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Phillip Investment Funds 2012
Third, we find that after accounting for luck, the percentage of funds with negative alphas in the population is approximately equal to 20% across all categories, while the proportion of funds with positive performance is much lower (it amounts to 1.9% of all funds in the population). It implies that the performance of the industry as a whole is not so bad because about 80% of the funds generate a performance sufficiently high to cover their expenses. The negative average performance documented in past studies is not due to the majority of funds but is caused by 20% of the funds....
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FINANCIAL STABILITY OVERSIGHT COUNCIL PROPOSED RECOMMENDATIONS REGARDING MONEY MARKET MUTUAL FUND REFORM
The remainder of the paper is as follows. The next section defines the standard approach and the notion of luck. Then, we define the F DR and explain our new methodology which allows us to compute the F DR among the best and worst funds separately. Section 3 presents the performance measures, the estimation technique to compute the p-values as well as the mutual fund data. Section 4 contains the empirical analysis of the impact of luck on performance across the four investment categories. Section 5 concludes. An appendix gathers proofs and results of a Monte-Carlo study on the accuracy of our new measures of luck....
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Consultative Document Strengthening Oversight and Regulation of Shadow Banking
In the usual case where a single test is performed on the alpha of one fund (or one portfolio of funds), luck is controlled by setting the significance level γ (or equivalently the Size of the test). The standard approach differs from this framework because it boils down to running a multiple hypothesis test instead of a single one. The null hypothesis H0 of no performance is tested for each of the M funds in the population. In a multiple testing framework, luck refers to the number (or the proportion) of lucky funds among the significant funds that are discovered. Accounting for luck in this situation...
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State Farm Mutual Fund Trust ANNUAL REPORT 2011
Since such a fund is determined according to a pre-ranking of all fund alphas, a correct inference about its alpha must take into account the entire cross-section of the fund alphas3. In this context, they advocate to use a bootstrap procedure, and conclude that they account for luck in the sense that they correctly compute the p-values of the individual funds4. This definition of luck is not related to the issue of multiple testing investigated in this paper. In fact, we would face a similar multiple testing problem in their setting if we wanted to know how many individual funds corresponding to the various quantiles of the cross-section...
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SUPPLEMENT DATED JANUARY 11, 2013, TO THE STATEMENT OF ADDITIONAL INFORMATION FOR CLASS A SHARES, CLASS C SHARES, CLASS Y SHARES, AND CLASS I SHARES, DATED APRIL 30, 2012
Funds with differential performance are either characterized by positive or negative alphas. To determine the source of differential performance, the standard approach partitions the R (γ) significant funds in two groups according to the sign of their estimated alphas. The first group contains the R+ (γ) funds with positive estimated alphas. We refer to them as the best funds. Similarly, the second group is formed with the R− (γ) funds with negative estimated alphas. We call them the worst funds. At a second step, R+ (γ) and R− (γ) are used as estimators of the number of funds with positive alphas and negative performance, respectively....
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Mutual Fund Risk/Return Summary Taxonomy Preparers Guide
Armstrong and Vickers (2001) have shown that if the consumers are required to buy all the goods at one shop (a practice usually referred to as \pure bundling) the competition can be modeled in terms of utility o ers made by retailers and thus solved relatively easily. The aim of this study is distinctly di erent: we want to analyze pricing strategies of multiproduct retailers when, at least some, consumers are able to buy products at di erent shops. This phenomena seems to be widespread (e.g. savvy shoppers who buy a TV set at one shop and a DVD player at another) and Armstrong and Vickers (2001) do not address it...
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U.S. Securities and Exchange Commission In Brief FY 2013 Congressional Justification
Some authors have modeled the multiproduct price competition in di erentiated goods where, as in our model, consumers can engage in mixing purchases between shops. Lal and Matutes (1989) have studied price competition in a duopoly selling two independent goods. They nd that in equilibrium retailers will charge di erent but deterministic prices and may even capture the entire consumer surplus of the less mobile consumers. As opposed to our model in Lal and Matutes (1989) goods are di erentiated (for some consumers), the consumers di er in their willingness to pay and there is a economies of scale in shopping. In contrast, we assume that the two goods are...
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RESPONDING TO THE AIFM DIRECTIVE - THE LUXEMBOURG SPECIALIZED INVESTMENT FUND
In the Burdett and Judd (1983) model retailers are selling only one good and thus setting only one price. As a result, while lowering it to attract the shoppers they also lose sure pro t they earn from the captives. In contrast, if retailers are selling two complements, they can keep the sum of the two prices constant at the joint reservation value of the two goods (thus ensuring that the pro t earned from the captives is unchanged) and lower one of the prices, engaging aggressively in a price competition for the shoppers. Joint discrimination is impossible if the two goods are substitutes. Unlike complements, substitutes that a retailer...
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Social Investment Manual An Introduction for Social Entrepreneurs
As a result, the retailer cannot keep the sum of prices equal to their joint reservation value and start decreasing one of them to compete for the captives as by doing so she induces the captive consumers to buy only the cheaper good. Not only the retailers are not able to earn additional pro ts through discriminating the two groups of consumers but also they will earn lower pro ts than they would if all of them were selling only the bundle. When forcing consumers to buy both goods together retailers disallow an implicit competition between the two goods within their store. This phenomenon is unrelated to the competition...
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FISCAL YEAR 2013 ANALYTICAL PERSPECTIVES BUDGET OF THE U.S. GOVERNMENT
Even thought most of the literature does not directly document this negative relationship there are several attempts to prove that discounting both complementary goods at the same time could be a pro table strategy. Theoretical justi cation for holding sale on only one of two complements is grounded in the monopoly paradigm: if a shop lowers a price for one of the goods the optimal price for the other rises as the demand for it increases thus having both goods on sale should not be optimal. It is not obvious why, in the rst place, the monopolist has to lower one of the prices from its optimal monopoly level...
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Sustainable Land Management (SLM) Technologies and Approaches
Relatively recently, after the availability of scanned data from supermarkets some authors started studying the choices of individual consumers in response to price discounts rather then focusing on the overall store sales. Such approach allows to separate the e ect price reduction has on the number of items individual consumer buys from the number of consumers price reduction attracts to the shop. Moreover, it became possible to see which goods consumers purchase together and how this behavior changes in response to price reductions. Van den Poel et al. (2004) have studied consumer decisions based on their basket of purchases and found that:\[s]imultaneous large discounts on both main and complementary...
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FRANKLIN TEMPLETON INVESTMENT FUNDS: SOCIÉTÉ D'INVESTISSEMENT À CAPITAL VARIABLE 2012
This nding is strongly in line with the prediction of our model that when one of the products is on the deepest discount the other one is priced high. Van den Poel et al. (2004) also nd that:\[t]he situation in which a complementary product is in promotion when the main product is not in promotion does not occur frequently. The \main product is de ned as the highest sales and pro t generator. In our model we nd that If one of the goods is valued much higher than the other (the case of \Intermediate Complements in what follows) the interval where the price of the less valuable complement...
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FRANKLIN TEMPLETON INVESTMENT FUNDS: SOCIÉTÉ D'INVESTISSEMENT À CAPITAL VARIABLE 2011
We will show that in the two-good nonsequential search model prices of the two goods will be randomized and depending on the nature of demand interrelation we expect to nd no correlation between them if the goods are substitutes or independently valued and negative correlation if they are complements. The latter result derives from an inability to charge the highest price for each good simultaneously as at such pair of prices none of the complements will be purchased at all. When deciding to carry both substitutes the retailers are not able to charge excessive price for each of them and hence neither of the prices is restricting...
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World Economic Outlook October 2012: Coping with High Debt and Sluggish Growth
What follows is similar to Burdett and Judd (1983). Consider a market with N retailers selling two homogeneous goods labeled A and B. Marginal cost of production ci (i = a; b) is assumed to be constant, independent of a production level of the other good and equal among the retailers. Cost of producing a bundle of one unit of each good will be denoted by cab and is equal to ca + cb. All consumers have identical tastes and their mass per retailer is normalized to one. The consumers demand exactly one unit of each good and the triplet (va; vb; vab) describes their reservation...
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GLOBAL INVESTMENT TRENDS: World Investment Report 2012
Since each retailer has a monopoly power through the captive consumers, the strategies employed in the oligopolistic equilibrium depend on the pricing behavior of a hyphotetical monopolist facing the captive consumers. Before proceeding to solving the oligopoly model we will illustrate the optimal behavior of the consumers facing any price pair and, subsequently, pro t-maximizing strategy of the monopolist. This section will demonstrate that the pricing by the monopolist is fundamentally di erent depending on whether the two goods are substitutes or complements so we shall solve the oligopoly model for these two cases separately....
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Health and Structural Funds in 2007-2013: Country and regional assessment
Imagine the opposite. For simplicity assume that A is the one the captives do not buy. It should be clear that the shoppers will not buy any good that captive do not buy so the retailer will not sell A at all. But one can always lower the price of A to such level that it is still above the marginal cost and the captives buy both goods, a strategy that increases pro t. In terms of Figure 1 B is the only good sold if the price point is in region B. For any point in this region the retailer can x the price of...
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The Green Investment Report The ways and means to unlock private finance for green growth
When the goods are substitutes we have established that the monopolist would bundle the goods as long as vab
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Luxembourg Investment Funds Withholding Tax Study 2012
There are several way so sustain the pure components equilibrium we have solved. Most importantly, the two goods in question can have di erent life-cycles leading to existence of consumers who already own one of the goods and are shopping only for the other. If number of such consumers is substantial the small gains that bundling brings can be o set with losses from these consumers who will be less likely to buy a bundle. Clearly we have not dealt with such consumers in our paper but we strongly believe that such an extension will not change the main ndings of our model while eliminating bundling as a pro table...
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Working for the regions EU Regional Policy 2007-2013
Furthermore, when the two goods are complements pure components equilibrium features higher pro ts for all the retailers relative to the pure bundling equilibrium. If the retail industry shares pro ts with the producers of these two goods in some proportional way, none of the producers have incentive to allow bundling as that would make the competition between retailers harsher and will lead to less pro t for the industry. Lastly, assembling goods into a bundle is a costly exercise for retailers. These costs can outdo the small bene ts the bundling brings against randomizing competitors and sustain the pure components equilibrium....
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Nên kiên định với chính sách tiền tệ thận trọng, linh hoạt
Đẩy lùi được bất ổn kinh tế vĩ mô, kiềm chế được chỉ số giá tiêu dùng ( CPI) thấp hơn nhiều so chỉ tiêu đề ra, đồng thời lấy lại được niềm tin vào đồng nội tệ, nhưng nền kinh tế Việt Nam cũng đã phải chấp nhận sự đánh đổi. Tăng trưởng kinh tế chậm lại ở mức 5,2%, đầu tư tư nhân tăng thấp, tiêu thụ hàng hóa khó khăn, hàng tồn kho tăng cao, tình trạng doanh nghiệp khó khăn và phá sản gia tăng. Hàng tồn kho và nợ xấu ngân hàng đang như “cục...
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Liste des produits européens autorisés en France au 05 février 2013
On MiFID and MAD, depending on when European co-legislators finalise their negotiations, 2014 may still see further drafting of Level 2 implementing measures along with national implementation. The actual application of new texts in practice, which may occur in 2014 or 2015, will then be coordinated by ESMA which may entail the drafting of guidelines to ensure supervisory convergence. It may also require further tasks such as, under MiFID II, the determination of derivatives subject to the obligation to trade on organised venues, and under MAR/MAD, the coordination of cross border investigations and of cooperation....
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2009 Investment Company Fact Book 49th edition - A Review of Trends and Activity in the Investment Company Industry
ESMA’s focus in 2013 in the investment funds area will be divided between the finalisation of the key elements of the Alternative Investment Fund Managers Directive (AIFMD) framework, leading up to the transposition deadline of July 2013, and work in the area of UCITS. This area will also be supplemented by activity with respect to the Regulations on Venture Capital (VC) and Social Entrepreneurship Funds (SEFs). Regarding AIFMD, ESMA intends to finalise the draft Regulatory Technical standards (technical standards) to define the types of AIFM required by Article 4(4) of the Directive by Q1 2013. These technical standards are a key...
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SONAE SIERRA PRESS KIT
The EU needs to protect its citizens and their rights from threats and challenges and further remove obstacles to circulation of citizens in Europe. This includes fighting crime and corruption, controlling our external borders and ensuring the respect of the rule of law and of fundamental rights, with the right balance between security and mobility. It also needs a well functioning and efficient justice system to support growth, entrepreneurship and attract investors. Equally, the EU works to proactively reduce risks to health, food and product safety, critical infrastructures and disasters. Safe and sustainable use of nuclear energy is a key element....
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EU Funds 2013 - Transition to the next programming period 2014-2020
European society and the European economy do not yet exploit the full potential for resource efficiency. Much recyclable waste is either exported or sent to landfill. A lack of long-term frameworks holds back planning and investment, most obviously on a climate and energy framework beyond 2020, but also on long term sustainable use of key resources such as air, soil, energy, water, fish and biomass. At the same time, such frameworks can help to galvanise the innovation needed to exploit the potential of the transition to a low-carbon economy in areas like transport, energy and agriculture....
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Market Outlook 2012 - 2013: BOM GLOBAL ASSET MANAGEMENT
Competitiveness today must be geared to competitiveness tomorrow. There is untapped potential for the EU economy to be more innovative, productive and competitive whilst using fewer resources and reducing environmental damage. Less waste should be produced and more re-used and recycled in line with the practice of the best performing Member States. Greater resource efficiency would contribute to growth, jobs and enhanced competitiveness, with reduced costs for business as well as significant benefits for health and the environment, lower greenhouse gas emissions, contained energy bills and new opportunities created for innovation and investment. The EU is particularly well-placed to give policy the long-term dimension required....
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2013 Hedge Fund Outlook Some gains, more pain
They say what doesn’t break you makes you stronger. For hedge funds, 2012 was a backbreaking year to put it mildly. Heightened market volatility, stressed global macroeconomic conditions, and underperformance relative to traditional investing vehicles were just a few of the factors that challenged hedge funds in 2012. Add the extra weight of an increasing regulatory burden, and many fund leaders might have been forgiven for packing it in. But something telling happened instead — the industry emerged from 2012 stronger than it went in, surpassing the records it set in 2007 for assets under management (AuM) and absolute number of funds.1 Those that remained settled into a more measured and sustainable...
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Strengthening Oversight and Regulation of Shadow Banking: A Policy Framework for Oversight and Regulation of Shadow Banking Entities
The Investment Company Institute (“ICI”) and ICI Global appreciate the opportunity to comment on the consultative document published by the Financial Stability Board (“FSB”) entitled “Strengthening Oversight and Regulation of Shadow Banking: A Policy Framework for Oversight and Regulation of Shadow Banking Entities.”1 ICI is the national association of U.S. investment companies, including mutual funds, closedend funds, exchange-traded funds (“ETFs”), and unit investment trusts (“UITs”) registered under the Investment Company Act of 1940 (“Investment Company Act”).2 ICI seeks to encourage adherence to high ethical standards, promote public understanding, and otherwise advance the interests of U.S. registered funds, their shareholders, directors, and advisers. ICI Global is the global association...
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European Investment Fund - Birthe Bruhn-Léon Head of Mandate Management
Obstacles to mobility remain one of the main lost opportunities of the Single Market. Adoption and implementation of the revision of the Professional Qualifications Directive6 will be an important step to open up professions. Work should continue to examine and reduce unnecessary restrictions for regulated professions limiting the ability of professionals to work in another Member State. Preparing the new generation of programmes under the European Social Fund will be a major goal for 2013, to ensure that this brings the quickest and most effective support to the modernisation of labour market policies and social inclusion policies, strengthening of education and lifelong learning systems, to ensure that groups...
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aiCIO 2013 MEDIA KIT - Insight for Institutional Chief Investment Officers
Public employment services and employers face a major challenge with the scale of unemployment in Europe, in particular among young persons. To boost the employability levels is key to re-launch growth, taking also into consideration vulnerable groups. The potential for job creation in sectors such as the green economy, ICT, health and is not fully exploited. Education and training systems are not keeping up with changing labour market needs – resulting in shortages in key areas like science, mathematics and e-skills. Higher education is not sufficiently connected to research and innovation activities and is slow to build capacity in areas like ICT – which both reflects and...
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Ernst & Young Alternative Investment Funds Club
Through its capacity to combine growth and inclusiveness, our social market economy is one of Europe's greatest assets. But today its economy and its society face the threat that the grave problems of high unemployment, increased poverty and social exclusion risk becoming structural. The EU dimension must be harnessed to assist Member States to find every opportunity to help people looking for work and to address the mismatch between labour supply and demand. This starts with an active employment policy to help them to have the right skills to be employed and which uses the potential of mobility to the full. The goal should be to find...
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