Investment strategies and compensation of a mean-variance optimizing fund manager

This paper introduces a general continuous-time mathematical framework for solution of dynamic mean–variance control problems. We obtain theoretical results for two classes of functionals: the first one depends on the whole trajectory of the controlled process and the second one is based on its terminal-time value. These results enable the development of numerical methods for mean–variance problems for a pre-determined risk-aversion coefficient. We apply them to study optimal trading strategies pursued by fund managers in response to various types of compensation schemes. In particular, we examine the effects of continuous monitoring and scheme’s symmetry on trading behavior and fund performance

Socially Responsible Investments: Methodology, Risk and Performance

This paper surveys the literature on socially responsible investments (SRI). Over the past decade, SRI has experienced an explosive growth around the world. Particular to the SRI funds is that both financial goals and social objectives are pursued. While corporate social responsibility (CSR) - defined as good corporate governance, sound environmental standards, and good management towards stakeholder relations - may create value for shareholders, participating in other social and ethical issues is likely to destroy shareholder value. Furthermore, the risk-adjusted returns of SRI funds in the US and UK are not significantly different from those of conventional funds, whereas SRI funds in Continental Europe and Asia-Pacific strongly underperform benchmark portfolios. Finally, the volatility of money-flows is lower in SRI funds than of conventional funds, and SRI investors’ decisions to invest in an SRI fund are less affected by management fees than the decisions by conventional fund investors.socially responsible investments;ethical investing;corporate social responsibility;mutual funds;performance evaluation;money-flows;investment screens;mutual funds

Socially Responsible Investments: Methodology, Risk Exposure and Performance

This paper surveys the literature on socially responsible investments (SRI). Over the past decade, SRI has experienced an explosive growth around the world. Particular to the SRI funds is that both financial goals and social objectives are pursued. While corporate social responsibility (CSR) - defined as good corporate governance, sound environmental standards, and good management towards stakeholder relations - may create value for shareholders, participating in other social and ethical issues is likely to destroy shareholder value. Furthermore, the risk-adjusted returns of SRI funds in the US and UK are not significantly different from those of conventional funds, whereas SRI funds in Continental Europe and Asia-Pacific strongly underperform benchmark portfolios. Finally, the volatility of money-flows is lower in SRI funds than of conventional funds, and SRI investors’ decisions to invest in an SRI fund are less affected by management fees than the decisions by conventional fund investors.socially responsible investments;ethical investing;corporate social responsibility;mutual funds;performance evaluation;money-flows;investment screens;mutual funds

Pseudo-mathematics and financial charlatanism: the effects of backtest overfitting on out-of-sample performance

A backtest is a historical simulation of an algorithmic investment strategy. Among other things, it computes the series of profits and losses that such strategy would have generated had that algorithm been run over that time period. Popular performance statistics, such as the Sharpe ratio or the Information ratio, are used to quantify the backtested strategy’s return on risk. Investors typically study those backtest statistics and then allocate capital to the best performing scheme

Nigerian Stock Exchange and Economic Development

The need to critically analyze the efficiency of capital market on the Nigerian economy for the period between 1979 and 2008 as a reference point for developing economies is the bedrock of this work. The results indicate that the stock market indeed contributes to economic growth as all variables conformed to expectation. The Nigerian Stock Exchange has not been having the best of times as an aftermath of the global financial crisis after an unprecedented surge in returns on investment which has resulted in a continuous downturn in market capitalization. Multiple regression method of econometric analysis was used for the work. The major findings revealed a negative relationship between the market capitalization and the Gross Domestic Product as well as a negative relationship between the turnover ratio and the Gross Domestic Product while a positive relationship was observed between the all-share index and the Gross Domestic Product. These findings led to some policy formulations aimed at an improved and developed market for potential gain to the benefit of rational investors even across national borders

Managing Capital Market Risk for Retirement

We offer an overview of solutions available to pension plans to manage capital market risk in order to meet their obligations. We outline the main drivers behind the evolution of asset-liability management (ALM) for pension plans and the emergence of liability-driven investment (LDI) in the last decade. We look at some of the most popular pension de-risking tools and at recent innovations prompted by the Global Financial Crisis. We offer examples based on the rise of cross-asset correlation, the use of hybrid products to mitigate tail risk, and the increasing relevance of counterparty risk mitigation tools such as collateralization. We conclude by outlining some of the main challenges ahead, including developments in pension regulation, centralized clearing of over-the-counter (OTC) instruments, and risk taking incentives in delegated asset management for long term retirement obligations

Investment policy statement : Lusitania non-life portfolio (excluding workman’s compensation)

The Following Investment Policy Statement (IPS) report was written following the CFA Institute recommended format and considers the public information available until the 15th of May 2023, any available information after this date was not considered. Lusitania is an insurance company, founded in 1986, with 100% of Portuguese capital. Lusitania offers a wide range of products, including accidents, motor, housing, and health insurance. The stated objective of this IPS encompasses the creation of two distinct portfolios. The first portfolio aims to achieve immunization by funding the liabilities at the lowest possible cost. The second portfolio pursues optimization, targeting a minimum return of 2.5% above risk-free rate, while simultaneously maintaining volatility below 7.5%. It is crucial that the construction of these portfolios adheres rigorously to all specified restrictions, including exposure limits within asset classes. Additionally, all investments within the portfolios are denominated in euros, ensuring uniformity in currency denomination. The construction of these portfolios was executed, considering the limitations specified by Lusitania. Various strategies, such as duration and cash flow matching, were employed to attain the defined objectives, especially in the immunization portfolio. Sources, including Refinitiv, Lusitania Reports, and the JP Morgan “2023 Long Term Market Expectations” document, were consulted and utilized in the preparation of this report. The investment committee must deliver detailed risk data every quarter in addition to performance reports, such as Value at Risk.O presente relatório Investment Policy Statement foi escrito em linha com o formato recomendado pelo CFA Institute e considera a informação pública disponível até ao dia 15 de Maio de 2023, qualquer informação posterior não foi considerada. Lusitania, é uma companhia de seguros, fundada em 1986, de capitais totalmente nacionais. A Lusitania oferece um vasto leque de produtos, dos quais se destacam os seguros de acidente, automóvel e saúde. O principal objetivo deste IPS é a criação de dois portfólios distintos. O primeiro portfólio visa alcançar a imunização, financiando as responsabilidades ao menor custo possível. O segundo portfólio visa a otimização, com um retorno mínimo de 2,5% e uma volatilidade abaixo de 7.5%. É crucial que a construção desses portfólios adira rigorosamente a todas as restrições especificadas, incluindo limites de exposição dentro das classes de ativos. Além disso, todos os investimentos nos portfólios são denominados em euros, eliminando o risco cambial. A construção desses portfólios foi feita levando em consideração as limitações especificadas pela Lusitania. Diversas estratégias, como a duration matching e cash-flow matching, foram utilizadas para alcançar os objetivos definidos, especialmente no portfólio de imunização. Fontes como Refinitiv, Relatórios Lusitania e “2023 Long-Term Market Expectations”do JP Morgan, foram consultadas e utilizadas na preparação deste relatório. O comitê de investimentos deve fornecer, além de relatórios de performance, dados de risco detalhados trimestralmente, como Value at Risk.Mestrado Bolonha em Finançasinfo:eu-repo/semantics/publishedVersio

Socially Responsible Investments:Methodology, Risk and Performance

This paper surveys the literature on socially responsible investments (SRI). Over the past decade, SRI has experienced an explosive growth around the world. Particular to the SRI funds is that both financial goals and social objectives are pursued. While corporate social responsibility (CSR) - defined as good corporate governance, sound environmental standards, and good management towards stakeholder relations - may create value for shareholders, participating in other social and ethical issues is likely to destroy shareholder value. Furthermore, the risk-adjusted returns of SRI funds in the US and UK are not significantly different from those of conventional funds, whereas SRI funds in Continental Europe and Asia-Pacific strongly underperform benchmark portfolios. Finally, the volatility of money-flows is lower in SRI funds than of conventional funds, and SRI investors’ decisions to invest in an SRI fund are less affected by management fees than the decisions by conventional fund investors.

Socially Responsible Investments:Methodology, Risk Exposure and Performance

This paper surveys the literature on socially responsible investments (SRI). Over the past decade, SRI has experienced an explosive growth around the world. Particular to the SRI funds is that both financial goals and social objectives are pursued. While corporate social responsibility (CSR) - defined as good corporate governance, sound environmental standards, and good management towards stakeholder relations - may create value for shareholders, participating in other social and ethical issues is likely to destroy shareholder value. Furthermore, the risk-adjusted returns of SRI funds in the US and UK are not significantly different from those of conventional funds, whereas SRI funds in Continental Europe and Asia-Pacific strongly underperform benchmark portfolios. Finally, the volatility of money-flows is lower in SRI funds than of conventional funds, and SRI investors’ decisions to invest in an SRI fund are less affected by management fees than the decisions by conventional fund investors.