Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 19 of 19 for “"Fund returns"”.
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Essays on the emiprical properties of stock and mutual fund returns
… Survivor-biased datasets have higher mean returns, lower return standard deviations and lower betas than the full sample. Beta has no explanatory power even when the CAPM is true, a finding virtually unaffected by survivorship bias. Returns to a momentum strategy are positive even when …
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Three Essays on Political Risk, Economic Policy Uncertainty, and Hedge Fund Returns
… risk, economic policy uncertainty, and hedge fund returns, employing a sample over a period of 1990-2017. The first essay investigates the relation between political risk and hedge fund returns and assesses whether the effects of political risk on hedge fund returns will vary across different …
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What drives hedge fund returns? : models of flows, autocorrelation, optimal size, limits to arbitrage and fund failures
Hedge funds provide an opportunity for investing with few government regulations and high potential returns. Since 1980 this has lead to the dramatic, 25% annual increase in the number of hedge funds, and with nearly $700 billion managed by hedge funds in 2003. However, high risks associated with …
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Hedge fund factorisation and benchmarking: Understanding hedge fund performance, benchmarking and the reward system for hedge fund managers
Hedge funds give portfolio managers access to more tools to aid in better portfolio construction. The introduction of tools such as leveraging and shorting provided managers with the ability to augment exposures to different asset classes. The result is the ability to create portfolios with …
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The impact of fund size on the risk adjusted performance of South African unit trust funds
… between the sizes of South African unit trust funds, as measured by the market value of assets under management, and their respective risk adjusted returns. The study also seeks to determine the degree to which an identifiable range of asset sizes exists within which the risk adjusted fund …
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Essays in hedge fund replication, evaluation and synthetic funds
… of dynamic trading strategies, which generate returns with statistical properties similar to hedge funds. It is shown that this technique is not only capable of replicating fund of funds returns, but is equally well suited for the replication of individual hedge fund returns. Since replication …
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The Predictability of International Mutual Funds
… of the US-based international mutual fund returns has received renewed consideration in recent academic studies. This dissertation extends recent research by exploring the 2,479 daily return observations covering the period from January 4, 1993 to October 31, 2002 for all categories of …
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Real estate opportunity funds : past fund performance as an indicator of subsequent fund performance
The returns of opportunistic real estate private equity investment funds were tested for evidence of performance persistence between subsequent funds by the same manager. Tests include regression analysis, construction of contingency tables, and calculation of rank correlation coefficients. Tests …
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Alternative risk management: correlation and complexity
… granularities, including low frequency (Hedge Fund returns), medium frequency (Daily Stock returns) and high frequency (Intraday Stock returns & EEG seizure data). The information content of the correlation matrix between low-frequency Hedge Fund returns is investigated for the first time using …
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Familial support in the mutual fund performance competition
Numerous papers have presented evidence of mutual fund families engaging in self-interested behaviour, regardless of or contrary to the interests of its investors. Such findings have provoked industry backlash. Given the significance of the mutual fund industry in managing wealth (approx. US$31 …
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Revisiting performance persistence in real estate funds
In this thesis, real estate opportunity fund returns were analyzed for evidence of persistence in subsequent funds from the same manager; it is designed to update and enhance a prior thesis performed by Cathy C. Hahn (2003), using both parametric and non-parametric tests. Tests were performed on …
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Better than average: An investigation of overconfidence in South Africa
… anchoring by comparing respondents’ estimates of fund returns against historical returns and then checking whether they adjusted their estimate after being presented with an anchor. It was found that investors were under-confident rather than overconfident with women giving lower, and thus more …
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Survivorship bias in mutual fund performance : evidence in Canadian mutual funds
… on performance persistence in Canadian mutual funds. Our sample covers the period of January 1986 till December 1999. Spreads of the survivorship bias on mutual fund returns are gauged by comparing the difference between the sample of surviving funds and the sample of surviving and defunct …
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Essays on information and investment
… asks whether investments in research by mutual fund families increase the returns of their actively managed funds. Using detailed expense data from 1996-1999, I find evidence that funds recover a fraction of their management fees and brokerage commissions through higher before-expense returns, …
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The Development Role Played by Targeted Development Investments in South Africa and Their Risk-Adjusted Performance Over a 10-Year Period
… the way capital is allocated towards development funding needs. In the South African context this study is relevant given it offers a contrast between investments made in the public sector where development impact is a key objective, versus private sector targeted investments that aim to achieve …
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An investigation into South African property unit trusts: do active managers add value to investors?
… over multiple periods between 2005 and 2018. Fund performance was evaluated using three risk-adjusted measures, namely the Sharpe ratio, information ratio and Jensen's alpha, in order to determine whether there is significant outperformance amongst the funds. The benchmark used to compare …
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Essays in Asset Management: Mutual Funds and Exchange-traded Funds
… dissertation consists of three essays related to fund management, and in particular, mutual funds (MFs) and exchange-traded funds (ETFs). The first essay studies the decision by an asset manager to launch an exchange-traded fund (ETF). Fund families focus on both revenue generation and cost …
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Momentum Effects: Essays on Trading Rule Returns in G10 Currency Pairs
… effects: Dissecting Generic G10 Trading Rule Returns The chapter builds on the work of Pojarliev and Levich (2008, 2010), who dissect the returns of active currency managers by applying a multiple ordinary least squares (OLS) regression to currency fund returns. Where the chapter differs is in …
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Investment manager trading behaviour and fund performance
… examines whether these biases are detrimental to fund performance and market efficiency, and whether there is a need for regulatory review given the behaviour of institutions in their trading on the Australian Securities Exchange (ASX). The three empirical issues examined in this thesis are: …