Risk-Managed Momentum in Europe

This thesis sets out to evaluate a risk-managed momentum strategy in the European stock market. The recent performance of momentum in Europe is first evaluated. A momentum premium still exists in Europe but the strategy suffered large losses in 2009. A risk-managed momentum portfolio is created by dynamically scaling the exposure to momentum based on a monthly volatility forecast. The risk-managed strategy is evaluated by comparing its performance to the original momentum portfolio. Risk management doubles the Sharpe ratio of the momentum portfolio and reduces tail risk. The greatest benefit of risk management comes from avoiding momentum crashes. The strategy increases the Sharpe ratio in all subsamples and the results are robust in international markets

International Portfolio Management under Uncertainty

Although the consideration of foreign investments may have a positive impact on the overall market risk of the portfolio through diversi cation, it also adds a new source of uncertainty due to changes in the value of the currency. We investigate portfolio optimization models that account separately for the local asset returns and the currency returns, providing the investor with a full investment strategy. We tackle the uncertainty inherent to the estimation of the parameters with the aid of robust optimization techniques. We show how, by using appropriate assumptions regarding the formulation of the uncertainty sets, the original non-linear and non-convex models may be reformulated as second order cone or as semide nite programs. Additionally to the guarantees provided by robust optimization, we consider the use of hedging instruments such as forward contracts and options. The proposed hedging strategies are implemented from a portfolio perspective, and therefore do not depend on the individual value or behavior of any particular asset or currency. Hedging decisions are taken at the same time as investment decisions in a holistic approach to portfolio management. While dynamic decision making has traditionally been represented as scenario trees, these may become severely intractable and di cult to compute with an increasing number of time periods. We present an alternative approach to multiperiod international portfolio optimization based on an a ne dependence between the decision variables and the past returns. We add to our formulation the minimization of the worst case value-at-risk and show the close relationship with robust optimization. The proposed theoretical framework is supported by various numerical experiments with simulated and historical market data demonstrating its potential bene ts

Carbon portfolio management

The aim of the European Union's Emissions Trading Scheme (EU ETS) is that by 2020, emissions from sectors covered by the EU ETS will be 21% lower than in 2005. In addition to large CO 2 emitting companies covered by the scheme, other participants have entered the market with a view of using emission allowances for the diversification of their investment portfolios. The performance of this asset as a stand alone investment and its portfolio diversification implications will be investigated in this paper. Our results indicate that the market views Phases 1, 2, and 3 European Union allowance futures as unattractive as stand alone investments. In a portfolio context, in Phase 1, once the short-selling option is added, there are considerable portfolio benefits. However, our results indicate that these benefits only existed briefly during the pilot stage of the EU ETS. There is no evidence to suggest portfolio diversification benefits exist for Phase 2 or the early stages of Phase 3

Gender, style diversity and their effect on fund performance

© 2015 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license(http://creativecommons.org/licenses/by/4.0/).This paper examines the performance of 358 European diversified equity mutual funds controlling for gender diversity. Fund performance is evaluated against funds’ designated market indices and representative style portfolios. Consistently with previous studies, proper statistical tests point to the absence of significant differences in performance and risk between female and male managed funds. However, perverse market timing manifests itself mainly in female managed funds and in the left tail of the returns distribution. Interestingly, at fund level there is evidence of significant overperformance that survives even after accounting for funds’ exposure to known risk factors. Employing a quantile regression approach reveals that fund performance is highly dependent on the selection of the specific quantile of the returns distribution; also, style consistency for male and female managers manifests itself across different quantiles. These results have important implications for fund management companies and for retail investors’ asset allocation strategies

An Empirical Investigation of the Performance of Japanese Mutual Funds: Skill or Luck?

This paper assesses the performance of 355 actively managed Japanese Equity Mutual Funds between April 2011 and April 2016. The equal weight portfolio and Jensen’s alpha measures of active management provide strong evidence that Japanese Mutual Funds fail to outperform the benchmark four-factor capital asset pricing model. When it comes to market timing, the Treynor and Mazuy measure shows that 33 funds have significant positive market timing ability which is largely offset by 31 funds with significant negative timing ability. To ensure the statistical inference is robust to the non-normality found in 33 funds we employ Fama and French’s cross-sectional bootstrap. The results show that a large proportion of funds fail to outperform a hypothetical world with no skill. On the persistence of skill we find that there is stronger persistence for poor performing funds than for strong performing funds

Advisor Choice in Asia-Pacific Property Markets

This paper examines advisor choice decisions by publicly traded REITs and listed property companies in Asia-Pacific real estate markets. Using a sample of 168 firms, we find robust evidence that firms strategically evaluate and compare the increased agency costs associated with external advisement against the potential benefits associated with collocating decision rights with location specific soft information. Our empirical results reveal real estate companies tend to hire external advisors when they invest in countries: 1) that are more economically and politically unstable, 2) whose legal system is based on civil law, 3) where the level of corruption is perceived to be high, and 4) when disclosure is relatively poor. Additionally, we find the probability of retaining an external advisor is directly related to the expected agency costs. Lastly, we find evidence of return premiums in excess of 13 % for firms whose organizational structure matches their investment profile. As such, we conclude that the decision to hire an external advisor represents a value relevant trade-off between the costs and benefits of this organizational arrangement

Disease Surveillance Networks Initiative Global: Final Evaluation

In August 2009, the Rockefeller Foundation commissioned an independent external evaluation of the Disease Surveillance Networks (DSN) Initiative in Asia, Africa, and globally. This report covers the results of the global component of the summative and prospective1 evaluation, which had the following objectives:[1] Assessment of performance of the DSN Initiative, focused on its relevance, effectiveness/impact, and efficiency within the context of the Foundation's initiative support.[2] Assessment of the DSN Initiative's underlying hypothesis: robust trans-boundary, multi-sectoral/cross-disciplinary collaborative networks lead to improved disease surveillance and response.[3] Assessment of the quality of Foundation management (value for money) for the DSN Initiative.[4] Contribute to the field of philanthropy by:a. Demonstrating the use of evaluations in grantmaking, learning and knowledge management; andb. Informing the field of development evaluation about methods and models to measure complex networks