A meta analysis of real estate fund performance

This paper provides evidence regarding the risk-adjusted performance of 19 UK real estate funds in the UK, over the period 1991-2001. Using Jensen’s alpha the results are generally favourable towards the hypothesis that real estate fund managers showed superior risk-adjusted performance over this period. However, using three widely known parametric statistical procedures to jointly test for timing and selection ability the results are less conclusive. The paper then utilises the meta-analysis technique to further examine the regression results in an attempt to estimate the proportion of variation in results attributable to sampling error. The meta-analysis results reveal strong evidence, across all models, that the variation in findings is real and may not be attributed to sampling error. Thus, the meta-analysis results provide strong evidence that on average the sample of real estate funds analysed in this study delivered significant risk-adjusted performance over this period. The meta-analysis for the three timing and selection models strongly indicating that this out performance of the benchmark resulted from superior selection ability, while the evidence for the ability of real estate fund managers to time the market is at best weak. Thus, we can say that although real estate fund managers are unable to outperform a passive buy and hold strategy through timing, they are able to improve their risk-adjusted performance through selection ability.

Property fund flows and returns

This study is concerned with the impacts on property returns from property fund flows, and with the possibility of a reverse transmission from property fund flows to property returns. In other words this study investigates whether property returns “cause” fund flow changes, or whether fund flow changes “cause” property returns, or causality works in both directions.

Required returns for real estate in UK pension fund portfolios

The position of Real Estate within a multi-asset portfolio has received considerable attention recently. Previous research has concentrated on the percentage holding property would achieve given its risk/return characteristics. Such studies have invariably used Modern Portfolio Theory and these approaches have been criticised for both the quality of the real estate data and problems with the methodology itself. The first problem is now well understood, and the second can be addressed by the use of realistic constraints on asset holdings. This paper takes a different approach. We determine the level of return that Real Estate needs to achieve to justify an allocation within the multi asset portfolio. In order to test the importance of the quality of the data we use historic appraisal based and desmoothed returns to examine the sensitivity of the results. Consideration is also given to the Holding period and the imposition of realistic constraints on the asset holdings in order to model portfolios held by pension fund investors. We conclude, using several benchmark levels of portfolio risk and return, that using appraisal based data the required level of return for Real Estate was less than that achieved over the period 1972-1993. The use of desmoothed series can reverse this result at the highest levels of desmoothing although within a restricted holding period Real Estate offered returns in excess of those required to enter the portfolio and might have a role to play in the multi-asset portfolio.

Domestic and foreign bias in global real estate mutual fund investment allocations

The purpose of the study is to seek a better understanding of the investment allocation behaviour of the real estate mutual funds by focusing on asset allocation at the country level. Analysing the country allocation of 553 real estate mutual funds domiciled in 20 countries, we attempt to trace how investment bias exists across countries and affects their country allocations. Our results evidence the existence of disproportionate country allocation to their domestic markets (domestic bias) and to each foreign market (foreign bias). We also find each bias is influenced by different sets of variables: real estate market influences for domestic bias and familiarity influences for foreign bias. This difference in factors influential for each bias in part explains the conflated relationship between the two biases.

Can company-fund manager meetings convey informational benefits? Exploring the rationalisation of equity investment decision making by UK fund managers

Conventional economic theory, applied to information released by listed companies, equates ‘useful’ with ‘price-sensitive’. Stock exchange rules accordingly prohibit the selec- tive, private communication of price-sensitive information. Yet, even in the absence of such communication, UK equity fund managers routinely meet privately with the senior execu- tives of the companies in which they invest. Moreover, they consider these brief, formal and formulaic meetings to be their most important sources of investment information. In this paper we ask how that can be. Drawing on interview and observation data with fund managers and CFOs, we find evidence for three, non-mutually exclusive explanations: that the characterisation of information in conventional economic theory is too restricted, that fund managers fail to act with the rationality that conventional economic theory assumes, and/or that the primary value of the meetings for fund managers is not related to their investment decision making but to the claims of superior knowledge made to clients in marketing their active fund management expertise. Our findings suggest a disconnect between economic theory and economic policy based on that theory, as well as a corre- sponding limitation in research studies that test information-usefulness by assuming it to be synonymous with price-sensitivity. We draw implications for further research into the role of tacit knowledge in equity investment decision-making, and also into the effects of the principal–agent relationship between fund managers and their clients.

Innovative approaches For enhancing the flow of funds into the Benefit Sharing Fund of the International Treaty on Plant Genetic Resources for Food and Agriculture: an evaluation of options

This report assesses the implications and revenue-generating potential of options for reform of the International Treaty on Plant Genetic Resources for Food and Agriculture in the context of the structure of the global seed industry and the emerging landscape of plant variety innovation for different crops. The implementation of these options would require modifications of Treaty and provisions of the Standard Material Transfer Agreements to alter the nature of payment obligations related to different categories of products, the payment rates under different options and the coverage of crops in Annex-I to the Treaty.

Improving mutual fund market timing measures: a markov switching approach

Market timing performance of mutual funds is usually evaluated with linear models with dummy variables which allow for the beta coefficient of CAPM to vary across two regimes: bullish and bearish market excess returns. Managers, however, use their predictions of the state of nature to deÞne whether to carry low or high beta portfolios instead of the observed ones. Our approach here is to take this into account and model market timing as a switching regime in a way similar to Hamilton s Markov-switching GNP model. We then build a measure of market timing success and apply it to simulated and real world data.

A indústria de Hedge Fund no Brasil: uma avaliação preliminar

O objetivo deste trabalho será o de analisar o desempenho dos Hedge Funds brasileiros, mais conhecidos no mercado nacional como Fundos Multimercados com Renda Variável e com Alavancagem, comparando seus riscos e retornos ao de alguns outros índices financeiros do mercado, principalmente aqueles ligados ao mercado acionário.

The effect of guia exame's ratings on the brazilian fund industry: an analysis of net-worth flows

This paper infers the impact the publication Guia Exame (the guide) has on the Brazilian fund industry, more specifically on the ability the concerned funds develop on attracting new investment. The impact is measured using the event-study analysis based on the variation of net worth subsequently to the event of being rated, according to the methodology applied by the guide to rank the funds. We used five years of fund ratings according to Guia Exame (2000-2004) and analyzed the changes of these funds net worth. We also compared the event amongst different categories of funds. The results found confirm the expected effects according to star rankings and asset manager size in all years.

Estimation of random coefficients logit demand models: an application to the Brazilian fixed income fund market

Estimation of demand and supply in differentiated products markets is a central issue in Empirical Industrial Organization and has been used to study the effects of taxes, merges, introduction of new goods, market power, among others. Logit and Random Coefficients Logit are examples of demand models used to study these effects. For the supply side it is generally supposed a Nash equilibrium in prices. This work presents a detailed discussion of these models of demand and supply as well as the procedure for estimation. Lastly, is made an application to the Brazilian fixed income fund market.

The role of law and public-private collaboration in promoting innovative firms in Brazil: the case of the BNDES and the “criatec fund”

This paper presents the result of a qualitative empirical research about the “Criatec Fund”, a venture capital fund, privately managed and directed to innovative firms, that was created in 2007 by the Brazilian Development Bank (BNDES). The paper discusses the role of law in the implementation of the Criatec Fund in three different legal dimensions: structural, regulatory and contractual. Based on interviews, this paper tries to test some hypothesis previously formulated by some scholars that studied new financial policies created by the BNDES. This study explains the institutional arrangements of this seed capital policy and the role of flexible legal instruments in the execution of this peculiar type of publicprivate partnership. It also poses some questions to the “law and development agenda” based on some insights from the economic sociology of law.

Tail risk in the hedge fund industry

The dissertation goal is to quantify the tail risk premium embedded into hedge funds' returns. Tail risk is the probability of extreme large losses. Although it is a rare event, asset pricing theory suggests that investors demand compensation for holding assets sensitive to extreme market downturns. By de nition, such events have a small likelihood to be represented in the sample, what poses a challenge to estimate the e ects of tail risk by means of traditional approaches such as VaR. The results show that it is not su cient to account for the tail risk stemming from equities markets. Active portfolio management employed by hedge funds demand a speci c measure to estimate and control tail risk. Our proposed factor lls that void inasmuch it presents explanatory power both over the time series as well as the cross-section of funds' returns.

Private equity regulation: what are the consequences of the alternative investment fund managers directive (AIFMD) on private equity managers?

The recent global financial crisis brought significant regulatory changes in the worldwide financial industry. In Europe and in the alternative asset sector specifically, a new regulation by the name of Alternative Investment Fund Managers Directive saw the daylight in 2010. This far-reaching and complex Directive with the main goal of regulating and overseeing alternative investment funds has triggered many discussions and represents an industry game-changer. Thus, this research will focus on the impact and consequences of the Directive on private equity fund managers and the role of regulators. In other words, what are the effects, what does that mean in a quantitative and qualitative sense, and how is it likely to influence the outlook of this asset class? In order to provide the reader with an extensive view on the topic, the paper will first discuss relevant theory and literature, using mix-methods and legal-dogmatic approaches. Further, descriptive case studies, analysis of existing surveys, and interviews with industry experts will supplement the paper in order to understand primary implications of the Directive with the goal of providing useful insights for further private equity regulation research.

In cash we trust: cash holdings in the brazilian equity fund industry

We study cash allocation ability as a possible explanatory factor that allows equity fund managers to produce high levels of adjusted returns (not explained by the risk factors they are exposed to). In order to do so, we explore the non-indexed Brazilian equity fund industry during the period of January 2006 to February 2015, evaluating cash allocation ability by level and effectiveness of cash deployment using return-based and holding-based approaches to explore a database of monthly invested assets and returns. We found that even though market timing is a rare skill in the industry, the flexibility to hold high levels of cash played a significant role in the result of over performing managers.