Data Visualization and Sonification for Financial Agent-Based Models

The corporate bond market is one of the areas that has witnessed profound changes since the last financial crisis, prompting regulators (and industry participants) to question its resilience under stress. We are building agent-based models to better understand bond market dynamics using simulations. Simulations offer an intriguing method of capturing the second-order feedback loops that can affect prices under conditions of stress. However, understanding all the data and emergent behaviors from these complex systems remains a difficult challenge. In this paper, we begin investigating visualization and sonification techniques that might help us meet this challenge at both agent (micro) and system-wide (macro) levels, with the goal of assembling an effective mixture of visual elements. Sonification offers a novel way to enrich our visualizations with sound, setting markets to music. An experiment assessing the impact of mutual fund market share on bond market stability provides an interesting context with meaningful outcomes

Search-for-yield in Portuguese fixed-income mutual funds and monetary policy

This paper studies the effects of monetary policy on mutual fund risk taking using a sample of Portuguese fixed-income mutual funds in the 2000-2012 period. Firstly I estimate time-varying measures of risk exposure (betas) for the individual funds, for the benchmark portfolio, as well as for a representative equally-weighted portfolio, through 24-month rolling regressions of a two-factor model with two systematic risk factors: interest rate risk (TERM) and default risk (DEF). Next, in the second phase, using the estimated betas, I try to understand what portion of the risk exposure is in excess of the benchmark (active risk) and how it relates to monetary policy proxies (one-month rate, Taylor residual, real rate and first principal component of a cross-section of government yields and rates). Using this methodology, I provide empirical evidence that Portuguese fixed-income mutual funds respond to accommodative monetary policy by significantly increasing exposure, in excess of their benchmarks, to default risk rate and slightly to interest risk rate as well. I also find that the increase in funds’ risk exposure to gain a boost in return (search-for-yield) is more pronounced following the 2007-2009 global financial crisis, indicating that the current historic low interest rates may incentivize excessive risk taking. My results suggest that monetary policy affects the risk appetite of non-bank financial intermediaries.UNL - NSB

Diversification and manager autonomy in fund families: Implications for investors

This paper aims to investigate the consequences of investing in a single fund family for investors. In essence, we focus on the correlation among portfolio holdings of funds with effects in terms of under-diversification for mutual fund investors, especially, if they invest in the same fund family. We also explore the fund manager autonomy in portfolio holding allocation within families and determine the characteristics of those fund families with higher autonomy. Our results show that a higher correlation among funds not only implies that families offer a lower diversification to investors; it also has a negative effect on their performance. However, investors’ performance benefits from a higher manager autonomy. Consequently, investors who select a single fund family could obtain higher returns in smaller fund families with considerable experience that do not belong to a banking or insurance group, as in the former, diversification and manager autonomy are higher

CAPTAÇÃO, RESGATES E LIQUIDEZ: IMPACTO NA RENTABILIDADE DE FUNDOS MULTIMERCADOS DESTINADOS A INVESTIDORES DE VAREJO

Com base na análise de 634 fundos multimercados brasileiros destinados a investidores de varejo no período de outubro de 2009 a dezembro de 2015, este estudo buscou avaliar o impacto do volume de captações, resgates e nível de liquidez sobre o Índice de Sharpe Ajustado trimestral desses fundos. Para viabilizar as análises empregou-se o modelo de regressão quantílica. Os resultados sinalizam que não existe relação significativa entre o nível de liquidez e o desempenho do fundo. Todavia, constatou-se que o volume de resgates afeta negativa e significativamente a performance dos fundos em determinados quantis. Os resultados obtidos vão ao encontro das evidências encontradas por Rakowski (2010) para o mercado norte-americano. No que tange à captação, evidenciou-se que com exceção dos fundos de pior desempenho, aqueles com maior captação corrente tendem a apresentar melhor desempenho atual. No entanto, a maior entrada de recursos acaba por comprometer a rentabilidade futura dos mesmos

Are article 9 funds superior? A comprehensive empirical analysis of the SFDR regulation on its efficacy, flows and performance

This master's dissertation examines the impact of the Sustainable Finance Disclosure Regulation (SFDR) on mutual equity funds domiciled in the Eurozone, specifically those governed by Article 9, and the ensuing behavioural repercussions on investors. This academic endeavour contributes to the growing empirical evidence positing the SFDR regulation as an effective bulwark against greenwashing. This is substantiated through the analysis of cross-sectional data procured from two independent ESG data providers, Refinitiv and MSCI, demonstrating that funds governed by Article 9 consistently deliver superior ESG metrics. Further, this dissertation probes the propensity of investors to allocate a greater quantum of capital towards Article 9 funds and ventures into a detailed analysis of the inherent characteristics of these investors. Utilising a panel data dataset and deploying a difference-in-differences model revealed that investors demonstrate a preference for Article 9 funds preceding the final implementation date of 10th March 2021. Additionally, these investors exhibit signs of higher resilience. Lastly, this research assesses performance disparities by deploying the Fama and French 3-Factor Model. The analysis suggests that Article 9 funds are characterised by heightened factor exposure to growth investments. Nevertheless, during the observation period spanning 2018 to 2022, SFDR 9 funds do not exhibit a positive alpha. However, when assessed through a difference-in-differences lens, these funds demonstrate a significantly higher alpha than their counterparts.Esta dissertação analisa o impacto do Regulamento relativo à divulgação de informações sobre finanças sustentáveis (Sustainable Finance Disclosure Regulation - SFDR) nos fundos de investimento em ações da zona euro, especificamente nos fundos regidos pelo Artigo 9. Esta tese contribui para as crescentes provas empíricas que apontam o regulamento SFDR como um baluarte eficaz contra greenwashing. Isto é comprovado através da análise de dados transversais obtidos de dois fornecedores independentes de dados ESG, Refinitiv e MSCI, demonstrando que os fundos regidos pelo Artigo 9 consistentemente alcançam métricas ESG superiores. Além disso, esta dissertação investiga a propensão dos investidores para afetarem um maior volume de capital aos fundos do Artigo 9 e analisa as características inerentes a estes investidores. A utilização de um conjunto de dados de painel e a aplicação de um modelo de diferenças em diferenças revelaram que os investidores demonstram uma preferência pelos fundos do Artigo 9 antes da data de implementação final de 10/03/2021. Além disso, estes investidores apresentam sinais de maior resiliência. Por último, este estudo avalia as disparidades de desempenho através da aplicação do modelo de 3-fatores de Fama e French. A análise sugere que os fundos do Artigo 9 se caracterizam por uma maior exposição a fatores de investimento em crescimento. Ainda assim, durante o período de observação de 2018-2022, os fundos SFDR 9 não apresentam um alfa positivo. No entanto, quando avaliados através de uma lente de diferença nas diferenças, estes fundos demonstram um alfa significativamente mais elevado do que os seus homólogos

A indústria brasileira de fundos de investimento : um estudo sobre as oscilações do market share

Este trabalho propôs analisar a relação entre market share e variáveis que podem afetar a participação de mercado de fundos de investimento, dando um enfoque alternativo à análise de preços e taxas cobrados dos investidores. Buscou-se detectar a existência de um impacto dessas variáveis na participação de mercado a nível de indústria em que estão inseridos (renda fixa e variável), em sua primeira parte; identificar se existem impactos diferentes entre os tipos de indústria na segunda parte; e, em sua terceira parte, estudar a possibilidade de existência de assimetria nesses efeitos, de forma tal que rentabilidades positivas dos fundos, do índice Ibovespa ou a participação de mercado passadas influenciem de maneira diferente a posição futura. Pelos resultados encontrados nesse trabalho, pode-se afirmar que existe uma relação entre rentabilidade, retorno do IBovespa e participação de mercado, independente do tipo de indústria na qual o fundo está inserido.This study proposed to analyze the relationship between market share and variables that can affect the share of mutual funds, providing an alternative approach to the analysis of prices and fees charged to investors. It attempted to detect the existence of an impact of these variables on the market share at the industry level in which they are inserted (fixed and variable income) in the first part; identify whether there are different impacts between the types of industry in the second part; and, in its third part, study the possibility of asymmetry in these effects, in a way that positive returns of the funds, the Ibovespa index or participation of past market influence differently the future position. From the results found in this work, it can be said that there is a relationship between profitability, IBovespa return and market share, regardless of industry type where the fund is inserted

Three essays on fund managers’ abilities: learning, autonomy and divergent trading.

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