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European Small Business Finance Outlook 2/2011

The Progress Microfinance investment by the EIB is part of EIB Group’s long term financing role seeking to increase value added and catalyse funds in support of small companies. Progress Microfinance illustrates the enhanced cooperation between the EU and the EIB Group through innovative risk sharing structures with subordinated capital from the European Union, allowing higher leverage on the Community budget and subsequently greater market impact and providing value added to a still emerging market through more effective and efficient use of scarce budgetary funds. ...

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Progress for Microfinance in Europe

In November 2009, EIF issued a working paper on the European microfinance market. In this study, we found that there are wide spectra of final beneficiaries and intermediaries and concluded that there is no common microfinance business model in Europe. While our findings suggested that the microfinance market is immature and fragmented, they also pointed to its growing importance as a market segment with a potential to counter poverty and unemployment while fostering financial and social inclusion. The main findings of our initial research with regard to the structure of the European microfinance market are still valid. ...

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The importance of leasing for SME finance

Whether or not investing in SRI funds carries a price in terms of a reduced financial performance is an essential question for those investors who are concerned about the ethical consequences of their investments and, at the same time, want to obtain an adequate financial return from those investments. Previous research on socially responsible investment (SRI) mutual funds has, thus, focused on comparing the financial performance of SRI and conventional funds. In this paper, we make four main contributions to the debate on the financial performance of SRI funds. First, we make a clear distinction between the two components of...

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Threadneedle Investment Funds ICVC

Second, explicitly analyzing fees allows us to determine whether investors in SRI funds pay an explicit price for the ethical value of their investments. Our results also shed light on the way in which mutual fund fees are determined, particularly on the question of whether fees simply reflect funds' operating costs or, as argued by Christofersen and Musto (2002) and Gil-Bazo and Ruiz-Verdú (2009), they are set taking into account the performance sensitivity of funds' clienteles. This is especially relevant in the context of the recent debate in the literature regarding the sensitivity of SRI fund investors to performance (Bollen,...

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Threadneedle Specialist Investment Funds ICVC

This is particularly relevant because estimated differences between SRI and conventional funds may not be due to the socially responsible investing per se, but to differences between the companies that manage SRI funds and those that manage conventional funds. Finally, we improve upon the matched-pair analysis employed in several prior studies by using the matching estimator methodology of Abadie and Imbens (2006). This methodology provides a systematic procedure to find matches when matching is done on several variables simultaneously, as well as a method to adjust for the bias that arises when matches with identical values of the matching...

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2011 The Yale Endowment

To derive our empirical results, we obtain a sample of equity SRI funds from the Social Investment Forum for the period 1997-2005 and merge this sample with the CRSP Survivor Bias Free US Mutual Fund Database. Our results indicate that the SRI constraint does not reduce funds' before-fee performance, measured using the four-factor alpha of Carhart (1997). On the contrary, SRI funds outperform comparable conventional funds by a substantial 0.96% to 1.83% per year before expenses. We investigate whether differences in before-fee performance between SRI and conventional funds are due to differences in fund turnover, which has been documented...

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Using EU Funds in PPPs - explaining the how and starting the discussion on the future

We do not find economically or statistically significant differences in fees (expenses, loads, or a measure of the total ownership cost of mutual fund shares) between SRI and similar conventional funds. Therefore, either there are no significant differences in the way fees are set for SRI and conventional funds, or the effects of those differences cancel out on average. Consistent with the results for before-fee performance and fees, we find that SRI funds obtain a higher after-fee risk-adjusted performance in terms of four-factor alpha than similar conventional funds. ...

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European Responsible Investing Fund Survey 2012

Differences in performance are substantially higher in the 1997-2001 subperiod, suggesting that the outperformance of SRI funds that we document in this paper is largely driven by the first part of the sample period. We also investigate how our results are affected by the presence of SRI funds that perform little social screening. When we restrict the sample of SRI funds to include only those funds that perform intensive social screening, we obtain results similar to those obtained for the whole sample of SRI funds. Similarly, excluding funds that outsource social screening activities does not alter our conclusions regarding the...

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Evolving Investment Management Regulation 2012: A clear path ahead?

To control for management company effects, we compare SRI and conventional funds run by the same management company and find that performance differences become small and statistically insignificant. These results suggest that differences between SRI and conventional funds may be explained by management company-level factors that determine both fund performance and the company's decision to manage SRI funds. We further explore this issue by distinguishing between SRI funds run by management companies specialized in SRI and those run by generalist companies. Our results show that SRI funds managed by generalist companies actually underperform, both before and after fees,...

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EY Islamic funds & investment report 2008

This difference is substantial and highly statistically significant in all specifications. These results are consistent with two different hypotheses. First, unobservable factors at the management company level could be associated with both the decision to specialize in SRI funds and higher fees and performance. In this case, socially responsible investing itself would not have any effect on performance or fees. Alternatively, socially responsible investing could be associated with superior performance but only management companies that specialize in SRI would be able to exploit this advantage. ...

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Pension Funds Investment in Infrastructure

Another literature examines whether asset managers or sell-side analysts are better able to collect private information on equities of corporations in their geographic area. For instance, Coval and Moskowitz (1999) nd that fund managers are better able to select stocks of rms headquartered nearby, while Cohen, Frazzini, and Malloy (2008) nd that fund managers with past educational ties to corporate managers overweight and outperform in the stocks of those corporations. This literature suggests that geographic proximity and/or social networks can aid the transfer of private information. Further, Sonney (2009) nds that European sell-side analysts with a country specialization outperform analysts with an industry specialization, suggesting that an understanding...

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MAPPING SUPPPORT FOR AFRICA'S INFRASTRUCTURE INVESTMENT

Together, these two seemingly unrelated bodies of research suggest that professional asset man- agers could be better able to choose local stocks under certain macroeconomic conditions. For instance, during the recent nancial crisis, we might expect that active UK asset managers would be valuable because of their ties to London nancial institutions, in the face of large asymmetric information on the value of banking stocks. On the other hand, during the technology collapse, we might prefer to invest in active Scandinavian managers, due to their specialized knowledge of local telecommunication companies{thus, helping to sort out which rms might recover most quickly. In essence, macroeconomic information can help...

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All Mutual Funds, Asset Management Companies (AMCs) and Association of Mutual Funds in India (AMFI)

This paper brings these issues to a unique data set that contains the monthly returns of European-domiciled equity mutual fund managers over a 20-year period. Speci cally, we ask whether an investor can outperform when she has access to country-speci c managers across several developed European markets, and is allowed to rotate the portfolio allocation among the countries (and managers) as macroeconomic conditions in Europe evolve. If such a strategy does result in outperformance, we wish to know which country's local equity managers exhibit the best skills dur- ing a particular phase of the European business cycle. To address these points, we explore whether, under some macroeconomic conditions, a...

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Master Circular for Mutual Funds

Our study has signi cant real-world economic implications. European funds grew from a little over $3 trillion during 2000 to nearly $9 trillion during 2007; by the end of 2007, the European industry amounted to nearly three-quarters of the size of the U.S. mutual fund industry, which, over the same period, grew from $7 trillion to $12 trillion. Further, there were over 35,000 European- domiciled mutual funds by the end of 2010 (Investment Company Institute, 2011), almost ve times the number of U.S.-domiciled funds, indicating that the European market is highly frag- mented. ...

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SECURITIES AND EXCHANGE BOARD OF INDIA (ALTERNATIVE INVESTMENT FUNDS) REGULATIONS, 2012

We focus on the dynamics of active management skills, and how an investor might optimally choose active funds during varying business conditions. Building on studies such as Avramov and Wermers (2006) and Moskowitz (2000), we allow for the possibility of time-varying mutual fund alphas and betas among active managers in Europe. Following Christopherson, et al. (1998) and Ferson and Schadt (1996), we model such time-variation using a publicly available set of conditioning state variables. Thus, another of the objectives of our study is to explore which, if any, macroeconomic state variables are helpful in identifying funds with superior future skills in selecting European equities....

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A Guide to Selling Irish Regulated Investment Funds in Asia

We rst construct Pan-European size, book-to-market, and momentum risk factors for stocks. Then, we report on the average performance of European mutual funds over our time period using these benchmarks. Our ndings are similar to those of many studies of U.S. mutual funds (e.g., Carhart, 1997 and Wermers, 2000). Speci cally, the median one-factor and four-factor alphas are -0.90%/year and -0.32%/year, respectively. This nding indicates that our benchmarks successfully control for common variation in European equity mutual fund returns....

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Luxembourg real estate investment funds September 2011

Our main empirical ndings are as follows. We nd that a range of nancial and macroeconomic variables prove helpful in selecting funds that are capable of generating future alphas. In particular, we nd evidence that a number of investment strategies (that use macroeconomic variables to predict fund returns) generate out-of-sample alphas from 7-9%/year (after fund-level trading costs and fees), when measured with a single-factor model, and from 12-13%/year with a four-factor model that controls for fund exposures to size, book-to-market, and momentum. ...

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CONCEPT PAPER ON PROPOSED ALTERNATIVE INVESTMENT FUNDS REGULATION FOR  PUBLIC COMMENTS

For the investor types believing that active managers can generate alphas, we nd that the ability to identify superior performing funds is further improved, albeit slightly, by augmenting the four-factor model with country indices, even if these indices represent non-priced factors, consis- tent with Pastor and Stambaugh (2002a). To illustrate, our baseline analysis nds CAPM alpha enhancements of up to 5% per year from using macroeconomic state variables to choose funds, relative to active manager choice using an unconditional CAPM model. Further improvements of up to 1% per year are attained from the tighter predictive distribution for fund alphas obtained using the Pastor-Stambaugh (2002a,b) speci cation, which, in...

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HUSSMAN INVESTMENT TRUST

We nd that these variables prove valuable in selecting funds with superior performance in Europe, which indicates their ability to locate skilled managers. Interestingly, we nd that some additional variables, such as growth in industrial production, in ation, and a proxy for stock market volatility, are also useful in identifying funds with superior future alphas.

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Annual Report Artio Global Funds

To better understand the sources of outperformance, we undertake an attribution analysis that decomposes investor returns into that from (1) the selection of Pan-European funds, (2) the selection of country funds, (3) the selection of sector funds, and (4) the timing of country weights implied by the selection of country funds. This analysis shows that the superior returns associated with the macroeconomic-driven strategies arise from the last three sources of performance, and not from choosing Pan-European funds. These Pan-European funds, while providing lower-cost diversi cation, do not exhibit exploitable alphas, either time-varying or unconditional. ...

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ANNUAL REPORT 2011 - EFAMA

In addition, we implement a version of our strategies that allows investment in individual European stocks, rather than funds. Here, we nd that the investment strategies that use macroe- conomic variables to predict investment alphas signi cantly outperform when they have access to funds (either with or without access to stocks) relative to when they have access only to stocks. Thus, macroeconomic variables help us to locate fund managers with skills, but they do not indi- cate that these fund managers are merely using the macrovariables themselves to time their stock purchases....

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ANZ OneAnswer Investment Funds Guide

To summarize, our study provides the rst evidence of local stock-picking skills of country- focused mutual funds. Further, we show that these skills are time-varying, and are best captured through the use of macroeconomic variables. To return to the issue of industry vs. country in Europe, we nd evidence that much more e ort is spent on managing and o ering country-focused funds, although sector-focused funds are gaining in popularity in Europe. As such, it appears that the industry vs. country debate is not yet resolved in the asset management world. And, to answer our earlier question, country funds continue to be important in capturing time-varying alpha, even with...

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Asset Management in Europe: Facts and Figures 2012

Our paper proceeds as follows. Section 2 reviews our data, and describes the economic state variables and risk factors used in the study. Section 3 reviews the investor types considered in our study, and provides details on the methodology. Section 4 presents the main empirical results, while Section 5 conducts an attribution analysis and Section 6 provides robustness results. Finally, Section 7 concludes. Details on data sources, variable construction, and additional robustness results are provided in a series of appendices available from the web....

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GLOBAL PRIVATE EQUITY REPORT 2012

To mitigate concerns with survival bias, Lipper proactively consults ocial fund lists as well as contacting new and existing fund companies to obtain data on new funds. Otto Kober, Global Head of Methodology, explained that Lipper \... consults ocial registration lists to have our database updated. We proactively approach the fund management companies for the data. There are a few instances where we do not get the data{especially for private funds or funds that are restricted exclusively to certain investors. Moreover, \We usually consult the ocial authorization lists. If we nd missing instruments [funds] we proactively contact the fund management companies. We are often also contacted by...

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FINANCIAL STATEMENTS OF BMW AG 2011

Our database contains relatively few European sector funds (shown in section III of Table 1), particularly prior to 2003. It is worth noting that the division between sector funds and country funds is less clear-cut than may rst seem the case. Indeed, some of the smaller European stock markets are dominated by a few rms and one or two sectors (e.g., Nokia in the Finnish stock market). Thus, investors likely used country funds to invest in certain industries during earlier periods of our time-series. Nevertheless, it appears that asset management in Europe has mostly been aligned with countries, rather than sectors, at least until very recently....

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Luxembourg Investment Funds Withholding Tax Study 2011

The data is limited in some respects. We do not have information on total net assets, nor do we know the exact location of the portfolio manager, so we use the fund's legal domicile as a proxy for the manager's location. 9 We also have limited data on front-end and redemption loads, as well as total fund expense ratios. Moreover, we do not have data on many of the individual funds' expenses and fees, particularly during the early part of the sample (we searched for these data, and none of the major services{e.g., Morningstar{appear to have historical data covering our entire sample period). ...

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Buffett’s Alpha

We control for risk exposures in measuring the funds' ability to outperform following the four factor approach advocated by Carhart (1997). We start with a Pan-European four-factor model. The four factors include a market risk factor, measured by the MSCI Europe total return index minus the one-month Euribor short rate; a size factor (small minus big, or SMB) that captures the di erence between returns on the Europe STOXX Small Cap Return Index and the Europe STOXX Large Cap Return Index; a value factor (high minus low, or HML) computed as the di erence between European value and growth portfolios. Finally, our momentum factor is constructed from the following...

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The Cross-section of Conditional Mutual Fund Performance in European Stock Markets 

We also add, to the four-factor model above, country-speci c market indexes in some of our analysis to performance models for country-focused funds. For instance, when we turn to such models, a UK fund will have, in addition to the Pan-European factors, a UK market index in a ve- factor model. 11 These augmented models help to control for persistent fund loadings on unpriced factors, as described by Pastor and Stambaugh (2002a). Adding such factors can help tighten the predictive distribution for fund alphas, which can be bene cial for the construction of portfolios. ...

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Are There Disadvantaged Clienteles in Mutual Funds?

In November 2009, EIF issued a working paper on the European microfinance market (see Kraemer-Eis and Conforti, 2009). In this study, we found that there are wide spectra of final beneficiaries and intermediaries and concluded that there is no common microfinance business model in Europe. While our findings suggested that the microfinance market is immature and fragmented, they also pointed to its growing importance as a market segment with a potential to counter poverty and unemployment while fostering financial and social inclusion. ...

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Performance inconsistency in mutual funds: An investigation of window- dressing behavior

This new report provides updated and additional information about the European microfinance market and current developments in the microfinance area. Moreover, it gives insights into the intervention logic, rationale for EU support, and mandate development considerations of the EIF in this field. More precisely, following a short introduction, we provide in the second section (general market overview) updated information for selected aspects of microfinance in Europe. The third part explains the rationale for public support in the microfinance area and focuses on the chosen approach for the current Progress Microfinance mandate. This intervention logic is based on the market structure...

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