Net Asset Value Research Articles

Trends & Comparative Analysis of Asset Classes for All Citizens National Pension System (NPS) Tier I Account: Equity, Corporate Bonds, and Government Securities (G-Secs)

The study examines the trends and comparative performance of asset classes with respect to all citizens National Pension System (NPS) Tier I account over a decade (FY2015-FY2024). It focuses on equity, corporate bonds, and government securities (G-Secs). The research also analyses Net Asset Value (NAV), Assets Under Management (AUM), and subscriber growth to understand scheme dynamics. The research endeavours to examine PFMs performance. The study uses secondary data from the NPS database to understand returns. Descriptive statistics characterize asset class performance, while correlation identifies variable relationships. Regression analysis predicts NAV trends based on AUM, and evaluates performance. NPS analysis reveals that APY's subscriber growth complements strong AUM gains. The strategic asset allocation, notably by UTI PFM in equity/bonds and Kotak PFM in G-Secs, drives superior risk-adjusted returns. It indicates APY’s success in expanding coverage, strong AUM, subscriber growth, and influence of individual asset classes. Regression results exhibit a connect between AUM and NAV growth for the six PFMs. LIC's outperformance against the benchmark, and UTI’s results in equity and corporate bonds reveals strategy importance. Practical implications highlight the need for diversified strategies and enhanced investor education. Policymakers and PFMs should understand risk assessment and portfolio enhancement.

Asymmetric Shocks and Pension Fund Volatility: A GARCH Approach with Macroeconomic Predictors to an Unexplored Emerging Market

Financial stability analysis requires volatility modeling, especially in emerging nations where pension fund systems are very vulnerable to macrofinancial risks. In order to examine the volatility dynamics of Romania’s private pension system, this study uses daily net asset value (NAV) data from 2012 to 2024 to evaluate four GARCH-type models: standard GARCH (sGARCH), exponential GARCH (EGARCH), Glosten–Jagannathan–Runkle GARCH (GJR-GARCH), and component GARCH (C-GARCH). The analysis includes domestic and international equity indices (BET, STOXX), government bond yields (ROMGB 10Y, ROMANI 5Y), short-term interbank rates (ROBOR ON), and exchange rate fluctuations (RON/EUR). Current findings indicate that EGARCH captures asymmetric fluctuations in pension fund performance, where positive shocks generate larger increases in volatility than negative ones, highlighting an atypical asymmetry pattern. Furthermore, the stabilizing effects of government bonds are overshadowed by stock market behavior, which becomes the primary driver of risk. Fluctuations in exchange rates further increase volatility, especially in markets vulnerable to external disturbances. The findings offer empirical evidence for the necessity of more cautious risk management approaches and highlight the importance of regulatory oversight in maintaining market confidence. The study underscores the importance of customized allocation frameworks that reduce vulnerability to disruptive events while maintaining prospects for sustained growth. This new dataset contributes to enhancing the comprehension of pension fund volatility within the context of emerging markets. These insights can assist managers and policymakers seeking to fortify retirement outcomes.

Forecasting Share Redemption Suspensions and Net Asset Value Decreases of Open-End Real Estate Funds: The Role of Investment Ratings

Abstract In this paper, models are built and evaluated to forecast the share redemption suspensions and net asset value decreases of German open-end real estate funds. These models emphasize the potential role of qualitative investment ratings in the above two aspects. The results reveal that better ratings correlate with a lower likelihood of future redemption suspensions and net asset value decreases. When ratings are included in the forecasting models, the out-of-sample forecast quality is enhanced. By extending the analysis to latent redemption suspensions from July 2016 to June 2024, when real redemption suspensions were unobservable due to unusually favorable interest rate momentum and a regulatory regime shift toward a minimum holding period, this paper makes an important practical contribution by providing estimates of redemption suspension probabilities.

Factors Shaping the Net Asset Value of Saudi Real Estate Investment Trusts

This study investigates the impact of the dividend per unit, loan-to-value ratio (LTV), operating performance, and liquidity on the financial performance of Saudi Real Estate Investment Trusts (REITs), as measured by Net Asset Value (NAV). The study examines a sample of 17 listed Saudi REITs over a five-year period, 2019-2023, resulting in 85 observations. Through multiple regression analysis, the results demonstrate a significant positive relationship between NAV and dividend per unit, operating performance, liquidity, and size as a control variable. In contrast, a negative relationship is found between LTV and NAV. These findings provide important insights for investors and portfolio managers, enhancing their understanding of the key factors that drive the financial performance of Saudi REITs.

Optimizing Investment Portfolio Allocation: Analyzing Trends and Dynamics of Alternative Investments in Estate Planning

Private Equity (PE) plays a unique role in estate planning due to its potential for high returns and complexity. Therefore, understanding its pricing dynamics is essential for effectively incorporating it into an estate plan. The current research examines the complexities of optimizing investment portfolio allocation by analyzing the pricing dynamics of PE funds in secondary markets. The study acknowledges the challenges posed by the inherent risks, illiquidity, and long-term nature of PE investments. It focuses on the impact of PE investments on Limited Partners' (LP) optimal allocations. Typically, LPs commit capital to PE funds, which is gradually called and eventually distributed back to them. The research reveals that the PE investments significantly influence LPs' optimal allocations, with differing strategies being observed among LPs with varying risk aversion levels. The study's findings reveal that PE allocations do not consistently decrease in risk aversion, suggesting the presence of nuanced decision-making processes. Depending on an LP's risk aversion, they adopt one of two distinct investment strategies. A conservative LP, characterized by higher risk aversion, holds relatively more liquid reserves of stocks and bonds compared to illiquid PE investments. This LP tends to be unconstrained and to remain close to an interior optimum, leaving it largely unaffected by the illiquid and long-term nature of PE investments. Moreover, the model extends to incorporate a secondary market for PE partnership interests, allowing an exploration into the implications of trading in this market and the pricing dynamics of the Net Asset Value (NAV) and unfunded liabilities. The proposed analysis provides valuable insights into the intricate interplay between the risk aversion, PE investments, and secondary market dynamics, offering guidance to LPs navigating the complex landscape of alternative investments.

Do the Macroeconomic variables influence Exchange Traded Funds (ETFs)?

Exchange Traded Funds (ETFs) are essentially Index Funds that are listed and traded on exchanges like stocks. Until the development of ETFs, this was not possible before. Globally, ETFs have opened a whole new panorama of investment opportunities to Retail as well as Institutional Money Managers. They enable investors to gain broad exposure to entire stock markets in different Countries and specific sectors with relative ease, on a real-time basis and at a lower cost than many other forms of investing. An ETF is a basket of stocks that reflects the composition of an Index, like S&P CNX Nifty or BSE Sensex. The ETFs trading value is based on the net asset value of the underlying stocks that it represents. Think of it as a Mutual Fund that you can buy and sell in real-time at a price that change throughout the day. Compared to mutual funds, ETFs are relatively new. The first U.S. ETFs were created by State Street Global Advisors with the launch of the S&P 500 depositary receipts, also known as SPDRs ("spiders"). Although the first ETFs tended to track broad market indexes, more recent ETFs have been developed to track sectors, fixed income, global investments, commodities and currencies. There exists correlation between ETF and macroeconomic variables and also change in independent variables causes change in dependent variable. However, the degree of variability differs. These variables form significant part and the level of prediction is also good. Therefore, the model is good fit for the data. An investor needs to guise into these while taking investment decision.

The Volatility of Listed Real Estate in Europe and Portfolio Implications

This paper analyzes the time-varying volatility of European listed real estate returns across sectors and countries. We also examine whether volatility and the price to net asset value ratio dynamics can be exploited by tactical allocation schemes to improve the performance of a listed real estate portfolio and whether this affects the allocation to listed real estate in mixed-asset portfolios. Using GARCH models, we find that volatility shocks are synchronous across sectors and countries, albeit with differences in magnitude. The high-volatility regime of the global financial crisis lasts longer than that of the COVID-19 pandemic. All countries but Germany experience higher volatilities during the COVID-19 pandemic than during the global financial crisis, while the results across sectors are more nuanced. Our results indicate that implementing tactical asset allocation across sectors is beneficial for strategies that have stable and well-balanced allocations. However, tactical rebalancing across countries has overall a detrimental effect on performance. Tactical rebalancing leads to higher allocations to listed real estate in a mixed-asset portfolio when sectors are considered, while the opposite is true for countries. The allocation to listed real estate ranges from 4% to 26% when sectors are considered, while it is slightly higher for countries.

Value Relevance of Accounting Information on Stock Price in Plantation Companies in Sri Lanka

Accounting information plays a crucial role in influencing financial decision-making processes and governing activities in the business world. Investors and governments are the primary stakeholders in accounting information. Dependable and precise accounting information will enhance the value for users of accounting information. This study aims to evaluate the significance of accounting information (specifically Earnings per share and Net Asset Value per share) on the stock market prices of registered plantation companies in the Colombo Stock Exchange of Sri Lanka. The study relies on the publicly available financial statements of the plantation companies spanning a period of five years, specifically from 2015 to 2022. Regression analysis was employed to examine the correlation between accounting information and market prices. According to beta coefficients, a Rs.1 increase in EPS raises the market price per share by Rs.0.32 NAVPS and market price per share are also positively correlated. Share prices are negatively correlated with Total Assets, which is surprising. The study found that EPS and NAVPS significantly affect Sri Lankan plantation companies' market price per share (MPS). The MPS benefits greatly from these factors. However, the study shows that total assets (TA) negatively affect MPS. Sri Lankan investors clearly value accounting data when investing. This indicates that investors of Sri Lankan companies place a higher level of importance on accounting information when making investment decisions.

Risk-Adjusted Returns of Ethical Companies

This study examines the investment performance of companies recognized for their socially responsible behavior, specifically focusing on the long-time honorees of Ethisphere's World’s Most Ethical Companies list. The analysis includes 28 publicly traded organizations from sectors such as Technology, Financials, and Consumer Goods, with stock returns and sector Net Asset Values (NAVs) used to assess risk-adjusted performance. Key metrics include the Sharpe Ratio, Jensen Alpha, and Treynor Ratio, all of which measure returns relative to risk. Results show that while more than half of the companies underperformed their respective sectors, the overall ethical portfolio generated positive risk-adjusted excess returns, primarily driven by strong performance from the technology sector. These findings suggest that ethical companies may provide valuable investment opportunities, particularly in sectors like technology and finance.

Private Equity Fund Reporting Quality, External Monitors, and Third-Party Service Providers

ABSTRACT We describe variation in the reporting quality (i.e., accuracy and bias of reported net asset values (NAVs)) of private equity (PE) funds across types of external monitors (investors and auditors) and third-party service providers (valuation specialists, marketers, and administrators). In contrast to public markets, we find only limited evidence that reporting quality varies with the composition and types of investors in PE funds. We observe, however, that reporting quality varies with auditor involvement and the use of third-party service providers; these associations often differ across buyout (BO) and venture capital (VC) funds and from those observed in public markets. Our evidence is important to investors and regulators, especially now that PE supersedes public markets as the main vehicle to raise capital and as regulators increase their focus on private markets. Data Availability: Data used in this study are available from public sources listed in the paper. JEL Classifications: G1; G14; G30; M4; M41.

Too naïve to NAV? Performance display and capital misallocation

AbstractWe find that mutual fund flows respond to price returns (changes in net asset value per share or NAV returns) that are widely displayed in practice, whereas total fund returns include both price returns and fund distributions. NAV return‐chasing is not driven by tax considerations or alternative performance and risk metrics and leads to suboptimal investment performance. Additionally, NAV return‐chasing generates price pressure on funds’ stock holdings. These findings suggest that more prevalent displays of total investment returns could improve investor decision‐making, especially for less sophisticated investors.

Financial Indicators Shaping Share Price Movement: Insight from the Dhaka Stock Exchange SME Board

This study intends to explore the parameters that influence the share price movement of companies listed under the SME board on Dhaka Stock Exchange (DSE). The small capital platform, popularly known as the SME board is a specialized to trade share of Small and Medium Sized Enterprises (SMEs). Based on secondary data, the present study used three independent variables, such as Earning Per Share (EPS), Price Earning (P/E) ratio, and Net Asset Value (NAV) per share to evaluate the fluctuations of share price in the market. All the companies listed on the DSE SME board were taken into consideration for the current study. Relevant Data concerning dependent and independent variables were collected from the DSE website. Average closing price of selected shares were collected during March 15, 2022–March 14, 2023. The study performed descriptive statistics, correlation, and regression analysis using Statistical Package for Social science (SPSS) software. The study revealed that the fluctuations of share price of SME companies was significantly influenced by EPS, Net Asset NAV per share, and P/E ratio. This maiden study is expected to have implications to companies intending to be listed, investors, regulators, and other stakeholders in Bangladesh.

ESG Scores’ Impact on Portfolio Performance, An Evidence from Indonesia

This study is to determine the effect of using the Refinitiv ESG score in stock picking and its impact on portfolio performance using the ESG Score. Methodology for this research using a two-sample t-test of Net Asset Value (NAV) price-return portfolios and the Sharpe ratio as a proxy for risk adjustment return for portfolio evaluation. The results of this study indicate that the use of a Refinitiv rating may serve as a suitable metric for stock selection strategy because companies with higher ESG scores tend to exhibit superior performance. Since ESG ratings in Indonesia are still difficult to obtain, those with access to ESG ratings will have more advantages. Greater return performance is followed by an increased level of risk. Given the assumption of a well-diversified portfolio, it is hypothesized that the increased risk can be attributed to a larger variance coefficient. So that the Sharpe ratio must be used for portfolio evaluation to measure risk-adjusted returns.

METODE MEAN-SEMIVARIANCE DALAM PEMBENTUKAN PORTOFOLIO REKSA DANA SAHAM TERBAIK BAROMETER BAREKSA

The most popular investment product today is mutual funds. One of the factors in selecting mutual funds is the low investment risk. This risk can be minimized again by combining several assets and then compiling them into a portfolio. The portfolio formation method used in this study is the Mean-Semivariance method and the Sharpe Index to calculate portfolio performance. The data used is the daily net asset value per unit of Mandiri Investa Atraktif Syariah, Rencana Cerdas, Manulife Saham SMC Plus and BNP Paribas Solaris for the period January 3 2022 to March 9 2023, Jakarta Composite Index (IHSG) data as a benchmark and BI-7 Day Reverse Repo Rate as a riskfree interest rate. The minimum risk of the portfolio will be achieved by compiling a portfolio of two mutual funds, namely Mandiri Investa Atraktif Syariah with a weight of 92,50% and the Smart Plan with a weight of 7,50% with an expected return rate of 0,00019 and a risk of 0,000000663. The Sharpe Index is 0.08971 indicating that the portfolio formed has good performance and can be used as a choice of investment assets by investors.

Risk factors-adjusted performance and persistence during the post-subprime crisis period: evidence from Indian mutual fund industry

PurposeThe main objective of the paper is to find evidence of abnormal returns and performance persistence of actively managed equity funds in the Indian context on an annual basis during the post-subprime crisis period between 2009 and 10 and 2019 and 2020.Design/methodology/approachThe study is exploratory and empirical, used daily net asset value (NAV) of 180 equity funds for 10 years and applied the risk-adjusted, Jensen's (1968) single-factor, Fama and French's (1993) three-factor model and Carhart's (1997) four-factor model to evaluate the performance. The performance persistence has been tested using cross-section regression (Bollen and Busse, 2005), the non-parametric contingency approach, along with the robustness measure, i.e. Malkiel's (1995) Z-score, Brown and Goetzmann's (1995) cross-product ratio (CPR) and Kahn and Rudd's (1995) χ2 value.FindingsThe results show that the Indian equity funds are unable to generate abnormal returns, and the size, value and momentum strategies applied by the fund managers in generating abnormal returns do not work effectively. However, funds provide strong evidence of significant performance persistence on an annual basis in the short-term, mid-term and long-term periods. Both parametric as well as non-parametric tests provide identical evidence of persistence, and the performance persistence is independent of the choice of models, as all the models (i.e. two, three or four-factor models) provide significant evidence of persistence.Research limitations/implicationsThough the study is comprehensive and covered a longer period, there is a scope for future research by examining the influence of fund characteristics, fund rating and macroeconomic factors on performance and persistence. It can be extended over to a longer period covering the post-COVID-19 period, a larger sample size and a comparative study of Indian and foreign mutual funds (MFs).Practical implicationsThe outcomes of this research paper can help wealth-maximizing investors in the identification of persistent equity funds and can apply the previous period’s performance information as a useful investment strategy to generate higher returns in the future. We believe that these outcomes will have significant ramifications for all MF stakeholders and policymakers, especially for the Indian industry in ensuring and establishing the credibility of MF managers, in providing better returns as well as to make MF investment more attractive to Indian retail investors.Originality/valueDespite the exponential growth in the Indian MF industry, limited evidence is available on performance and persistence covering a large sample size during the post-sub-prime crisis period using different return models and parametric and non-parametric approaches. The study is based on the daily data set of a larger sample size representing all the Asset Management Company (AMC) and the longer period following the post-subprime crises, which affected capital flows significantly. Moreover, the application of all the measures enables us to understand performance persistence in a larger context.

Performance of shariah-compliant and non-shariah-compliant ETFs: a comparative study

PurposeThe purpose of this paper is to elucidate the performance discrepancies between shariah-compliant and non-shariah-compliant exchange-traded funds (ETFs), aiming to enrich the academic and practical understanding of Islamic finance‘s nuances in the ETF sector.Design/methodology/approachInitiating with a broad literature review to cement a theoretical backdrop on Islamic investment principles and the mechanics of shariah-compliant ETFs, the research progresses to devise a comparative analytical framework. This framework focuses on assessing ETF performance through metrics like net asset value returns and volatility, specifically analyzing Blackrock ETFs to draw distinctions in portfolio outcomes and asset compositions.FindingsThe examination highlights discernible variances in portfolio performance between shariah-compliant and their conventional counterparts, presenting instances where shariah-compliant ETFs, such as ISUS from Blackrock, deliver competitive returns despite their generally lower net assets compared to conventional ETFs like VUSA from Vanguard. Moreover, the ISUS ETF‘s holdings investigation revealed discrepancies with AAOIFI standards, questioning its strict Shariah compliance and adding depth to the analysis of Islamic financial instruments‘ integrity.Originality/valueThis paper significantly advances the scholarly dialogue on Islamic financial practices within the ETF landscape, providing empirical evidence of performance differentials and compliance intricacies. While prior research has touched upon Islamic investing, this study pioneers a detailed comparative scrutiny, equipped with a novel methodological approach, to dissect the shariah-compliant ETFs‘ operational and ethical frameworks, offering invaluable insights for investors, financial analysts and Islamic finance scholars.

Analisis Penerimaan Pendapatan Asli Daerah (PAD) Ditinjau Dari Kontribusi PAD, Elastisitas PAD dan Kinerja Pajak Daerah Pada Pemerintah Kota Sibolga

This study aims to analyze the contribution of local revenue, the elasticity of local revenue and the performance of local taxes in the Sibolga City government. Local Own Revenue is the right of the local government which is recognized as an increase in the value of net assets obtained from local taxes, local levies, the results of the management of separated local assets and other legitimate local revenue. This research was tested on the sibolga city local government in 2018-2022. The data analysis technique used in this research is descriptive and quantitative analysis. The results of the analysis show that the contribution of local revenue tends to be unfavorable, the elasticity of local revenue tends to be elastic to gross regional domestic product and the performance of local taxes tends to be very effective.

VOLUNTARY PENSION FUNDS IN THE REPUBLIC OF SERBIA - COVID AND POST COVID PERIOD

The topic of this paper is the analysis of voluntary pension funds in the Republic of Serbia in the period 2019-2023: the role, performance, and structural characteristics. Voluntary pension funds have emerged as a significant component of retirement planning across the globe. Unlike mandatory pension schemes, which are compulsory and often state-managed, voluntary pension funds offer individuals the opportunity to augment their retirement savings beyond what is provided by state or employer-sponsored plans. Voluntary pension funds represent a contractual type of financial institution, with a significant share of their capital derived from client contributions, which define the contractual relationship between the fund and its clients. Unlike some other types of funds, such as investment funds, pension funds benefit from regular, monthly contributions or payments, which provide a steady influx of free capital for investment in the financial market. Voluntary pension funds in Serbia represent a significant segment of the country's financial market, providing a supplementary avenue for retirement savings beyond mandatory pension schemes. The analysis reveals a general upward trend in net asset value, although a notable decline of 4,25% occurred in 2022 due to increased withdrawals and negative investment returns. Voluntary pension funds are predominantly invested in domestic government debt securities, with a significant portion also allocated to equities and term deposits. Market data indicates that Dunav Voluntary Pension Fund has consistently led the market in terms of net asset value, with other funds such as Generali Basic, DDOR Garant Ekvilibrio, and Raiffeisen Future following. Most assets are held in the domestic currency, while a smaller proportion is in foreign currencies, particularly euros. The findings highlight the importance of voluntary pension funds in providing financial security for retirees and underscore the need for ongoing evaluation and adjustment in response to market conditions and demographic trends.

Regulation, Remainder Risk, and Public Investment Fund: A Theoretical Analysis

In the EU member countries that obey the rule of law principle, the legislative work of the parliament supports the market economy by producing public capital. In many cases, legislation is connected to public investment projects, and sometimes also to socially important private projects. Both include public benefits and costs, but also public risks. Moreover, as the public commitment to major private undertakings may preclude both immaterial and material contributions, there is a noteworthy threat that an accidental actualization of the remainder risk caused by some unforeseen incident would fall heavily on the taxpayers. This paper constructs a club theoretic model for the analysis of representative democracy. In the model, the public commitment to a private project is decided by the simple majority voting rule in the parliament. The analysis shows that strict assessment of the remainder risk may halt the whole undertaking implying that the promised social benefits are also lost. As a solution, we propose a constitutional Investment Fund, which would launch short-maturity public bonds to citizens and pension funds, earmarked to the material part of the public commitment to private projects. The system could partly privatize the public remainder risk so that only the immaterial part remains to common taxpayers thus increasing the probability of a majority vote for the project. At the same time, the government would get equity finance for its investments, and the citizens and pension funds would hold securities with tangible net asset value. The system should increase precision in public debt and risk management and bring democracy, public governance, and the market economy closer to each other.

Portfolio Evaluation of Selected Large cap & Midcap Mutual Fund Schemes

"Wealth, place & power are no measure of sources. The only true measure is the ratio between what we might have been & what we have become". In this regard people should upgrade their knowledge & keep in pace with changing technology & market condition to reach their desired goal. As new opportunities are opening up in every field all over the world. The desired goal can achieve only when both theory and practical go together hand in hand. This article is such an attempt to understand or link the theoretical concept with that of practical applicability. It provides an in-depth analysis of Mutual Funds Schemes, encompassing their benefits, various facts crucial to understand and associated risks. Furthermore, the theoretical background of mutual funds, including the types of funds available, their advantages, and potential risks have been dealt with. The study majorly focuses on evaluating the performance of specific mutual fund schemes in the large-cap and mid- cap categories. By analyzing various portfolio evaluation models, including Sharpe, Treynor, and Jensen's alpha, as well as other metrics such as Standard Deviation, Beta, and Portfolio Return, the research aims to identify top- performing funds. The study utilizes correlation analysis and the ARIMA model to forecast the Net Asset Value (NAV) of the highest-ranked funds, providing insights into risk and return profiles, and assisting advisors in recommending suitable investment choices to investors. The study concludes by emphasizing the importance of professional management and diversification in investment, particularly within the dynamic and unpredictable stock market environment. Keywords: Risk, Return, Beta, Standard Deviation (SD), Net Asset Value (NAV) & Assets under Management (AUM), Autoregressive Integrated Moving Average (ARIMA)