1,921 research outputs found
Investment Manager Characteristics, Strategy and Fund Performance.
This dissertation presents five research essays evaluating the performance of managed funds in light of the investment strategy and manager characteristics exhibited by institutional investment companies. An analysis of investment performance with respect to a fund managers strategy provides important information in determining whether performance objectives have been achieved. There are a number of different types of investment strategies managed funds may adopt. However, the primary dichotomy is on the basis of whether the portfolio manager implements either an active or index approach. Active managers attempt to outperform the market through the use of price-sensitive information, whereas a passive manager's objective is to replicate the returns and risk of a target benchmark index. The evaluation of investment manager characteristics is also evaluated. This is motivated on the basis that asset management entities place significant emphasis on both the articulation and differentiation of their investment style relative to competitors, and selling the strengths of their portfolio management skills (in terms of past performance) as well identifying the key individuals comprising their investment team and their unique attributes. For active equity managers, the methods used in constructing portfolios and implementing the investment strategy include security selection, in terms of 'top-down' or 'bottom-up' strategies, value-biased, growth-biased or style-neutral strategies, and portfolios exhibiting market capitalisation biases (i.e. preferences to large or small-cap securities). In terms of active bond portfolio management, the most common strategies include duration management and yield curve positioning. Active managers' strategies are likely to extend beyond stock selection, in particular, where the fund manager adjusts the portfolio's composition in anticipation of favourably capitalising on future movements in the market. For index managers, replication of both the returns and risk of the underlying index may be achieved through either full-replication of constituent stocks comprising the index, or through non-replication techniques (stratified sampling and/or optimisation). Each essay provides a unique contribution to the literature with respect to the performance of active and index funds, as well as an analysis of funds that invest specifically in domestic equities, domestic fixed interest, and diversified funds that invest across the broad spectrum of asset classes. The origins of the performance evaluation literature are ascribed to Cowles' (1933) pioneering work, and the literature has given increasing attention to the topic. However the most fundamental issue considered in almost all previous studies of managed fund performance is the extent to which actively managed portfolios have earned superior risk-adjusted excess returns for investors. The literature has overwhelmingly documented (with a small number of exceptions) that active funds have been unable to earn superior returns, either before or after expenses (e.g. Jensen (1968), Elton et al. (1993), Malkiel (1995), Gruber (1996)). While the international evidence is supported by the few Australian managed fund studies available, Australian research remains surprisingly scarce. This is perplexing considering the sheer size of the investment industry in Australia (around $A717 billion as at 30 June 2001) and the importance placed on the sector with respect to successive Federal Governments' retirement income policies. The objectives of this dissertation therefore involve an analysis of managed fund performance with respect to differences in investment strategies (i.e. active and index), as well as providing an analysis of funds invested in equities, bonds and diversified asset classes (or multi-sector portfolios). The first essay evaluates the market timing and security selection capabilities of Australian pooled superannuation funds. These funds provide institutional investors with exposure to securities across many different asset classes, including domestic and international equities, domestic and international fixed interest, property and cash. Surprisingly, the specific analysis of multi-sector funds is scarce in the literature and limited to Brinson et al. (1986, 1991), Sinclair (1990), and Blake et al. (1999). This essay also evaluates performance for the three largest asset classes within diversified superannuation funds and their contribution to overall portfolio return. The importance of an accurately specified market portfolio proxy in the measurement of investment performance is demonstrated, where the essay employs performance benchmarks that account for the multi-sector investment decisions of active investment managers in a manner that is consistent with their unique investment strategy. This approach rectifies Sinclair's (1990) analysis resulting from benchmark misspecification. Consistent with the literature, the empirical results indicate that Australian pooled superannuation funds do not exhibit significantly positive security selection or market timing skill. Given the evidence in the literature surrounding the inability of active funds to deliver superior returns to investors, lower cost index funds have become increasingly popular as an alternative investment strategy. Despite the significant growth in index funds since 1976, when the first index mutual fund was launched in the U.S., research on their performance is sparse in the U.S. and non-existent in Australia. The second essay provides an original analysis of the Australian index fund market, with specific analysis applicable to institutional Australian equity index funds offered by fund managers. While indexing is theoretically straightforward, in practice there exist potential difficulties in exactly matching the return of the underlying index. Therefore the magnitude of tracking error is likely to be of concern to investors. This essay documents the existence of significant tracking error for Australian index funds, where the magnitude of the difference between index fund returns and index returns averages between 7.4 and 22.3 basis points per month for funds operating at least five years. However, there is little evidence of bias in tracking error, implying that these funds neither systematically outperform or underperform their benchmark on a before cost basis. Further analysis documents that the magnitude of tracking error is related to fund cash flows, market volatility, transaction costs and index replication strategies used by passive investment managers. The third essay presents evidence of the performance of U.S. mutual funds, where attention is given to both active and index mutual funds for which the applicable benchmark index is the S&P 500. This essay examines both the magnitude and variation of tracking error over time for S&P 500 index mutual funds. The essay documents seasonality in S&P 500 index mutual fund tracking error, where tracking error is significantly higher in the months of January and May, together with a seasonal trough in the quarters ending March-June-September-December. Statistical evidence indicates tracking error is both positively and significantly correlated with the dividend payments arising from constituent S&P 500 securities. In terms of a performance comparison between actively managed and index funds, active funds on average are found to significantly underperform passive benchmarks. On the other hand, S&P 500 index mutual funds earned higher risk-adjusted excess returns after expenses than large capitalisation-oriented active mutual funds in the period examined. These results suggest the S&P 500 is consistent with capital market efficiency, implying an absence of economic benefit accruing to the average investor utilising actively managed U.S. equity mutual funds. The fourth essay presented in the dissertation examines the performance of Australian investment management organisations with direct reference to their specific characteristics and strategies employed. Using a unique information source, performance is evaluated for actively managed institutional balanced funds (or diversified asset class funds), Australian share funds and Australian bond funds. Performance is evaluated with respect to the investment strategy adopted, the experience and qualifications held by investment professionals, and the tenure of the key investment professionals. This essay also evaluates the performance of senior sector heads to determine the skills of individuals driving the investment process, even though these individuals may migrate to competitor organisations. The essay finds evidence that a significant number of active Australian equity managers earned superior risk-adjusted returns in the period, however active managers perform in line with market indices for balanced funds and Australian bond funds. A number of manager characteristics are also found to predict risk-adjusted excess returns, systematic risk and investment expenses. Of particular note, performance of balanced funds is negatively related to the institution's age and the loyalty of non-senior investment staff. Performance is also found to be significantly higher for managers that predominantly operate their portfolios using a bottom-up, stock selection approach. Interestingly, the human capital of managers, measured as the years of tertiary education undertaken, does not explain risk-adjusted excess returns. Systematic risk is positively related to an institutions age and negatively related to both senior manager loyalty and the implementation of bottom-up portfolio management strategies. In terms of management expenses, fees are directly related to the Australian equities benchmark allocation, the years of tertiary education, the number of years service (loyalty) for non-senior investment professionals and the total years experience of senior money managers. This concluding essay also documents that changes in top management have significant performance effects. In the 12-month period after a change in fixed income director or chief investment officer, performance is significantly lower and significantly higher, respectively. There is no significant difference in performance where changes in top management occur for Australian equities. The years of service (loyalty) provided to asset management firms by equities directors is inversely related to risk-adjusted return. The fifth and final essay examines the investment performance of active Australian bond funds and the impact of investor fund flows on portfolio returns. This essay represents a significant and original analysis in terms of its contribution to the literature, given the absence of Australian bond fund performance analytics and also the limited attention provided in the U.S. Both security selection and market timing performance is evaluated using both unconditional models and conditional performance evaluation techniques, which account for public information and the time-variation in risk. Overall, the results of this essay are consistent with the U.S. and international mutual fund evidence, where performance is found to be consistent with an efficient market. While actively managed institutional funds perform broadly in line with the index before expenses, the paper documents significant underperformance for actively managed retail bond funds after fees. The study also documents that retail fund flows negatively impact on market timing coefficients when flow is not accounted for in unconditional models
Quantum information processing with single photons and atomic ensembles in microwave coplanar waveguide resonators
We show that pairs of atoms optically excited to the Rydberg states can
strongly interact with each other via effective long-range dipole-dipole or van
der Waals interactions mediated by their non-resonant coupling to a common
microwave field mode of a superconducting coplanar waveguide cavity. These
cavity mediated interactions can be employed to generate single photons and to
realize in a scalable configuration a universal phase gate between pairs of
single photon pulses propagating or stored in atomic ensembles in the regime of
electromagnetically induced transparency
In-house investment management: making and implementing the decision
We propose a framework that asset owners can use for making and implementing any decision to manage
investments in-house. It involves addressing four elements: capabilities, costs, alignment and governance;
with key aspects identified for consideration within each element. The framework draws on guidance
from the literature, and insights from interviews with executives from the Australian superannuation fund
industry. We also report on the interviews, where we uncover striking diversity in the approaches to
deciding whether to manage in-house, and the emphasis placed on various aspects related to the perceived
benefits, challenges and success factors. Our framework encompasses and unifies the wide range of
viewpoints we heard from industry executives. We are supportive of in-house management, provided that
the conditions are right and it is implemented appropriately
Portfolio Concentration and Investment Performance
This study examines the relationship between investment performance and concentration in
active equity portfolios. Active management is dependent on the success of two important
components in the investment process – stock selection skill and portfolio management. Our
study documents a positive relationship between fund performance and portfolio concentration.
The relationship is stronger for stocks in which active managers hold overweight positions, as well as for stocks outside the largest 50 stocks listed on the Australian Stock Exchange (ASX). We find more concentrated funds tend to be those implementing growth styles, having smaller
aggregate assets under management, being institutions which are not affiliated with a bank or life-office entity, whose funds experience past period outflows, and who are benchmarked to narrower indexes than the S&P/ASX 300
Ballistic miniband conduction in a graphene superlattice
Rational design of artificial lattices yields effects unavailable in simple
solids, and vertical superlattices of multilayer semiconductors are already
used in optical sensors and emitters. Manufacturing lateral superlattices
remains a much bigger challenge, with new opportunities offered by the use of
moire patterns in van der Waals heterostructures of graphene and hexagonal
crystals such as boron nitride (h-BN). Experiments to date have elucidated the
novel electronic structure of highly aligned graphene/h-BN heterostructures,
where miniband edges and saddle points in the electronic dispersion can be
reached by electrostatic gating. Here we investigate the dynamics of electrons
in moire minibands by transverse electron focusing, a measurement of ballistic
transport between adjacent local contacts in a magnetic field. At low
temperatures, we observe caustics of skipping orbits extending over hundreds of
superlattice periods, reversals of the cyclotron revolution for successive
minibands, and breakdown of cyclotron motion near van Hove singularities. At
high temperatures, we study the suppression of electron focusing by inelastic
scattering
Construction of silicon nanocolumns with the scanning tunneling microscope
Voltage pulses to a scanning tunneling microscope (STM) are used to construct silicon columns of 30–100 Å diameter and up to 200 Å height on a silicon surface and on the end of a tungsten probe. These nanocolumns have excellent conductivity and longevity, and they provide an exceptional new ability to measure the shapes of nanostructures with a STM. This construction methodology and these slender yet robust columns provide a basis for nanoscale physics, lithography, and technology
Clustering of solutions in the random satisfiability problem
Using elementary rigorous methods we prove the existence of a clustered phase
in the random -SAT problem, for . In this phase the solutions are
grouped into clusters which are far away from each other. The results are in
agreement with previous predictions of the cavity method and give a rigorous
confirmation to one of its main building blocks. It can be generalized to other
systems of both physical and computational interest.Comment: 4 pages, 1 figur
The Open Navigation Surface Project
Many hydrographic and oceanographic agencies have moved or are moving towards gridded bathymetric products. However, there is no accepted format to allow these grids to be exchanged while maintaining data and metadata integrity. This paper describes the Open Navigation Surface (ONS) Project, which aims to fill this gap. The ONS Project is an open-source software project designed to provide a freely available, portable source-code library to encapsulate gridded bathymetric surfaces with associated uncertainty values. The data file format is called a Bathymetric Attributed Grid (BAG). The BAG is developed and maintained by the ONS Working Group (ONSWG), and the source code is available via the ONS websit
Process Optimisation of Steam Explosion Parameters on Multiple Lignocellulosic Biomass using Taguchi Method:A Critical Appraisal
Xylitol is a low calorie sweetener that can be produced through a bioconversion approach from lignocellulosic biomass that requires pretreatment prior to the bioconversion of xylose to xylitol. Steam explosion (SE) is an industrially scalable pretreatment (PT) process with the potential to liberate xylose monomers, however SE-PT has not been optimised for xylose release from multiple feedstock. The effect of pressure, substrate weight, phosphoric acid loading concentration and residence time on four feedstock (wheat straw (WS), corn stover (CS), Miscanthus (M), and willow (W)) for xylose release and minimal fermentation inhibitor productions (furfural and 5-hydroxymethylfurfural (HMF)) was investigated using the Taguchi methodology for design of experiment (DoE) with variation at four levels (44). An L16 orthogonal array design was utilised and all factors indicated influence on xylose release and inhibitor formation and the resulting xylose rich hydrolysate assessed for bioconversion to xylitol.. The L16 DoE gave hydrolysates containing 75-95% of xylose content in the original biomass, whilst retaining cellulose and lignin components in the fibre. The level of inhibitors were within boundary limits to enable microbial fermentation of the hydrolysates to xylitol. Fine tuning of the overall evaluation criteria (OEC) model imbibing 1.5 kg feedstock in 1.2% w/v orthophosphoric acid, 12 bar(g) and 6 minutes residence time resulted in 90% xylose recovery and production of >1000 L of wheat straw hydrolysate for bioconversion to xylitol. The advantages and limitations of the Taguchi OEC model and further improvements to this process are discussed in a biorefining contextpublishersversionPeer reviewe
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