The performance and persistence of exchange-traded funds: evidence for iShares MSCI country-specific ETFs

The aim of this paper is to investigate the performance and persistence of 20 iShares MSCI country-specific exchange-traded funds (ETFs) in comparison with S&P 500 index over the period July 2001 to June 2006. There are several studies analysing mutual funds performance in past years, but very little is known about ETFs. In our analysis the Sharpe, Treynor and Sortino ratios are used as risk-adjusted performance measures. To evaluate performance persistence and therefore if there is any relationship among past performance and future performance, we apply to the Spearman Rank Correlation Coefficient and the Winner-loser Contingency Table. The main findings are at two levels. First, ETFs can beat the U.S. market index based on risk-adjusted performance measures. Second, there is evidence of ETFs performance persistence based on annual return.

Infrastructure, the crisis, and pension funds

Infrastructure investment has been an important element in the economic stimulus packages introduced to try and deal with the effects of the recession. It is reinforced by the need to develop sustainable energy sources, and by the development needs of countries in the south. Public sector finance – tax revenues and bonds – remain the main way of financing such investment. The use of PPP projects to finance and operate infrastructure services, and the development of infrastructure funds as a way of investing in them, are both dangerous and unnecessary.

Research in statistical education — planning of an international survey

As announced in the November 2000 issue of MathStats&OR [1], one of the projects supported by the Maths, Stats & OR Network funds is an international survey of research into pedagogic issues in statistics and OR. I am taking the lead on this and report here on the progress that has been made during the first year. A paper giving some background to the project and describing initial thinking on how it might be implemented was presented at the 53rd session of the International Statistical Institute in Seoul, Korea, in August 2001 in a session on The future of statistics education research [2]. It sounded easy. I considered that I was something of an expert on surveys having lectured on the topic for many years and having helped students and others who were doing surveys, particularly with the design of their questionnaires. Surely all I had to do was to draft a few questions, send them electronically to colleagues in statistical education who would be only to happy to respond, and summarise their responses? I should have learnt from my experience of advising all those students who thought that doing a survey was easy and to whom I had to explain that their ideas were too ambitious. There are several inter-related stages in survey research and it is important to think about these before rushing into the collection of data. In the case of the survey in question, this planning stage revealed several challenges. Surveys are usually done for a purpose so even before planning how to do them, it is advisable to think about the final product and the dissemination of results. This is the route I followed.

Self-optimising data farming for web applications

Many Web applications walk the thin line between the need for dynamic data and the need to meet user performance expectations. In environments where funds are not available to constantly upgrade hardware inline with user demand, alternative approaches need to be considered. This paper introduces a ‘Data farming’ model whereby dynamic data, which is ‘grown’ in operational applications, is ‘harvested’ and ‘packaged’ for various consumer markets. Like any well managed agricultural operation, crops are harvested according to historical and perceived demand as inferred by a self-optimising process. This approach aims to make enhanced use of available resources through better utlilisation of system downtime - thereby improving application performance and increasing the availability of key business data.

Health status of an elderly population in Sharpeville, South Africa

The objective of this cross-sectional study was a comprehensive nutrition and health assessment to provide a basis for future intervention strategies for an elderly population attending a day-care centre. Socio-demographic, health and 24-hour recall dietary intake questionnaires were administered and anthropometric and biochemical measurements taken. The results indicate that the majority of respondents had an income of between R501 and R1 000 (South African rand) per month and most of them reported an occasional lack of funds to meet basic household needs, confirming the presence of food insecurity. Daily dietary intakes (mean [+ or -] Standard Deviation [SD]) of the women were 5 395 [+ or -] 2 946 kJ energy, 47 [+ or -] 27 g protein, 28 [+ or -] 21 g fat and 196 [+ or -] 123 g carbohydrates compared to 8 641 [+ or -] 3 799 kJ, 86 [+ or -] 48 g, 49 [+ or -] 32 g and 301 [+ or -] 139 g of the men, respectively. The majority (83.6%) of the women were overweight (body mass index [BMI] [greater than or equal to] 25) or obese (BMI [greater than or equal to] 30) whilst 78% had a mid-upper arm circumference (MUAC) of [greater than or equal to] 21.7 cm. Mean intakes of micronutrients were low in comparison to reference standards and serum zinc levels were suboptimal. Obesity, hypertension and raised total serum cholesterol levels indicated an increased risk for coronary heart disease. It can be concluded that a low income, household food insecurity and risk factors associated with malnutrition and non-communicable diseases were prevalent in this elderly population. OPSOMMING Die doelwit van hierdie dwarssnitstudie was ‘n omvattende bepaling van voeding- en gesondheidstatus om as basis te dien vir toekomstige intervensiestrategieë vir ’n groep bejaardes wat ’n dagsentrum besoek. Sosiodemografiese, gesondheid- en 24-uur herroep-dieetinname vraelyste is voltooi en antropometriese en biochemiese metings is geneem. Die resultate het bevestig dat die meerderheid respondente ‘n maandelikse inkomste van tussen R501 en R1 000 (Suid-Afrikaanse rand) gehad het. Die meeste het ‘n geldtekort vir basiese huishoudelike behoeftes gerapporteer wat dui op huishoudelike voedselinsekuriteit. Daaglikse dieetinnames (gemiddeld±standaardafwyking [SA]) van die vroue was onderskeidelik 5 395±2 946 kJ energie, 47±27 g proteïen, 28±21 g vet en 196±123 g koolhidrate in vergelyking met 8 641±3 799 kJ, 86±48 g, 49±32 g en 301±139 g vir die mans. Die meerderheid (83.6%) van die vroue was oorgewig (liggaamsmassa-indeks [LMI] >25) of vetsugtig (LMI > 30) en 78% het ’n middel-bo-armomtrek (MUAC) van > 21.7 cm gehad. Gemiddelde mikronutriëntinnames was laag in vergelyking met die verwysingstandaarde en serumsink was suboptimaal. Vetsug, hipertensie en verhoogde totale serumcholesterolvlakke het op ‘n verhoogde risiko van kardiovaskulêre siekte gedui. Die resultate het dus bewys dat lae inkomste, huishoudelike voedselinsekuriteit en die risikofaktore wat met wanvoeding en leefstylsiektes geassosieer word, teenwoordig was.

Financing of SME's: an asset side story

The main sources of financing for small and medium sized enterprises (SMEs) are equity (internally generated cash), trade credit paid on time, long and short term bank credits, delayed payment on trade credit and other debt. The marginal costs of each financing instrument are driven by asymmetric information (cost of gathering and analysing information) and transactions costs associated with non-payment (costs of collecting and selling collateral). According to the Pecking Order Theory, firms will choose the cheapest source in terms of cost. In the case of the static trade-off theory, firms choose finance so that the marginal costs across financing sources are all equal, thus an additional Euro of financing is obtained from all the sources whereas under the Pecking Order Theory the source is determined by how far down the Pecking Order the firm is presently located. In this paper, we argue that both of these theories miss the point that the marginal costs are dependent of the use of the funds, and the asset side of the balance sheet primarily determines the financing source for an additional Euro. An empirical analysis on a unique dataset of Portuguese SME's confirms that the composition of the asset side of the balance sheet has an impact of the type of financing used and the Pecking Order Theory and the traditional Static Trade-off theory are rejected.

Relational dimensions of corporate governance in translation: networked governance in China and India

The effectiveness of corporate governance mechanisms has been a subject of academic research for many decades. Although the large majority of corporate governance studies prior to mid 1990s were based on data from developed market economies such as the U.S., U.K. and Japan, in recent years researchers have begun examining corporate governance in transition economies. A comparison of China and India offers a unique environment for analyzing the effectiveness of corporate governance. First, both countries state-owned enterprise (SOE) reform strategies hinges on the Modern Enterprise System characterized by the separation of ownership and control. Ownership of an SOE’s assets is distributed among the government, institutional investors, managers, employees, and private investors. Effective control rights are assigned to management, which generally has a very small, or even nonexistent ownership stake. This distinctive shareholding structure creates conflict of interest not only between management (insiders) and outside investors but also between large shareholders and minority investors. Moreover, because both governments desire to retain some control—in part through partial retained ownership of commercialized SOEs, further conflicts arise between politicians and firms. Second, directors in publicly listed firms in both countries are predominantly drawn from institutions with significant non-market objectives: the government and other state enterprises, particularly in China, and extended families, particularly in India. As a result, the effectiveness of internal governance mechanisms, such as the number of independent directors on the board and the number of independent supervisors on the supervisory committee, are likely to be quiet limited, although this has yet to be fully evaluated. Third, because of the political nature of the privatization process itself, typical external governance mechanisms, such as debt (in conjunction with appropriate bankruptcy procedures), takeover threats, legal protection of investors, product market competition, etc., have not been effective. Bank loans have traditionally been viewed as grants from the state designed to bail out failing firms. State-owned banks retain monopoly or quasi-monopoly positions in the banking sector and profit is not their overriding objective. If political favor is deemed appropriate, subsidized loans, rescheduling of overdue debt or even outright transfer of funds can be arranged with SOEs (soft budget constraints). In addition, a market for private, non-bank debt is limited in India and has yet to be established China. There is no active merger or takeover activity in Chinese stock markets to discipline management. Information available in the capital markets is insufficient to keep at arm’s length of the corporate decisions. In light of the above peculiarities, China and India share many of the typical institutional characteristics as a transition economy, including poor legal protection of creditors and investors, the absence of an effective takeover market, an underdeveloped capital market, a relative inefficient banking system and significant interference of politicians in firm management. Su (2005) finds that the extent of political interference, managerial entrenchment and institutional control can help explain corporate dividend policies and post-IPO financing choices in this situation. Allen et al. (2005) demonstrate that standard corporate governance mechanisms are weak and ineffective for publicly listed firms while alternative governance mechanisms based on reputation and relationship have been remarkably effective in the private sector. Because the peculiarities are significant in this context, the differences in the political-economies of the two countries are likely to be evident in such relational terms. In this paper we explore the peculiarities of corporate governance in this transitional environment through a systematic examination of certain aspects of these reputational and relationship dimensions. Utilising the methods of social network analysis we identify the inter-organisational relationships at board level formed by equity holdings and by shared directors. Using data drawn from the Orbis database we map these relations among the 3700 largest firms in India and China respectively and identify the roles played in these relational networks by the particularly characteristic institutions in each case. We find greatly different social network structures in each case with some support in these relational dimensions for their distinctive features of governance. Further, the social network metrics allow us to considerably refine proxies for political interference, managerial entrenchment and institutional control used in earlier econometric analysis.

A review of the rationales for corporate risk management: fashion or the need?

This paper presents the extensive literature survey based both on theoretical rationales for hedging as well as the empirical evidence that support the implications of the theory regarding the arguments for the corporate risk management relevance and its influence on the company’s value. The survey of literature presented in this paper has revealed that there are two chief classes of rationales for corporate decision to hedge - maximisation of shareholder value or maximisation of managers’ private utility. The paper concludes that, the total benefit of hedging is the combination of all these motives and, if the costs of using corporate risk management instruments are less than the benefits provided via the avenues mentioned in this paper, or any other benefit perceived by the market, then risk management is a shareholder-value enhancing activity.