The Argentine Dilemma: “Vulture Funds” and the Risks Posed to Developing Economies

Post-crisis Argentina is a case study of crisis management through debt restructuring. This article examines how Argentina negotiated the external debt in the wake of the sovereign default in December 2001 and now confronts challenges posed by holdout creditors—the so called “vulture funds”. It argues that debt restructuring has put a straitjacket on the national economy, making it virtually impossible for healthy growth short of a break with the international economic order. While Argentina has successfully restructured a $95 billion debt with an unprecedented “hair cut” (around 70% reduction in “net value of debt”), a sustainable growth appears out of reach as long as reliance on the government debt market prevails. In this cycle, the transmission belt of financial crisis to developing countries is characterized by the entry of highly speculative players such as hedge funds, conflicts of interests embedded in “sovereign debt restructuring” (SDR) and vulnerabilities associated with “emerging market debt”.

Exchange-Trade Funds Evaluation using Performance Measures Distribution

In this study we propose the use of the performance measure distribution rather than its punctual value to rank hedge funds. Generalized Sharpe Ratio and other similar measures that take into account the higher-order moments of portfolio return distributions are commonly used to evaluate hedge funds performance. The literature in this field has reported non-significant difference in ranking between performance measures that take, and those that do not take, into account higher moments of distribution. Our approach provides a much more powerful manner to differentiate between hedge funds performance. We use a non-semiparametric density based on Gram-Charlier expansions to forecast the conditional distribution of hedge fund returns and its corresponding performance measure distribution. Through a forecasting exercise we show the advantages of our technique in relation to using the more traditional punctual performance measures.

Money Market Funds in the EU and US, Regulations and Practice

This is the first comprehensive analysis of the regulation of money market funds in the EU and US at both the theoretical and practical levels.  Its unique mutli-disciplinary approach provides a rigorous framework for comparative analysis and expert opinions on complex regulations that will help practitioners with decisions on portfolio management and in solving regulatory compliance issues. The theoretical framework has unique cases and examples and includes checklists to assist with the practice of fund management and legal risk analysis.

Comparative analysis of the US and the EU Regulatory Models for Money Market Funds

This chapter sets out a comprehensive analysis of the regulation of money market funds in the EU and US. The theoretical framework has unique cases and examples and includes checklists to assist with the practice of fund management and legal risk analysis.

Money Market Funds Outside the EU and the US

This chapter sets out a comprehensive analysis of the regulation of money market funds outside of the EU and US. The theoretical framework includes unique cases and examples and recommendations for regulations and policy developments.

Short-term Trading in Long-term Funds: Implications for Financial Managers

Most hospitality firms do not consider managing stock portfolios to be a main part of their operations. They are in the service business, using their real assets and the services provided by employees to create valuable experiences for guests. However, the need to focus on stock investments arises through those employees. Employees consistently rank benefits, including retirement benefits, among the top five contributors to job satisfaction and as a key consideration in accepting a job.1 It is not surprising, then, that more than 90 percent of companies with 500 or more employees offer retirement plans. The five largest hotel companies in the U.S. have over $10 billion in assets under management in their retirement plans, making these plans a key component in retirement investment decisions.

Impact of PL 94-566 on agricultural employers and UI trust funds in selected states.

"Prepared by G. Joachim [i.e. Joachim G.] Elterich and Linda Graham"--Prelim. p.

Colombian mutual funds that invest in stocks: Do they create value?

Esta investigación evalúa el desempeño de 73 fondos de inversión colectiva (FIC) colombianos enfocados en acciones de 2005 a 2015 -- Para cuantificar el valor generado por estos fondos en comparación con sus respectivos activos de referencia (“benchmarks”), se calcula el alfa de Jensen mediante dos metodologías de regresión: Mínimos Cuadrados Ordinarios (MCO) y Regresión por Cuantiles -- También se analiza si estos fondos muestran evidencia de “market timing” o no, utilizando dos modelos: efecto cuadrático y variable binaria interactiva -- De igual manera, nuestro estudio propone la creación de una empresa privada en Colombia que provea a los inversores de información precisa sobre las características y desempeño histórico de estos fondos de inversión colectiva, como lo hace Morningstar Inc. en Estados Unidos -- Esto permitiría a los inversores seleccionar los fondos con mejores perspectivas y, como es de esperarse, haría este mercado más eficiente y atractivo para nuevos inversores potenciales

A industria de hedge funds: caracteristicas, estratégias e divulgação de informação

Os hedge funds encontram-se presentes nos mercados financeiros há cerca 60 anos. Porém, recentemente, tem-se assistido a transformações consideráveis no sector, particularmente no que concerne ao segmento alvo. Inicialmente, este tipo de investimento era sobretudo dedicado a investidores particulares de vastos recursos; recentemente tem sido alvo da crescente atenção de investidores institucionais, ligados aos mais variados ramos, como entidades seguradoras, fundos de pensões, entres outros. Este trabalho tem, porém, objetivos mais amplos, os quais passam pela caraterização da indústria de hedge funds, pela identificação dos principais investidores e das estratégias de investimento prosseguidas, bem como pela avaliação do impato que aumento do nível de transparência dos retornos obtidos poderá ter ao nível do crescimento deste segmento do mercado financeiro, o qual acarretará, necessariamente, transformações ao nível dos dispositivos de regulação, Em termos metodológicos, recorreu-se, essencialmente, à sistematização de informação, a qual permitiu construir um discurso autónomo, abrangente e crítico. O trabalho permitiu evidenciar algumas conclusões, entre as quais se destacam a especificidade em matéria de estratégias de investimento conduzidas e a existência de conflitos latentes entre os gestores de hedge funds e os investidores neste instrumento financeiro.

Inter-industry analysis and monetary policy evaluations in the Korean flow of funds accounts

This study mainly aims to provide an inter-industry analysis through the subdivision of various industries in flow of funds (FOF) accounts. Combined with the Financial Statement Analysis data from 2004 and 2005, the Korean FOF accounts are reconstructed to form "from-whom-to-whom" basis FOF tables, which are composed of 115 institutional sectors and correspond to tables and techniques of input–output (I–O) analysis. First, power of dispersion indices are obtained by applying the I–O analysis method. Most service and IT industries, construction, and light industries in manufacturing are included in the first quadrant group, whereas heavy and chemical industries are placed in the fourth quadrant since their power indices in the asset-oriented system are comparatively smaller than those of other institutional sectors. Second, investments and savings, which are induced by the central bank, are calculated for monetary policy evaluations. Industries are bifurcated into two groups to compare their features. The first group refers to industries whose power of dispersion in the asset-oriented system is greater than 1, whereas the second group indicates that their index is less than 1. We found that the net induced investments (NII)–total liabilities ratios of the first group show levels half those of the second group since the former's induced savings are obviously greater than the latter.

Reviewing the hedge funds literature I:hedge funds and hedge funds' managerial characteristics

This paper summarizes the literature on hedge funds (HFs) developed over the last two decades, particularly that which relates to managerial characteristics (a companion piece covers the return and risk management characteristics of HFs). It classifies, the current HF literature, suggesting which critical problems have been “solved” and which problems have not been yet adequately addressed. It also discusses the effects of past financial regulation and the prospects for the effect of new financial regulation on the HF industry and its performance and risk management practices, and suggests new avenues for research. Furthermore, it highlights the importance of managerial characteristics for HF performance, and the successes and the shortfalls to date in developing more sophisticated HF-related risk management tools.

Reviewing the hedge funds literature II:hedge funds' returns and risk management characteristics

This paper summarizes the literature on hedge funds (HFs) developed over the last two decades, particularly that which relates to risk management characteristics (a companion piece investigates the managerial characteristics of HFs). It discusses the successes and the shortfalls to date in developing more sophisticated risk management frameworks and tools to measure and monitor HF risks, and the empirical evidence on the role of the HFs and their investment behaviour and risk management practices on the stability of the financial system. It also classifies the HF literature considering the most recent contributions and, particularly, the regulatory developments after the 2007 financial crisis.

Recent advances in hedge funds' performance attribution:performance persistence and fundamental factors

We survey articles on hedge funds' performance persistence and fundamental factors from the mid-1990s to the present. For performance persistence, we present some pioneering studies that contradict previous findings that hedge funds' performance is a short term matter. We discuss recent innovative studies that examine the size, age, performance fees and other factors to give a 360° view of hedge funds' performance attribution. Small funds, younger funds and funds with high performance fees all outperform the opposite. Long lockup period funds tend to outperform short lockups and domiciled funds tend to outperform offshore funds. This is the first survey of recent innovative and challenging studies into hedge funds' performance attribution, and it should be particularly useful to investors trying to choose between hedge funds.

The conditional performance of euro bond funds: evidence from Portugal during the debt crisis

This paper evaluates the performance of a survivorship bias-free data set of Portuguese funds investing in Euro-denominated bonds by using conditional models that consider the public information available to investors when the returns are generated. We find that bond funds underperform the market significantly and by an economically relevant magnitude. This underperformance cannot be explained by the expenses they charge. Our findings support the use of conditional performance evaluation models, since we find strong evidence of both time-varying risk and performance, dependent on the slope of the term structure and the inverse relative wealth variables. We also show that survivorship bias has a significant impact on performance estimates. Furthermore, during the European debt crisis, bond fund managers performed significantly better than in non-crisis periods and were able to achieve neutral performance. This improved performance throughout the crisis seems to be related to changes in funds’ investment styles.