innovations. Personal and organizational absorptive capacities of financial companies in Poland remain in a positive and strong linear relationship with their effectiveness achieved in the scope of the absorption of process innovations. The results identified the key absorptive capacities that determine the effects obtained in the process of absorbing technological innovations, taking into account the specific conditions prevailing in the service sector.

Capital-based Pension Funds: The Question of Risk Sharing

Capital-based pension funds are built from the contributions of their participants and are invested in financial assets. Failed investments cause a fund’s capital to shrink, which generates a risk of low pension benefits and/or the insolvency of the fund. The risk can be shared between contributors, pension fund management companies, and the state (under a mandatory pension funds regime). This article attempts to emphasise that, particularly in the case of old-age insurance, the problem of who runs the most risk is pivotal and deserving of greater concern than the issue of whether the rate of return on investment is high enough. The aim is to draw attention to this rather neglected aspect of the recent reforms of the old-age insurance industry. The method relies on an ordered analysis founded on a review of the relevant subject literature. The point is made that the change from the Defined Benefit (DB) to the Defined Contribution (DC) formula shifts most of the risk onto contributors. On the other hand, this change makes the business relatively safe for private insurers and banks and reduces pressure on the public finance balance sheet. The shift from DB to DC schemes is rather common in Europe, hence the main issues tackled in the article are relevant to a fairly big group of countries (including Poland). The article discusses the issue of risk-sharing in reference to the modern experience of Chile, a country that pioneered changes with respect to capital-based pensions and DC schemes. It concludes that the element of social solidarity recently introduced into the Chilean system brings some relief to low-income workers and also supports the longevity of the fully-funded Defined Contribution system.

Board effectiveness in Chinese fund management companies

AbstractWith a generally weak investor protection environment and no governance voice in the fund management companies (FMC) to which their investment is entrusted, fund investors in China are left with the internal governance mechanisms to safeguard their interest. Using a panel data of 288 firm‐year observations covering more than 98% of FMC in China from the period between 2006 and 2010, the present paper examines the corporate governance challenges confronting the fledging Chinese fund management industry by analysing how key governance settings affect the performance of the board of directors in protecting the interest of fund investors. The results show that board effectiveness can be enhanced if a listed company is the controlling shareholder. In addition, having a female CEO or board chairperson and a small‐sized board may help to reduce investors’ fees. Other internal corporate governance mechanisms, such as shareholder concentration, having state‐owned financial companies as controlling shareholders and board independence, are found to exhibit no significant impact on the effectiveness of FMC boards.

EFFICIENCY ASSESSMENT CONCEPT MODEL FOR FINANCIAL ALLIANCES: BALTIC PENSION FUND MANAGEMENT

The purpose of the article is to develop and implement an efficiency assessment concept model for financial alliances based on efficiency assessment of Bancassurance in the pension fund management in the Baltic countries.Tasks of the research include explaining the topicality, studying the Bancassurance, review of frontier based efficiency measurement techniques such as stochastic frontier analysis (SFA) and data envelopment analysis (DEA) and its applicability for banking, insurance and pension funds industry as well as Bancassurance efficiency assessment by suing SFA and DEA.Methods used are qualitative- monographic. literature review, document analysis, data evaluation. Quantitative- econometric techniques, including regression and correlation analysis, economic modelling techniques, including SFA and DEA, descriptive statistics methods, cluster analysis.Bancassurance was found to be the dominant business model in the pension fund management in Baltics. Pension fund management business is very important for financial groups operating in the Baltic countries because it generates very strong return on equity.Small and medium specialised pension fund management companies proved to be capable of achieving competitive efficiency compared to other companies.DOI: http://dx.doi.org/10.5755/j01.eis.0.11.18245

Оценка эффективности компаний, управляющих пенсионными накоплениями, на основе метода DEA (Data Envelopment Analysis)

Цель исследования - рассмотреть непараметрический метод DEA и его практическое применение для оценки эффективности российских компаний, управляющих пенсионными накоплениями. В статье представлены теоретические аспекты пяти моделей DEA: модель с постоянной отдачей от масштаба (CRS); модель с убывающим, возрастающим и переменным эффектом от масштаба (DRS, IRS и VRS) и модель непроизводительного ресурсов (FDH). Проведен сравнительный анализ этих моделей на примере оценки эффективности 39 компаний, управляющих пенсионными накоплениями, за период с I квартала 2004 г. по I квартал 2016 г. Учитывая специфику деятельности управляющих компаний, для оценки их эффективности в настоящем исследовании выбраны показатели, связанные как с финансовой деятельностью компании, так и с управлением пенсионным портфелем. Поэтому в рассматриваемом случае модель будет иметь один вход - объем инвестирования за квартал и три выхода: стоимость чистых активов (СЧА), доходы от инвестирования за квартал и денежные средства на счетах в кредитных организациях. Сама по себе оценка эффективности компаний не всегда является целью, гораздо чаще исследователей интересуют внешние факторы, влияющие в целом на производительность компаний в отрасли. В роли критериев качества оценки эффективности в соответствии с различными моделями выбраны сочетание доходности и риска портфеля управляющей компании, стоимость ее чистых активов, а также индикаторы кризисного состояния экономики. Выбранные модификации DEA можно использовать в дальнейшем при принятии управленческих и инвестиционных решений.

IMPORTANCE OF THE FUND MANAGEMENT COMPANY IN THE PERFORMANCE OF SOCIALLY RESPONSIBLE MUTUAL FUNDS

AbstractWe compare the performance of a sample of U.K.‐based socially responsible investment (SRI) funds with similar conventional funds using a matched‐pair analysis based on size, age, investment universe, and fund management company (FMC). We find that both the SRI and conventional funds outperform the market index about 50% of the time, even after fees. Subsample tests show that the SRI funds in our sample perform better in the pre‐ and postfinancial crisis periods but underperform during the financial crisis period. Importantly, we find that the FMC plays a major role in the outperformance of both SRI and conventional funds.

Composition of equity and mixed pension funds in Slovakia

Research background: Since January 2013, pension fund management companies have had to establish at least two pension funds, one guaranteed bond fund, and at least one unguaranteed equity fund. This division has brought many changes in portfolios of pension funds in Slovakia. Currently, six pension funds management companies manage six bonds, six equity, five indexed and three mixed funds.Purpose of the article: The aim of this article is to monitor the composition of assets during 2009 and 2014 and describe relation between equity and mixed pension funds? profit and components of assets they own. The results of this research contribute to a better understanding of the importance of certain types of financial assets owned by equity and mixed funds and their impact on pension funds? profit. Last, but not least, this article helps to improve the legislative management of pension funds and their impact on macroeconomic situation in Slovakia, because pension funds are still concentrating higher and higher amount of financial assets from government bonds to companies? stocks.Methods: This relation will be described by linear mixed-effects model with random effects of years and pension funds management companies. Random effects also help to identify the impact of changes during the period studied, and in case that profit is significantly different across the pension funds management companies.Findings and Value added: The underlying model data will be chosen from annual balance sheets, income statements and notes of Slovakia-based equity and mixed funds during the period studied.