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Evaluating mutual fund performance is a topic of long-standing interest in the academic
literature, but few if any studies have addressed the selection of an optimal portfolio of funds.
Instead of using the historical data to estimate performance measures or produce fund rank-
ings, this study uses the data to explore the mutual-fund investment decision. Speci¯cally,
from an investment universe of over 500 no-load equity funds, we construct portfolios having
the ex ante maximum Sharpe ratio based on a Bayesian predictive distribution that combines
the information in historical returns with an investor's prior beliefs, accounting for param-
eter uncertainty. ...
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We ¯nd that when the hypothetical benchmarks are recognized as being unavailable
for investment, there need not exist close substitutes for them in the universe of mutual
funds. For an investor who believes completely in the accuracy of the Fama-French model
and precludes managerial skill, the perceived maximum Sharpe ratio is only 66 percent of
what could be achieved by direct investment in that model's benchmarks. For a believer
in the Carhart four-factor model, the corresponding value is 54 percent. Moreover, actively
managed funds can be better substitutes for the benchmarks than existing passive funds, so
active funds can be selected even by investors who admit no...
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We also demonstrate that optimal portfolios of mutual funds are in°uenced substantially
by prior beliefs about both managerial skill and pricing models. For example, consider two
investors who both rule out managerial skill but believe strongly in di®erent models: one
believes in the CAPM while the other embraces a four-factor model. If either investor is
forced to hold the portfolio chosen by the other, the resulting ex ante loss is about 60 basis
points per month in certainty equivalent return.
2
A possibly °awed pricing model is still
useful in identifying optimal portfolios because it allows the model's benchmark assets to
supply information about the funds' expected returns. Consider,...
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This study, given its Bayesian approach, is related to the recent article by Baks, Metrick,
and Wachter (2001), who estimate funds' alphas using informative prior beliefs about alpha.
They investigate the degree to which informative priors can preclude an investor from infer-
ring that at least one actively managed fund has a positive alpha. This inference relates to
an investment problem of a mutual fund investor who can also earn the hypothetical costless
returns on the benchmark indexes. In that setting, if a given fund's alpha is greater than
zero, then combining that fund with a position in the benchmarks produces a higher Sharpe
ratio than an...
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Prior beliefs about pricing models can be useful to someone investing in mutual funds. A
pricing model implies that a combination of the model's benchmark assets provides the
highest Sharpe ratio within a passive universe. That implication is useful to an investor
seeking a high Sharpe ratio, even if the investor has less than complete con¯dence in the
model's pricing accuracy and cannot invest directly in the benchmarks. Prior beliefs about
managerial skill are also important in the investment decision. One investor might believe
completely in a model's accuracy in pricing passive assets but believe active managers may
well possess stock-picking skill. Another investor might be skeptical...
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This section develops an econometric framework that allows an investor to combine in-
formation in the data with prior beliefs about both pricing and skill. Nonbenchmark assets
allow us to distinguish between pricing and skill, and they supply additional information
about funds' expected returns. In addition, nonbenchmark assets help account for common
variation in funds' returns, making the investment problem feasible using a large universe
of funds. The Bayesian econometric framework here is very similar to that in P¶ astor and
Stambaugh (2001), who address performance estimation rather than investment decision
making. Consequently, they specify noninformative prior beliefs about the degree of skill a
fund manager might possess....
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In practice, the number of passive assets must be limited in some fashion. Our empirical
design includes p passive assets, consisting of k benchmarks and m nonbenchmark assets,
and the benchmarks are associated with popular asset pricing models. Suppose one admits
the possibility that the benchmarks do not price the nonbenchmark assets exactly, that is
®N 6 =0.Then ±A, the intercept in (2), is a better measure of skill, in that it is de¯ned with
respect to the more inclusive set of passive assets. Of course, that measure might still be
nonzero for passive assets omitted from the set of p. The point is simply that...
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Our framework assumes that funds' sensitivities to passive assets are constant over time.
One way of relaxing this assumption is to model these coe±cients as linear functions of
state variables, as for example in Ferson and Schadt (1996) and Shanken (1990). In such
a modi¯cation, passive asset returns scaled by the state variables can be viewed as returns
on additional passive assets (dynamic passive strategies), and the approach developed here
could be extended to such a setting. Another approach to dealing with temporal variation
in parameters could employ data on fund holdings. Daniel, Grinblatt, Titman, and Wermers
(1997) and Wermers (2000), for example, use such data in...
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The mutual fund data come from the 1998 CRSP Survivor Bias FreeMutual Fund Database.
Our initial sample contains 2,609 domestic equity mutual funds. We exclude multiple share
classes for the same fund as well as funds with only a year or less of available returns. The
initial sample is used to obtain the values of the prior parameters in the empirical Bayes pro-
cedure mentioned previously. To form the investment universe, we reduce the initial sample
of 2,609 funds to the 503 funds that (i) charge no load fee, (ii) exist at the end of 1998, (iii)
have at least 36 months of return history under...
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The impact of AIFM on the markets in which they operate is largely beneficial, but recent
financial difficulties have underlined how activities of AIFM may also serve to spread or
amplify risks through the financial system. Uncoordinated national responses to these risks
make the efficient management of these risks difficult. This Directive therefore aims at
establishing common requirements governing the authorisation and supervision of AIFM in
order to provide a coherent approach to the related risks and their impact on investors and
markets in the European Union. ...
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We construct optimal portfolios of equity funds by combining historical returns on
funds and passive indexes with prior views about asset pricing and skill. By including
both benchmark and nonbenchmark indexes, we distinguish pricing-model inaccuracy
from managerial skill. Even modest con¯dence in a pricing model helps construct
portfolios with high Sharpe ratios. Investing in active mutual funds can be optimal
even for investors who believe active managers cannot outperform passive indexes.
Optimal portfolios exclude hot-hand funds even for investors who believe momentum
is priced. Our large universe of funds o®ers no close substitutes for the Fama-French
and momentum benchmarks....
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The workshop participants included: (a) general managers and high-level staff of social funds;
(b) representatives of central government institutions that oversee the operations of the funds;
(c) representatives of municipal governments that interact with social funds in the selection and
implementation of subprojects and of their regional associations; (d) representatives of nongov-
ernmental organizations (NGOs) and civil society organizations that work with social funds;
(e) staff of the World Bank and of other multilateral and bilateral development agencies that
finance, design, and supervise the implementation of social funds; and (f) observers including
researchers, academicians, and consultants involved with social funds and representatives of
national governments that are establishing...
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Stock-taking occurred in different forms: through the presentation of the World Bank’s and
of the Inter-American Development Bank’s studies on social funds, as well as through many
individual interventions by social funds’ managers during the plenary sessions and in working
groups. Ten original papers were also presented by relevant practitioners on specific topics
related to social funds’ design, management, and implementation. These papers provide an
overview of current design and implementation challenges and concerns facing social funds.
More than two of the workshop’s four days were devoted to group discussions, organized by
topic, constituency, or regional perspective. It was in these discussion groups that the consensus
and common...
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In itself, the international workshop was also the first step in integrating the international and
regional networks of social funds by bringing together families of programs that started with
different sector priorities and approaches, such as the AGETIPs in Western Africa and the social
investment funds in Latin America, and by stimulating the creation of social funds networks in
Eastern Africa, Eastern Europe and Central Asia, and Northern Africa and the Middle East.
The international development agencies and the NGOs at the workshop committed them-
selves to more integrated and coordinated support to social funds. They also committed to the
promotion of a more systematic use of...
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On the basis of the results of the plenary presentations and discussions, of the contents of the
two new studies by the World Bank and the Inter-American Development Bank, and of the ten
specific papers commissioned for the workshop, the following understanding of the main
achievements and weaknesses encountered by social funds over their first ten years of imple-
mentation (1986–96) was summarized.
While it was clear to all participants that social funds have performed differently in accor-
dance with their objectives and their national contexts, they agreed on their commonalties
and the major achievements and weaknesses of social funds, which were analyzed under
four main angles....
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This consensus on the achievements and weaknesses of social funds was based, among other
things, on the differences between social funds that are created and operate within an emer-
gency context and those that are governed by developmental objectives. Regional and cultural
contexts also account for the diverse challenges, constraints, and opportunities that each pro-
gram faces. Recognition of diversity was assumed as the basis for the collective agreement on
future directions.
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The format of the global consultation process at the workshop did not call for the development
of recommendations to be formally endorsed by the participants before the end of the event. Rather,
the conclusions and recommendations of the working groups and of the plenary sessions were
summarized by the session leaders and by the chairpersons, based on the consensus obtained.
Throughout these summaries, as well as in the presentations of the World Bank and Inter-
American Development Bank studies and in the ten original papers, three major recommenda-
tions for the future of social funds emerged that policymakers, practitioners, and social funds
stakeholders seem to agree....
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Africa is still undergoing a process of economic stabilization, and many countries are facing
specific issues of post-conflict reconstruction that call for emergency social funds interven-
tions. The region already has the largest concentration of social funds, with the AGETIP agen-
cies of West Africa regrouped within AFRICATIP. The social funds of Eastern and Southern
Africa will develop their own network to be called Social Funds NET. While AGETIPs have a
strong track record with delegated contract management of small-scale infrastructure and public
works, the African social funds have concentrated in human resources development (health
and education). Once Social Funds NET is operational, the two networks are...
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The innovative nature of social funds, their contributions to poverty reduction, their wide-
spread recognition as well as controversy surrounding them in developing countries and within
the development community, all called for a global exchange of experiences and lessons learned.
The Economic Development Institute (EDI) of the World Bank, after facilitating some regional
exchanges among social funds’ managers in Latin America and Africa, identified the need for a
global learning event in 1995 and initiated the preparation of the workshop in early 1996....
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At the same time, nongovernmental organizations (NGOs) that have a permanent consulta-
tive forum with the World Bank (WB), the WB-NGO Committee, identified social funds as the
most significant Bank-supported portfolio of programs that effectively include civil society or-
ganizations in their design, management, and implementation. In the spring of 1996, the com-
mittee requested the Bank’s management to organize an international learning event on social
funds. The separate initiatives on social funds of the EDI and of the WB-NGO Committee were
thus combined successfully into one, with Bank management’s support, and EDI’s prepara-
tions for the workshop integrated the WB-NGO Committee’s objectives....
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A strong demand for the opportunity to share experiences and views with stakeholder con-
stituencies was strongly supported by the staff of the World Bank in charge of the design and
supervision of the credits and loans that finance the implementation of social funds. The insti-
tutional interest in the subject was confirmed by two recent studies of social funds: the World
Bank’s Review of the Social Funds Portfolio, which was a desk review, and the Inter-American
Development Bank’s Social Investment Funds in Latin America: Past Performance and Future Role,
based on field work carried out in eight countries and on the review of evaluations of...
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The partnership was formalized by the creation of a steering committee that was entrusted
with the design, objectives, and content of the event.
The steering committee provided guidance and specific recommendations on the design of
the international workshop, and its members took an active role in the plenary sessions of the
workshop. The steering committee completed its mandate with the revision and approval of
the present publication of the workshop proceedings.
Within the World Bank, the international workshop was the result of intense collaboration
between the EDI, the Poverty and Social Policy Department, the NGO Unit, the Learning and
Leadership Center, and the Quality Assurance Group. All of...
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The 250 workshop participants included: (a) general managers and high-level staff of social
funds; (b) representatives of central government institutions that oversee the operations of the
funds; (c) representatives of municipal governments that interact with social funds in the selec-
tion and implementation of subprojects and of their regional associations; (d) representatives of
nongovernmental organizations and civil society organizations that work with social funds; (e)
staff of the World Bank and of other multilateral and bilateral development agencies that fi-
nance, design, and supervise the implementation of social funds; and (f) observers including
researchers, academicians, and consultants involved with social funds and representatives of
national governments that are...
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The parallel thematic sessions on May 27 and on May 28 presented the unique opportunity
for participants to focus and interact on a set of specific issues identified as priorities for social
funds. Initiated by session leaders, who drew upon their experiences managing social funds,
the sessions addressed the key issues with the assistance of professional facilitators from the
Learning and Leadership Center. The presence of resource persons drawn from the World
Bank staff active in project design and supervision contributed to the quality of the discus-
sions. Simultaneous interpretation in English, French, Spanish, and Russian was available in
all the meeting rooms, and the sessions were...
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The diversity of experiences across Africa, Latin America, and the rest
of the world notwithstanding, there are some commonality of lessons
that help translate them into findings that can aid countries that have
not as yet had the same experiences. These commonalties of experiences
within very different countries are important, whether the experience
relates to the autonomy of decisionmaking, to decentralization, or to
private sector participation. When the risks associated with some of those
programs are considered, the issues of management and general eco-
nomic policymaking become strong factors. Similarly, successes have a
number of commonalties. These are a source of comfort: they show that
this exercise can and does...
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All of the workshop participants bring different examples to share, but
some of the experiences of addressing poverty in Latin America and build-
ing up poverty maps have been transferred to Africa and elsewhere. Simi-
larly, from the African experiences, people in Latin America and in other
regions are looking at delegated contract management very carefully.
Lessons can be learned from each other; concrete examples of this have
happened in the past and can happen more forcefully in the future.
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Social funds do not operate in a vacuum. The broad trends and changes
occurring in the countries in which social funds operate form a back-
drop for the subsequent discussions and debate to take place during the
next three days of this meeting.
Experiences with social funds show a great deal of heterogeneity. A va-
riety of players are involved in social funds. The content of social funds
programs themselves vary greatly, and views about their efficacy di-
verge. The Bank hopes that this workshop will be able to characterize
what works and under what circumstances, what does not work and
why it does not, and what can be...
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Einige Nichtregierungsorganisationen haben sich mittlerweile
auch mit der Rolle dieser „neuen Landbesitzer“ auseinanderge-
setzt. Weiterhin fanden rund um den Globus große Konferenzen
wie die Global AgInvesting oder die World Agriculture Investment
statt, um Agrarland und das Agribusiness als neues, attraktives
Geschäftsfeld des Finanzsektors zu bewerben.
Die vorliegende Studie versucht, dem Puzzle ein weiteres Stück
hinzuzufügen, indem sie die Rolle des deutschen Privatsektors
beleuchtet. Dies ist besonders interessant, da bis zu diesem
Zeitpunkt nur wenige Fälle dokumentiert wurden, in denen der
deutsche Privatsektor in den globalen Ausverkauf von Land
involviert ist.
Ein zentrales Ergebnis der Studie ist, dass sich dieses Bild
ändert, insbesondere wenn...
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Schaut man sich die Anlagefonds genauer an, fällt auf, dass sie
fast ausschließlich in den letzten vier Jahren aufgelegt wurden.
Die Fondsmanager der Deutschen Bank Gruppe, die DWS, spielen
dabei eine Vorreiterrolle – sowohl was das Investitionsvolumen
(3,5 Milliarden Euro der gesamten 5,3 Milliarden Euro wurden
durch DWS-Fonds investiert) als auch das Auflagedatum der
Fonds betrifft (zwischen 2006 und 2008). Natürlich dürfen
Investitionen in das Agribusiness nicht gleichgesetzt werden
mit Investitionen in Land. Im Gegenteil ist ein großer Teil der
Firmen in den Portfolios der Anlagefonds dieser Studie in erster
Linie im vor- und nachgelagerten Bereich der landwirtschaftli-
chen Produktion tätig...
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The phenomenon of land grabbing is heavily being discussed.
First efforts to explain this land rush focused strongly on the
government or government-supported activities of water- and
fertile-land-scarce Arab and Asian countries. In the course of
2009 and 2010, indications that other actors are at least equally
relevant became more and more substantial. Especially the fi-
nancial sector seemed to have been overlooked. Then, different
sources like the World Bank or the OECD came up with indica-
tions of how profound the role of the financial sector is. OCED
presented figures of USD 10 to 25 billion invested in farmland
and agricultural...
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