Measuring the impact of short and lending practices using the DGTW benchmarks

Mutual fund managers increasingly lend their holdings and/or use short sales to generate higher returns for their funds. This project presents a first look into the impact these practices on performance using the performance measures: i) Characteristic Selectivity (CS), the ability of the fund's managers to choose stocks that outperform their benchmarks; ii) Characteristic Timing (CT), the ability of the manager to time the market; iii) and Average Style (AS), the returns from funds systematically holding stocks with certain characteristics. These returns are computed through the DGTW benchmarks. The effect of other variables that have also been shown to impact fund’s returns – total net assets under management, investment styles, turnover and expense ratios – will also be analyzed. I find that managers who use short-sales do not exhibit better stock picking abilities than those who do not, while mutual funds that lend do present higher CS returns. In addition, while lending is not significant for the total performance of a fund, the employment of short-sales and of both short-sales and lending has a negative impact on the fund’s performance.

História e Saber Tropical: Memória de Gago para além das suas políticas

A morte súbita de José Mariano Gago aos 66 anos gerou consternação nos seus numerosos amigos e admiradores em Portugal e no estrangeiro. Governante mais durável do regime, a sua obra recebeu tributos unânimes cá dentro, sendo amplamente creditado lá fora por ter criado o Conselho Europeu de Investigação (ERC). Estão disponíveis inúmeros testemunhos num sítio dedicado, foi publicada em sua memória um volume de estudos sobre ciência e ensino superior em Portugal e preparam-se mais homenagens. Esta destaca dois aspetos menos conhecidos do físico e político português, amor pela história pátria e consciência da relação desta com o saber tropical, antes de apreciar a retrospetiva oficial. Focando um retrato de Damião de Góis que desejava oferecer na Flandres e acreditava que eu poderia localizar, a minha homenagem a Mariano pretende ir para além do Palácio das Laranjeiras, onde governou, e da Europa, onde estudou.

Measuring social impact: A guideline to implement a tableau de bord

Many impact-seeking organisations cannot measure and demonstrate their social impact because they either lack technical expertise or requisite financial and human resources. This report clarifies the process of social impact measurement to help these organisations engage in social impact measurement practices. It presents a simple guideline to create a measurement approach based on the Tableau de Board. The guideline has been developed through a theoretical revision of best practices in social impact measurement, academic research and the author's individual thoughts and ideas. While a first testing of the approach revealed positive feedback, only future broad-scale testing will demonstrate the approach’s validity and feasibility.

Measuring poverty in Portugal: An absolute approach

The aim of this article is to measure poverty in Portugal from an absolute perspective. We estimated several absolute poverty lines and defined maximum and minimum thresholds. We applied aggregation measures to these thresholds and constructed probit models to assess the effect of some variables on poverty. The intervals obtained contain the poverty lines constructed by other approaches. We got evidence that poverty is positively correlated with the number of people in the household, with living alone; negatively correlated with the number of workers in the household, the share on non-food expenditure and the existence of a heating device at home.

Measuring impact with the social return on investment: the case of the social innovation hub

There is a growing interest in social impact assessment across the private, the public and the nonprofit sector. However, there is still limited academic research produced in this area, particularly in what concerns to the application of the Social Return of Investment (SROI) methodology. The goal of this Work Project is to give an overview of the social impact measurement literature and apply the Social Return on Investment, a flagship methodology to measure impact, to the specific case of the Social Innovation Hub (SIH). The findings suggest that each 1€ invested on the SIH generates 1,21€ in terms of social value. While this value seems very appealing to use, there are some risks in monetizing impact in such way, mainly due to the lack of reliable data available for benchmarking purposes.

Measuring the effects of price movements on private consumption

This paper studies how shocks in the prices of Food, Energy and Financial Assets affect private consumption using a VAR Model. Then, the total effects are broken into direct and indirect effects, using the coefficients taken from the previous model. We use quarterly data for the Portuguese economy from the last 20 years. We found that energy prices and financial assets have a strong connection with consumption, suggesting that the economy may be too exposed to shocks in these markets.

Measuring spillover effects in Euro Area equity and bond markets

Since its inception, the Eurozone has experienced significant financial integration. However, with the recent turbulent period, the dynamics of this integration may have changed. This study analyses the volatility spillovers from the US and aggregate Eurozone markets into ten Euro Area national equity and bond markets, using a regime-switching model with shifting shock sensitivities. The evidence confirms an increased impact of shock spillover intensity after the 2008 crisis in the equity market and a decrease of the same parameters for the bond market. In both markets, the overall impact of the Eurozone is greater when compared to the U.S.

Understanding impact readiness in Portugal’s social sector and designing a framework for capacity-building for social impact

This project is based on the theme of capacity-building in social organisations to improve their impact readiness, which is the predictability of delivering intended outcomes. All organisations which have a social mission, non-profit or for-profit, will be considered to fall within the social sector for the purpose of this work. The thesis will look at (i) what is impact readiness and what are the considerations for building impact readiness in social organisations, (ii) what is the international benchmark in measuring and building impact readiness, (iii) understand the impact readiness of Portuguese social organisations and the supply of capacity building for social impact in Portugal currently, and (iv) provide recommendations on the design of a framework for capacity building for impact readiness adapted to the Portuguese context. This work is of particular relevance to the Social Investment Laboratory, which is a sponsor of this project, in its policy work as part of the Portuguese Social Investment Taskforce (the “Taskforce”). This in turn will inform its contribution to the set-up of Portugal Inovação Social, a wholesaler catalyst entity of social innovation and social investment in the country, launched in early 2015. Whilst the output of this work will be set a recommendations for wider application for capacity-building programmes in Portugal, Portugal Inovação Social will also clearly have a role in coordinating the efforts of market players – foundations, corporations, public sector and social organisations – in implementing these recommendations. In addition, the findings of this report could have relevance to other countries seeking to design capacity building frameworks in their local markets and to any impact-driven organisations with an interest in enhancing the delivery of impact within their work.