The performance evaluation of hedge funds: a comparison of different approaches using European data

The standard approach to the evaluation of funds assumes a normal return distribution and uses the variance as a measure of the funds risk. A few characteristics of hedge funds, such as the remuneration mechanism of the portfolio manager, make this assumption unacceptable and the traditional approach of Risk Adjusted Performance (RAP) must be revised before applying it to hedge funds. Some authors define a number of different RAP measures that attempt to overcome the problem related to the lack of normality: new RAPs are characterized by a more detailed return distribution analysis that does not consider only the first two moments of the distribution. A higher computational complexity may only be reasonable if selections founded on new RAPs permit to identify better investment opportunities than those selected with standard RAPs. This work analyses different approaches proposed with a view to calculating the RAP for hedge funds and evaluates advantages and limits of each proposed measure. An application of these measures to the European hedge funds market is proposed in order to demonstrate the usefulness of new approaches. An empirical analysis studies differences in funds classification based on different measures and demonstrates that the standard RAP approach is unable to identify the best performing hedge funds.Hedge funds; Risk Adjusted Performance and performance persistence

Il rapporto tra impresa e agenzia di rating: la soluzione del multi-rating

The credit rating market is characterized by low competition and a potential conflict of interest, due to the system of remuneration of the rating services, which impairs the reliability of the judgement delivered. Multiple credit rating means further costs for companies, because of the fees paid to more than one rating agency, but it does bring significant benefits in terms of the dissemination, on the market, of judgements concerning the companies. This paper examines the relationship between the number of rating announcements concerning a company and the performance of the securities issued by that company, besides the effects of discordant ratings assigned to a company by different rating agencies (so-called “split rating”), and presents a detailed study of multiple credit rating and of the advantages determined by the placement of issued securities at higher prices, in connection with the new ratings assigned by different agencies. An analysis of split-rating completes this overview of the issue, highlighting how the weight carried by the different rating agencies can affect market reactions.Multi-rating; split-rating and rating agencies

Funds of funds portfolio composition and its impact on the performance: evidence from the Italian market

Funds of Funds (FoF) are particular investment funds that invest resources in some mutual funds. This type of funds offers the possibility to achieve an higher diversification that an investor can’t realize using other instruments. One of the main differences among FoFs available is the strategy adopted by the manager to select the investment funds to include in the portfolio and the number of funds included in the portfolio. The funds’selection could be naïf or based on some aspect related to the funds‘ history as the past performance achieved, the fund’s investment style or the manager’s reputation. This paper analyses FoF’s Italian market and verifies whether the performance is influenced by either the diversification strategy or the number of funds included in the portfolio. The analysis demonstrates that FoFs’ best performers are those which are less geographically or sectorially concentrated; there are significant differences following different criteria/constraints applied in the funds’ selection.Fund of Funds; Diversification and Portfolio strategy

Managing factoring in banking groups

On the market for factoring services independent suppliers coexhist with companies affiliated with banking groups. The last ones can be oriented in their decision processes by the policies of their parent company, usually a bank. They could also benefit from synergies among the different units of the group. The main benefits are linked to cost reduction, better skill-based resources allocation and a higher amount of financial coverage. If such interdependencies are found and developed, factors belonging to banking groups could attain a competitive advantage towards independent intermediaries. To assess the impact of the group structure we have to evaluate the degree of substitutability between factoring and other financial services supplied by the group, the synergy effects that could arise in each step of the production and delivery processes and eventually organizational challenges faced by the group. In our analysis we find evidence of complementarity among factoring and other financial products, we consider the possibile sinergies in some steps of the production process and we propose a methodology to assess the level of group cohesion and the kind of control exercised by the parent company.factoring; group organizations; institutional models

Supply chain dynamics after the Covid-19 pandemic and stock market performance: Evidence from the US

Supply chain risk is a strategic issue for managing multinational companies, and Covid-19 has shown the relevance of this type of risk for the firm's survival probability. The market may perceive the choice of replacing some of the main customers or suppliers as an increase or a decrease of the risk based on the features of the new supply chain members, and markets tend to penalize companies that increase their exposure to unaffordable events. During the pandemic, many supply chains suffered from glitches and companies were obliged to redefine their network by selecting their new strategic customers and/or suppliers. The paper evaluates the supply chain composition strategies of a set of multinational companies based in the US during the last decade. It highlights the differences in supply chain management behavior before and during the pandemic. Data collected allow testing the impact on the stock market performance of modifying the supply chain network by adding new members that may have a different level of risk. Results show that the market reaction to supply chain updates changed after the Covid-19, and nowadays there is greater attention on the credit risk of the new companies entering the supply chain

Cross-border banking and foreign branch regulation in Europe

Purpose This paper aims to examine the relevance of cross-border activity in the European banking sector, evaluating the role of differences in regulation to explain the level of interest in entering foreign markets. Design/methodology/approach The sample considers all banks in the European Union (EU 28) existing at year-end 2017, and information about the ultimate owners’ nationality to classify local and foreign banks is collected. The analysis provides a mapping of regulatory restrictions for foreign banks and evaluates how they impact the role of foreign players in the deposit and lending markets. Findings Results show that the lower are the capital adequacy requirements, the higher are the amounts of loans and deposits offered by non-European Economic Area banks and, additionally, the higher the probability of having a foreign bank operating in the country. Originality/value This paper provides new evidence on regulatory arbitrage opportunities in the EU and outlines differences among EU countries not previously studied

Empowering Youths and Combating Gang Activity Across Long Island Through MBA Capstone Consulting

The MBA program at Molloy College culminates with a capstone experience that provides prospective graduates with the opportunity to demonstrate learning through a project-based paradigm that aligns with the mission of the academic institution. Molloy College is an independent Catholic college rooted in the Dominican tradition and its mission includes the four pillars of study, spirituality, service, and community. This capstone course integrates these mission pillars by immersing the students in a real consulting problem that provides actionable solutions for a not-for-profit organization serving society. This paper summarizes the work completed by an MBA capstone consulting project to help the Council For Unity (CFU) increase its market expansion efforts so that its programs can be integrated into more communities across Long Island. This group integrated the knowledge and skills gained throughout the academic program and designed a new organizational structure, a comprehensive market entry model, and a digital marketing strategy to facilitate the CFU’s efforts at empowering youths and reducing gang activity across Long Island

A hard nut to crack : regulatory failure shows how rating really works

Credit rating agencies such as Moody’s and Standard & Poor’s are key players in the governance of global financial markets. Given the very strong criticism the rating agencies faced in the wake of the global financial crisis 2008, how can we explain the puzzle of their survival? Market and regulatory reliance on ratings continues, despite the shift from a light-touch to a mandatory system of agency regulation and supervision. Drawing on the analysis of rating agency regulation in the US and the EU before and after the financial crisis, we argue that a pervasive, persistent and, in our view, erroneous understanding of rating has supported the never-ending story of rating agency authority. We show how treating ratings as metrics, private goods, and independent and neutral third-party opinions contributes to the ineffectiveness of rating agency regulation and supports the continuing authoritative standing of the credit rating agencies in market and regulatory practices

Rif1 S-acylation mediates DNA double-strand break repair at the inner nuclear membrane

Rif1 is involved in telomere homeostasis, DNA replication timing, and DNA double-strand break (DSB) repair pathway choice from yeast to human. The molecular mechanisms that enable Rif1 to fulfill its diverse roles remain to be determined. Here, we demonstrate that Rif1 is S-acylated within its conserved N-terminal domain at cysteine residues C466 and C473 by the DHHC family palmitoyl acyltransferase Pfa4. Rif1 S-acylation facilitates the accumulation of Rif1 at DSBs, the attenuation of DNA end-resection, and DSB repair by non-homologous end-joining (NHEJ). These findings identify S-acylation as a posttranslational modification regulating DNA repair. S-acylated Rif1 mounts a localized DNA-damage response proximal to the inner nuclear membrane, revealing a mechanism of compartmentalized DSB repair pathway choice by sequestration of a fatty acylated repair factor at the inner nuclear membrane