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World Economic Outlook Slowing Growth, Rising Risks

Our goal is to study a broad sample of countries. We gather reliable data for 55 nations and measure the size of each country’s mutual fund industry relative to the country’s assets in “primary” domestic securities (which includes equities, bonds, and bank loans) that are available to prospective investors. For completeness, we also report the size of national fund industry assets relative to the country’s GDP and population. We study the industry as a whole, and equity and bond funds separately, because certain hypotheses apply only to one of the two subsectors. ...

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Triodos Microfinance Fund Audited annual report 2011

For the countries in our sample, the mutual fund industry comprises 16.8% of the primary financial assets, on average, with a median of 4.3%. As we discuss in more detail subsequently, two countries are substantial outliers -- the fund industries in Luxembourg and Ireland account for 484% and 82% of their country’s primary assets. We treat these two extreme observations with some care in our work. The naïve inclusion of these countries in multivariate analyses can produce misleading results, but given that these are two interesting data points in our analysis, it would ...

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P&I/TW TOP 300 PENSION FUNDS ANALYSIS AS AT 2010 YEAR END

We focus on four national characteristics to explain the size of the mutual fund industry across countries: law and regulation; demand characteristics; supply side factors; and the nature of the securities markets. Countries with a stronger judicial system, more stringent regulatory approval and disclosure requirements for funds tend to have a larger fund industry. This suggests that stronger regulation may be beneficial to the fund industry. Furthermore, for equity funds, the enforcement of insider trading rules has an adverse effect on the size of the mutual fund industry, consistent with the view that failure...

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WORLD INVESTMENT REPORT 2011 NON-EQUITY MODES OF INTERNATIONAL PRODUCTION AND DEVELOPMENT

When considering supply side factors, we study characteristics of the financial sector that would influence the speed of adoption of mutual funds. We examine the effect of bank concentration, restrictions placed on banks to enter the securities business, the number of distribution channels available for funds, the presence of an explicit deposit insurance system for banks, and the time and cost to set up a new fund. We find that nations that restrict banks from entering the securities business have smaller equity and bond fund sectors. In addition, countries with a...

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A guide to Understanding Mutual Funds

When considering demand side factors, we find that wealthier countries, measured by GDP per capita, and countries with a more educated population have a larger mutual fund sector. These effects are particularly pronounced for the equity sector, which may require a higher level of investor sophistication. Internet penetration is also positively related to the size of the mutual fund sector, but it is highly correlated with the other demand size variables. In addition, the mutual fund sector is larger in countries where a larger fraction of pension plans are defined contribution plans. ...

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Value Accounts Investment Funds 2012

We interviewed experts to explain the growth of Luxembourg and Ireland. Tiny Luxembourg grew to be a European mutual fund hub, fueled by favorable bank secrecy and tax laws as well as its central location. The growth of Ireland (Dublin in particular) on the other hand, was driven by a tax advantage given to management companies and a highly educated labor force. In particular, until recently, fund management companies paid a tax of only 10% on their income (relative to a 32% corporate income tax in Ireland) and they were allowed extra deductions for rental...

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Benchmark Responsible Investment by Pension Funds in the Netherlands 2011

Thus, mutual funds, while going by a variety of names, are fairly comparable around the globe. 8 In this paper, we contrast mutual funds with other ways in which households might save and invest in financial assets, which we characterize broadly as “do-it-yourself (DIY)” and “opaque financial intermediaries.” Whereas a mutual fund is defined as a pooled diversified investment vehicle, “do-it- yourself” investments are direct investments by households in primary securities (bonds, stocks or cash). Whereas open-end mutual funds are defined world-wide in terms of their transparency in the form of their redemption...

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ANNUAL REPORT 2011 VIETNAM SECURITIES INVESTMENT FUND

We begin our sample construction with a list of the top 75 countries in the world based on GDP at the end of 2001. 9 This list is matched with countries identified as having a fund industry in publications of either the Investment Company Institute (ICI) or Fédération Européenne des Fonds et Sociétés d'Investissement (FEFSI). 10 The asset size for the countries not listed in the ICI and FEFSI data sources is gathered through web-based sources and discussions with industry experts. We are able to obtain a sample of 55 countries with data on the relative size of the...

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Vietnam Opportunity Fund Limited Annual Report 2011

The smart money hypothesis states that investor money is “smart” enough to f low to funds that will outperform in the future, that is, that investors have genuine fund selection ability. 1 Research into smart money in the mutual fund context was initiated by Gruber (1996). His aim is to understand the continued expansion of the actively managed mutual fund sector despite the widespread evidence that on average active fundmanagers do not add value. To testwhether investors are more sophisticated than simple chasers of past performance, he examineswhether investors’money tends to f lowto the funds that subsequently outperform. Working with a subset of U.S. equity funds, he finds evidence...

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The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies ∗

Zheng (1999) further develops the analyses of Gruber (1996), expanding the data set to cover the universe of all equity funds between 1970 and 1993. She finds that funds that enjoy positive net f lows subsequently perform better on a risk-adjusted basis than funds that experience negative net f lows. She also examines whether a trading strategy could be devised based on the predictive ability of net f lows and finds evidence that information on net f lows into smal funds could be used to make risk-adjusted profits....

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Which Money Is Smart? Mutual Fund Buys and Sells of Individual and Institutional Investors

Themore recent research of Sapp and Tiwari (2004), however, argues that the smart money effect documented in prior studies is an artifact of these studies’ failure to account for themomentumfactor in stock returns. Their argument can be synthesized as follows. Stocks that perform well tend to continue doing well (Jegadeesh and Titman (1993)). Investors tend to put their money into ex post best-performing funds. These funds necessarily have disproportionate hold- ings of ex post best-performing stocks. Thus, after buying into winning funds, investors unwittingly benefit from momentum returns on winning stocks. ...

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WORLD INVESTMENT REPORT 2012 Towards a New GeNeraTioN of iNvesTmeNT Policies

Thus, after buying into winning funds, investors unwittingly benefit from momentum returns on winning stocks. To test this reasoning, Sapp and Tiwari calculate abnormal performance following money f lows with and without accounting for the momentum factor, and find that inclusion of the momentum factor in the performance evaluation proce- dure eliminates outperformance of high f low funds. In addition, they show that investors are not deliberate in seeking to benefit from stock-level momentum: More popular funds do not have higher exposure to themomentumfactor at the time they are selected. Wermers (2003) further contributes to this discussion by examining fund portfolio holdings and establishing that fund managers who have recently...

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The World of Mutual Funds

However, there are a number of advantages to examining the smart money effect in fund management using our U.K.mutual fund data. First, ourmoney f low data aremonthly rather than quarterly. Second, we observe exact f lows rather than approximations based on fund values and fund returns. Third, we can distinguish between institutional and individualmoney f lows. Fourth, we can distinguish between purchases and sales. A further advantage is that we are able to examine mutual fund investor behavior in a different institutional setting from that of the United States. For example, unlikeU.S.mutual funds,U.K. funds competewithinwell-defined peer groups, which may facilitate investors’ decision making. Also, the tax overhang issue (Barclay, Pearson, and...

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DISCUSSION PAPER PI-1009: Why Does Mutual Fund Performance Not Persist? The Impact and Interaction of Fund Flows and Manager Changes

In addition to testing for the presence of smart money, the disaggregated na- ture of our fund f low data allows us to examine two key hypotheses with respect to mutual fund investor behavior. Specifically, we are in a position to compare the quality of fund selection decisions made by individual and institutional investors, and likewise to compare fund buying and selling decisions. While in- stitutions should benefit from both better information and more sophisticated evaluation techniques, we would expect individual investors to have greater incentives to make good investment decisions given the superior alignment of their payoffs with their investment returns (Del Guercio and Tkac (2002))....

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Consumer Interest Rates and Retail Mutual Fund Flows

In the absence of further guidance on the relative importance of the two argu- ments, our prior about the relative smartness of institutional versus individual money f lows remains neutral.With regard to the direction ofmoney f lows, there are at least two reasons to believe that investors’ fund sells have a weaker as- sociation with future performance than their fund buys. First, the disposition effect discussed in Odean (1998) suggests that sell decisions are generally not optimallymade. Second, fund redemptions aremore likely than fund purchases to be due to factors unrelated to future performance, such as liquidity needs or taxes....

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THE ROLE OF INSTITUTIONAL INVESTORS IN FINANCING CLEAN ENERGY

We find that portfolios in which funds are weighted by their money inf lows outperform portfolios in which funds are weighted by TNA: New money beats oldmoney.We also find that high net f low funds outperformlow net f low funds. Thus, within the universe of actively managed funds, new investors tend to choose the better ones: Money is smart. This result holds for both individual and institutional investors, and is driven by investors’ fund buys rather than sells. The smart money effect is not explained by the Chen et al. (2004) fund size effect, performance persistence, or the impact of annual fees on fund per- formance, nor is...

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Activity Data on Fundraising, Investments and Divestments by Private Equity and Venture Capital Firms in Europe 2012

States from 1991 onwards. Using these monthly data, we document a statisti- cally significant smart money effect in the United States whose magnitude is comparable to that of the United Kingdom. However, even at the quarterly data frequency, the post-1990 period is suggestive of the presence of smart money in the United States (whereas the 1970 to 1990 period is not). These conclusions hold irrespective of whether the momentum factor is taken into consideration. Thus, Sapp and Tiwari’s results are due to the weight they put on the pre-1991 period, and to their use of quarterly data. The conclusions of Gruber and Zheng about the presence of smart...

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Flow of Funds Accounts of the United States: Flows and Outstandings Third Quarter 2012

The second difference has to do with the tax treatment of capital gains. In the United Kingdom, the system is simple: Investors only pay capital gains tax when they sell their shares in a fund. In the United States, however, investors face an additional form of capital gains tax. U.S. mutual funds must distribute net capital gains realized by the fund, and when they do so, their investors are liable for tax on these distributions. While existing investors prefer their fund managers to defer realization of capital gains, the resulting tax overhang is likely to deter new investors (Barclay et al. (1998)). U.K. investors therefore face a simpler...

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Department of Industrial Policy and Promotion Ministry of Commerce and Industry Government of India: CONSOLIDATED FDI POLICY 2012

Fees have not received much explicit attention in the literature on SRI mutual funds. However, several papers report average expense ratios for SRI and conventional funds (Statman, 2000; Bauer et al., 2005; Benson et al., 2006; Benson and Humphrey, 2008; Renneboog et al., 2008a). In line with our results, none of these papers find significant differences in fees between SRI and comparable conventional funds with the exception of Benson and Humphrey (2008), who report that the median expense ratio is significantly higher for conventional funds. ...

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STRUCTURING ISRAEL’S SOVEREIGN INVESTMENT FUND: Financing the Nation’s Future

Mutual funds charge two kinds of fees: expenses and loads. Expenses comprise the management fee (typically a fixed percentage of assets under management) and other recurring operating costs—such as custodian, administration, accounting, registration, and transfer agent fees. Rather than charging explicit fees for these expenses, funds deduct them on a daily basis from the fund's net assets. Expenses are expressed as a percentage of assets under management (the expense ratio). Loads are one-time fees used to compensate distributors. They are paid either at the time of purchasing (front-end load) or redeeming fund shares (back-end load) and computed as a fraction...

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Meeting of the FIP Sub-Committee - INVESTMENT PLAN OF LAO PEOPLE’S DEMOCRATIC REPUBLIC

Since the 1980s many funds charge 12b-1 fees, which are used to pay for marketing and distribution costs and are included in the fund's expense ratio. Many funds offer multiple share classes (such as A, B, or C classes) with different combinations of loads and 12b-1 fees. To approximate the total cost of mutual fund shares, we aggregate all the costs incurred by fund shareholders using the now standard total ownership cost (TOC) measure introduced by Sirri and Tufano (1998). To obtain this measure, we annuitize the total load by dividing it by the number of years that investors are...

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A frAmework for Action: social enterprise & impact investing

In the CRSP data set, different classes of the same fund appear as different funds. We identify the classes that belong to the same fund and obtain fund-level information by averaging (weighting the classes by total net assets) the class-level data provided by CRSP. We also exclude index funds from our sample. Since the index identifier in CRSP is only available as of 2003, we use funds' names to determine whether they are index funds or not. For SRI funds, we double-check the classification manually to make sure that we do not unnecessarily delete SRI funds from the sample. We...

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Managed Investment Funds Product Disclosure Statement - A range of funds that allows you to create an investment portfolio that suits your individual needs

We obtain our list of SRI funds from the Social Investment Forum's (SIF) reports published in 1997, 1999, 2001, 2003, and 2005. 3 Each report contains comprehensive information about SRI in the US for both the publication year and the preceding one. In particular, the reports contain a list of SRI mutual funds compiled by SIF. To construct this list SIF employs a direct survey methodology and gathers information from third parties. A fund is included in the SIF list if it utilizes one or more social or environmental criteria as part of a formal investment policy. 4 To be included in...

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Franklin Templeton Investment Funds

We obtain information from SIF on the social screening activity of SRI funds. SIF pro vides information about the use of screens in eleven screening categories: alcohol, tobacco, gambling, defense/ weapons, animal testing, products/services, environment, human rights, labor relations, employment/equality, and community investment. We also obtain information from SIF on whether social screening is performed in-house or delegated to an external firm. In our tests, we exclude from the sample those observations of SRI and conventional funds with missing values for risk-adjusted performance (Section 2 describes the procedure employed to estimate risk-adjusted performance), expenses, loads, or any of the control...

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Proposal for a DIRECTIVE OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL on Alternative Investment Fund Managers and amending Directives 2004/39/EC and 2009/…/EC

The ideal experiment to evaluate the impact of socially responsible investing on performance and fees would be to observe the same funds both with and without the SRI constraint. Most previous studies (Gregory et al., 1997; Statman, 2000; Kreander et al., 2005; Bauer et al., 2005) approximate the ideal experiment by comparing the performance of SRI funds to that of a control group of comparable conventional funds, a methodology that is known as matched-pair analysis. More precisely, each SRI fund is matched to one or several conventional funds with similar values of one or more matching variables. The difference between...

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GULF COOPERATION COUNCIL MUTUAL FUND INDUSTRY SURVEY 2011

In this paper, we employ the bias-adjusted matching estimator developed by Abadie and Imbens (2006), which overcomes this difficulty. The matching estimator analysis maps the multiple matching variables into a single number that measures the distance to the observation to be matched and selects as control observations those with the lowest value for this distance. Matching estimators, therefore, make it possible to use several matching variables simultaneously. 8 The bias-adjusted matching estimator of Abadie and Imbens further corrects the potential bias arising from the difference in the matching variables by explicitly taking into account how the variable of interest...

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HSBC GLOBAL INVESTMENT FUNDS investment company with variable capital incorporated in Luxembourg - JULY 2012

Therefore, we match SRI funds with conventional funds that are initially similar and estimate the differences over time in performance and fees between the initially similar funds. We report results for simple and biased-adjusted estimators obtained using one and four matches per SRI fund. The one-match procedure is the one that most closely approximates the matched-pair methodology used in previous studies and it maximizes the quality of the matches, although at the cost of a small sample size. In some specifications, we use two, rather than four matches, because of a low number of available fund-year observations....

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The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies

Finally, the requirements that a fund has to fulfill in order to be included in the SIF's listing of SRI funds are not stringent. For example, a fund could be on the list just by having a formal policy of excluding companies with interests in the tobacco business. If the constraints that SRI (as defined in our data set) imposes on fund managers are minor, the performance of SRI mutual funds should not be expected to be lower than that of conventional funds. It is important to highlight that the estimated performance differences between SRI and conventional funds cannot...

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GLOBAL ALTERNATIVES SURVEY 2012 INCLUDING THE TOP 100 ALTERNATIVE INVESTMENT MANAGERS

Even if socially responsible investment does not impose a cost on SRI fund investors in terms of reduced before-fee financial performance, these investors could still pay an explicit price for their funds' social responsibility in the form of higher fees. Indeed, there are reasons to expect fees charged by SRI funds to be higher. First, some SRI funds actively engage with the firms in which they invest to encourage them to pursue socially responsible policies. The costs of such active monitoring may be partly passed on to investors in the form of higher expenses. Second, investors concerned about social...

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HSBC Global Investment Funds Annual Report 2012

We measure the impact of unobserved actions by comparing the actual mutual fund performancewith the performance of a hypothetical portfolio that invests in the previously disclosed fund holdings.We term this return difference the return gap. The impact of unobserved actions is included in the investor return but not in the return of the hypothetical portfolio. For example, commissions paid by mutual funds to their brokers or stale-price arbitrage losses do not directly affect the returns of the holdings, but they do adversely affect the returns to investors. On the other hand, the value- creating interim trades increase the disclosed fund return relative to the return of a hypothetical portfolio...

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