Fund Risk Research Articles

Cultures of Activity, Cultivating Resistance.

The problem of antimicrobial resistance (AMR) is often viewed through biomedical and/or behavioral lenses, with the underlying economic principles and "headwinds" shaping resistance less visible. In this paper, we focus on how healthcare funding models structure the ways AMR is perceived and addressed as an institutional priority. Specifically, we explore how activity-based funding reflects and operationalizes ingrained assumptions about what is valuable and/or worthwhile within the organizational ecology of the hospital. Drawing on interviews with 36 executives from several hospital clinical care settings across two Australian states, we illuminate the ways the activity-based funding paradigm works against efforts to combat AMR. Concerningly, we further observe how activity-based funding models can inadvertently position rising rates of resistance as a benefit-at least in the short term-as the new and intensified interventions required to address resistant infections require more "activity" and thus deliver higher reimbursement at the level of annualized budgets. In failing to recognize the (social and economic) value of reduced activity, activity-based funding risks contributing to AMR, rather than working to resolve it.

Assessing the Pandemic Aviation Crisis: Speculative Behavior, Government Bail Outs, and Accommodative Monetary Policy

The COVID-19 pandemic was a health, economic, and financial crisis. The aviation sector was one of the most severely hit. Despite the extensive literature on this, COVID-Finance has been focused on stock returns, neglecting what could be learnt from the spreads of airlines’ credit default swaps (CDSs). This would seem of the utmost importance, given the epicenter of the crisis within the credit market. In this paper, an in-depth analysis of airlines’ CDS spreads is conducted. It is found that they were severely hit, for all airlines studied. However, the results of the PSY test showed that speculative trading led the surge, as explosive roots were found in the spreads of all these aviation firms. The dramatic increase in CDS spreads has contributed to already high borrowing costs for airlines. Our results suggest that aviation bail outs have helped to mitigate spreads’ explosiveness. Monetary policy measures have also limited, albeit indirectly, the funding risk posed by the government bail outs. By the end of March 2021, spreads were no longer explosive, and were approaching, at highly heterogeneous paces, their pre-pandemic values. Notwithstanding, airlines’ stock prices have been notably resistant to recovery.

Tail risk and excess return of mutual funds: loss-premium balance hypothesis

ABSTRACT This paper studies the relationship between tail risk exposure and mutual fund returns using samples from January 2007 to December 2022. The T R jl calculated by Generalized Extreme Value Distribution captures the negative correlation between returns and tail risk, with a one-standard-deviation increase (0.0119) leading to 0.24% decrease in three-factor alpha quarterly. T R jl also captures the nonlinear effect in short term, yet the nonlinearity diminishes due to the reversal of the return-risk exposure curve of equity funds in long term. We propose Loss-Premium Balance Hypothesis, positing that risk loss and premium effect are dominant under different tail risk exposures, respectively.

Effect of Macroeconomic Factors on Mutual Funds Risk and Return: An Empirical Study from Bangladesh

This study aims to identify the influence of macroeconomic factors on the risk and return of mutual funds in Bangladesh. Monthly closing price data of 27 mutual funds from Bangladesh are collected from December 2015 to December 2022. Additionally, monthly data of 6 macroeconomic variables, i.e., deposit rate, export, import payments, remittance, broad money (M2) and GDP growth rate, are gathered for this study. This study utilized standard deviation and beta as risk measures, and the Sharpe and Treynor ratios are applied as risk-adjusted return (RAR) measures. All the risk and risk-adjusted return measures are computed using 12-months rolling window method. The random effect model of panel data analysis is applied to find the influence of macroeconomic variables on the risk and return of mutual funds. Overall findings indicate that macroeconomic factors significantly influence mutual fund risk exposure. On the other hand, risk-adjusted return (RAR) is also significantly influenced by the macroeconomic variables. This empirical evidence helps practitioners and institutional investors in their decision-making in the situation of market asymmetric. Keywords: Risk-Adjusted Return, Bangladesh, Mutual Fund, Standard Deviation, Beta, Sharpe Ratio, Treynor Ratio

Does Islamic Mutual Fund Bear Higher Risk than Conventional Mutual Funds? An Empirical Analysis from Bangladesh

This study aims to identify whether Islamic mutual funds bear higher risk exposure than conventional mutual funds due to implementing their shariah screening criteria to select assets on the portfolio. For this purpose, monthly closing price data of Islamic and conventional funds operated in Bangladesh are collected from January 2016 to August 2023. A total of 2320 observations of each risk measure (e.g., standard deviation, semi-standard deviation, semi-standard deviation, and beta) are computed using a 12-month rolling window method to compare risk exposure between Islamic and conventional funds using univariable and multivariate analysis. The univariate analysis is conducted by performing an independent samples t-test, which confirms that overall, Islamic funds bear lower risk exposure than conventional funds. In multivariate analysis, the Feasible Generalized Least Square (FGLS) method, a dynamic panel data analysis model, is applied where the effects of macroeconomic variables such as deposit rate, GDP growth rate, exports, imports, broad money, and remittances are controlled. The results of the multivariate analysis also confirm that Islamic mutual fund risk exposure is lower than that of conventional mutual funds. This study will be helpful for practitioners and institutional investors in decision-making.

Precise assessment of flood risk and accurate allocation of disaster relief funds through a fuzzy set approach

Precise assessment of flood risk and accurate allocation of disaster relief funds through a fuzzy set approach

Determinants of Bank’s Financial Stability in Pakistan

The purpose of this study is to investigate the role of both internal and external factors in achieving better stability in context of Pakistani banking industry. The internal determinants that this research study have used are bank size, funding risk, liquidity risk, credit risk and return on assets while external variables utilized includes money supply and unemployment rate. The study contains 10 years secondary data over the period 2013-2022 of 24 commercial banks of Pakistan. This study conducted correlation analysis and GMM model estimation for analysis. The findings show that liquidity risk, bank profitability, funding risk and bank size have positive and significant impact on bank stability. On the other hand, credit risk effects negatively bank stability. The result showed that money supply positively affects the stability of banks in Pakistan. On the contrary, unemployment is negatively affecting banks stability. The findings of this study have important implications for policymakers, regulators, banks, investors, and other stakeholders in the Pakistani banking sector. By enhancing the understanding of the factors influencing bank stability, the research contributes to identifying the importance of development of evidence-based policies, risk management strategies, and regulatory reforms aimed at development of a stable and resilient banking system in Pakistan.

The time-varying effects of geopolitical risk on mutual fund risk taking.

Based on a time-varying parameter vector autoregression model with stochastic volatility (TVP-VAR-SV), this paper investigates the dynamic effects of geopolitical risk on mutual fund risk taking in China across three-time horizons and at three selected time points. Overall, the impulse responses are time-varying and we find a negative effect of geopolitical risk on mutual fund risk taking until 2015, with the short-term effect being the most pronounced, suggesting that when professional investors such as mutual fund managers are faced with the stock valuation uncertainty due to a geopolitical shock, they choose to reduce market risk exposures. After 2015, the short-term effect begins to diminish and gradually turns positive, which could be explained by the fact that with the increasing abundance and diversification of investment instruments, fund managers have more effective investment tools and more sophisticated trading strategies to hedge against geopolitical risk, rather than reducing market risk exposure. Further, we explore the heterogeneous effects of eight types of geopolitical risk and three types of mutual fund. The results indicate that the effect of geopolitical actions is stronger than that of geopolitical threats, while the effect of narrow geopolitical risk is stronger than that of broad geopolitical risk. Moreover, we find that the response of the risk taking of growth funds to the geopolitical risk is weaker than that of balanced and income funds.

Mitigating risk-shifting in corporate pension plans: Evidence from stakeholder constituency statutes

We use staggered enactments of state stakeholder constituency laws as a natural experiment to examine the effect of such laws on corporate pension risk shifting. Our analysis encompasses three components of pension risk shifting: funding risk, investment risk, and benefit risk. We observe a reduction in all three elements of pension risk shifting following the enactment of stakeholder orientation laws that promote greater consideration of stakeholder interests. We also find that the post-enactment reduction in pension risk-shifting is greater for firms with fewer investment opportunities. Overall, our results provide insight into how stakeholder constituency can mitigate an important form of risk-shifting.

Impact of Fund Size on Performance and Risk of Closed-End Mutual Funds: An Empirical Analysis in the Context of Bangladesh

Impact of Fund Size on Performance and Risk of Closed-End Mutual Funds: An Empirical Analysis in the Context of Bangladesh

Revolutionizing Hedge Fund Risk Management: The Power of Deep Learning and LSTM in Hedging Illiquid Assets

Revolutionizing Hedge Fund Risk Management: The Power of Deep Learning and LSTM in Hedging Illiquid Assets

Empirical Study on the Influencing Factors of Liquidity Risk in International Money Market Funds

In the past two years, new funds issuance has been extremely hot, and the total scale of public offering funds has also increased significantly. Behind the extremely hot issuance of new funds, it also gave birth to a number of “hotstyle” funds. But at the same time, a number of “hotstyle” funds have also encountered a large number of redemption phenomenon, making a large number of young investors get the title of “leek zero”. This paper returns the quarterly data of 28 money market funds, analyzes the factors affecting money market fund liquidity risk, and obtains the relationship between each influencing factor and the liquidity risk of money market fund. Then it put forward the establishment of a liquidity monitoring an dearly warning mechanism for money market funds, strengthen the risk tips for investors and improve the subscription and redemption fees.

Exploring the Co-movement Between Return and Risk of Mutual Funds

The goal of this study is to review the significance of the mutual fund market’s return and volatility and which type of mutual fund has a vital impact which contributes to the understanding of the investor's indicates their investment decisions and identify the past related studies upon the performance of the mutual fund towards aligning to the latest short and long-term strategies for the responsible authority to reorient their policies to ensure the terms of exposure of current managerial actions is heading upon the evolution of innovation. The author has analysed and evaluated a broad range of literature on mutual funds, examining a range of factors and features that contribute to their short and long-term viability and diversification. As a result of their thorough review, the study has identified diverse types of mutual funds indicating that it plays a vital role in the survival and success of these investment vehicles. Furthermore, the current studies delving into a wide range of recognition of the Unit Trust Funds roles for the responsible institutions at domestic and international organisations directed towards establishing a better ailing with better-shaped strategies which are been explored. Yet, the past research has been a gap being explicated due to lack of innovation and this study would like to address the gap and is proposed along with the list of resources for future research with a similar aim. The originality of this study is to ensure that the validity of the research has been well assured by reference to highly indexed articles from various platforms such as Scopus, Web of Science etc. Thus, the purpose of the study is supported with solid justification.

Hedging securities and Silicon Valley Bank idiosyncrasies

AbstractHedging requires adequacy and timing. This paper finds that banks did not systematically ignore balance‐sheet risks like Silicon Valley Bank (SVB), and instead exercised risk management by asymmetrically increasing hedging activity when security losses increase and scaling back hedging activity as security losses reverse. Banks also hedge against bank runs when risk increases due to a combination of security losses and funding risks from unsecured deposits. Findings suggest SVB's mistakes are idiosyncratic. Results suggest that nonstress test banks target balance‐sheet risks when hedging, stabilizing themselves from interest rate shocks transmitted through fixed‐income securities. Scrutiny of rules‐based outliers like SVB is preferable to increased regulatory burden for all nonstress test banks.

Managing the shortfall risk of target date funds by overfunding

Abstract Is it possible to achieve almost riskless, nonfluctuating investment payoffs in the long run, at a fraction of the traditional funding requirement, using equity investments? What is their shortfall risk? These questions are motivated by the need to increase yields, while limiting the variability of investment results. We show how to use contingent claims, denominated in units of a stock index, to achieve an almost riskless investment outcome. To control the risk of the proposed hedge portfolios, we introduce an overfunded scheme and show its reliability using bootstrapping. Results show that a modest amount of overfunding is an effective risk-management approach that brings the probability of not achieving the target to less than 1 percent. Our results are based on the use of the minimal market model and a change of numeraire. Robustness tests support their validity under different market specifications.

Review Paper- “COMPARATIVE STUDY OF MUTUAL FUNDS IN INDIA REGARDS TO FINSAARTHI LEARNING SOLUTIONS”

Mutual fund is an important and good source of investment options for investors. This source helps the investors in earning better returns compared to other source of investment. In India most of the people does not have the adequate knowledge on the subject of mutual fund. They feel that investment in mutual is unsafe and it’s like gambling. The lack of awareness and misunderstanding about mutual fund leads to low investment in this industry. There is a need to raise public awareness by enlightening people about the advantages of investing in mutual funds. This report Contains information on the performance of chosen companies from various mutual fund schemes. The study’s major goal is to figure out why SBI mutual fund schemes outperform when compared to other companies’ mutual fund schemes and to scrutinize the risk and return of various funds. As in India companies are focusing young people and adopting modern technology aspect in this industry. This project gave a knowledge exposure and I was able to understand the performance of fund and customer behavior towards mutual fund. In this project report the first part includes industry and company related information, vision, mission, SWOT Analysis and financial reports of the company. Keywords – Asset Management Company, Asset Under Management, Mutual Funds, Net Asset Value..

Are VaR models effective in capturing downside risk in alternative investment funds? Insights from a cross-country study

In this paper, we analyze the downside risk of alternative investment funds (AIFs) in a cross-country setting over a period of 2015–2021, using popular Value-at-Risk (VaR henceforth) models, and test the efficacy of such models in capturing the volatility posed by these funds. We estimate VaR in the presence of three error distributions, including normal distribution, Student’s t distribution, and GED distribution. Using weekly return data of 991 AIFs from 28 countries, over the period 2015–2021, we find that most of the funds, irrespective of country representation, exhibited a significant proportion of their weekly returns to be negative. To statistically validate our findings we use three backtesting approaches, i.e., Jorion’s failure rate, Kupiec’s proportion of failure (POF) tests and Christoffersen’s independence test. Our findings indicate the presence of significant downside risk for AIFs, which these popular VaR models are unable to capture. These findings highlight the need for investors and fund managers to be cautious when relying solely on popular VaR models to manage downside risk in AIF and suggest that further research is needed to develop more effective risk management strategies for AIF, particularly in light of their complex structure and asymmetric return distributions.

Molecular Docking Study of Pramipexole Derivatives as Radiopharmaceutical Candidates for Brain Imaging

Neurodegenerative diseases are a global priority disease. According to the World Health Organization (WHO), it is estimated that by 2050, there will be 152 million people with neurodegenerative diseases. Currently, the method used for brain imaging is PET/CT, with the most widely used radiopharmaceutical being 18F-FDG [7,8]. 18F-FDG is used to determine brain glucose metabolism, however the 18F-FDG does not have a specific receptor. Pramipexole compounds can cross the blood-brain barrier and have high specificity for dopamine receptors. By modifying and labelling the structure of pramipexole derivatives, it is expected to obtain pramipexole derivatives with a good affinity to the dopamine receptor. In order to reduce the risk of failure, radiation hazard, and research funds, in this research, a molecular docking study was carried out using the targeted docking method between dopamine receptor proteins and 22 pramipexole derivatives using AutoDock 4, GaussView software for structure preparation, Gaussian software for energy calculation, and Biovia Discovery Studio for structure visualization. The experimental results showed that the free binding energy of pramipexole derivatives for the dopamine receptor was obtained in the range of -2.81 to -5.84 kcal/mol. The best free binding energy value was obtained for compound PD-7, with a free binding energy value of -5.84 kcal/mol, while the RMSD value obtained was 0.6 A°, and amino acid residues that interacted with compound PD-7 among others: Leu347, Leu343, Tyr198, Leu199, Glu202, Phe201, and Val203 with hydrophobic and hydrogen bond interactions. The PD-7 compound was labeled using the radioisotope iodine-131 based on the free binding energy value. From the experimental results, compound 131I-PD-7 showed a free binding energy value of -4.66 kcal/mol and interacts with the similar amino acid residues as compound PD-7. These results indicate that the compound 131I-PD-7 is a potential candidate to be studied further as a radiopharmaceutical candidate for brain imaging.

Impact of Fund Size on Performance and Risk of Closed-End Mutual Funds: An Empirical Analysis in the Context of Bangladesh

Impact of Fund Size on Performance and Risk of Closed-End Mutual Funds: An Empirical Analysis in the Context of Bangladesh

Pricing, greening, and recycling decisions of capital-constrained closed-loop supply chain with government subsidies under financing strategies

BackgroundDue to the growing awareness of environmental protection and their economic benefits, there has been rapid development in the closed-loop supply chain (CLSC) in recent years, with a general occurrence of CLSCs led by collectors. MotivationEven with government support such as subsidies, the operation of CLSC still requires immense investment, such as purchasing recycling equipment. Nevertheless, the unprecedented economic recession during the post-pandemic era has heightened the risk of insufficient funding for CLSC. This highlights the importance of understanding the complexities involved in CLSC financing strategies, as they are crucial for ensuring the sustainability and resilience of CLSC in the face of challenges. MethodsTo investigate the equilibrium decisions and financing strategy selection of CLSCs, we developed and analyzed a series of three-stage Stackelberg models, considering practical scenarios involving capital constraints, environmentally friendly green activities, government subsidies for End-of-Life (EOL) recycling, as well as introducing common trade credit financing and bank financing for generality. ConclusionThe findings demonstrate: (1) Under trade credit financing, it is always beneficial for the collector granting credit. Interest income can motivate the collector to recover more EOL products. (2) In addition to financing interest rates, government subsidies and remanufacturing cost savings can affect the financing strategy selection of the capital-constrained manufacturer. Our study provides guidance for managers in selecting optimal financing strategies under specific conditions. (3) The total profit of CLSC under trade credit financing is always higher and we propose a revenue-sharing contract to realize the win-win status with the optimal profit of CLSC. (4) Furthermore, our results underscore the importance of government recycling subsidies, remanufacturing cost savings, and the positive impact achieved by reducing recycling difficulties and enhancing customer awareness of green consumption.