On the comparative performance of socially responsible and Islamic mutual funds

This is the first study to provide comprehensive analyses of the relative performance of both socially responsible investment (SRI) and Islamic mutual funds. The analysis proceeds in two stages. In the first, the performance of the two categories of funds is measured using partial frontier methods. In the second stage, we use quantile regression techniques. By combining two variants of the Free Disposal Hull (FDH) methods (order- m and order- α) in the first stage of analysis and quantile regression in the second stage, we provide detailed analyses of the impact of different covariates across methods and across different quantiles. In spite of the differences in the screening criteria and portfolio management of both types of funds, variation in the performance is only found for some of the quantiles of the conditional distribution of mutual fund performance. We established that for the most inefficient funds the superior performance of SRI funds is significant. In contrast, for the best mutual funds this evidence vanished and even Islamic funds perform better than SRI. These results show the benefits of performing the analysis using quantile regression. © 2013 Elsevier B.V.

The effect of the business cycle on the performance of socially responsible equity mutual funds

The current study applies a two-state switching regression model to examine the behavior of a hypothetical portfolio of ten socially responsible (SRI) equity mutual funds during the expansion and contraction phases of US business cycles between April 1991 and June 2009, based on the Carhart four-factor model, using monthly data. The model identified a business cycle effect on the performance of SRI equity mutual funds. Fund returns were less volatile during expansion/peaks than during contraction/troughs, as indicated by the standard deviation of returns. During contraction/troughs, fund excess returns were explained by the differential in returns between small and large companies, the difference between the returns on stocks trading at high and low Book-to-Market Value, the market excess return over the risk-free rate, and fund objective. During contraction/troughs, smaller companies offered higher returns than larger companies (ci = 0.26, p = 0.01), undervalued stocks out-performed high growth stocks (h i = 0.39, p <0.0001), and funds with growth objectives out-performed funds with other objectives (oi = 0.01, p = 0.02). The hypothetical SRI portfolio was less risky than the market (bi = 0.74, p <0.0001). During expansion/peaks, fund excess returns were explained by the market excess return over the risk-free rate, and fund objective. Funds with other objectives, such as balanced funds and income funds out-performed funds with growth objectives (oi = −0.01, p = 0.03). The hypothetical SRI portfolio exhibited similar risk as the market (bi = 0.93, p <0.0001). The SRI investor adds a third criterion to the risk and return trade-off of traditional portfolio theory. This constraint is social performance. The research suggests that managers of SRI equity mutual funds may diminish value by using social and ethical criteria to select stocks, but add value by superior stock selection. The result is that the performance of SRI mutual funds is very similar to that of the market. There was no difference in the value added among secular SRI, religious SRI, and vice screens.

Wireless E911 Emergency Communications Fund Iowa Homeland Security and Emergency Management Division of the Iowa Department of Public Defense independent auditor's reports, basic financial statements and supplementary information, June 30, 2006.

Audit report on the Wireless E911 Emergency Communication Fund of the Iowa Homeland Security and Emergency Management Division of the Iowa Department of Public Defense for the year ended June 30, 2006

Wireless E911 Emergency Communications Fund Iowa Homeland Security and Emergency Management Division of the Iowa Department of Public Defense independent auditor's reports, basic financial statements and supplementary information, June 30, 2007.

Audit report on the Wireless E911 Emergency Communication Fund of the Iowa Homeland Security and Emergency Management Division of the Iowa Department of Public Defense for the year ended June 30, 2007

Wireless E911 Emergency Communications Fund Iowa Homeland Security and Emergency Management Division of the Iowa Department of Public Defense independent auditor's reports, basic financial statements and supplementary information, June 30, 2008.

Audit report on the Wireless E911 Emergency Communication Fund of the Iowa Homeland Security and Emergency Management Division of the Iowa Department of Public Defense for the year ended June 30, 2008

Bringing Funds of Family Knowledge to school. The Living Morocco Project (“برغملا شيعلا”)

The purpose of the study, grounded in sociocultural theory, is to describe the funds of knowledge of a Moroccan family living in Catalonia (Spain) in order to document how teachers can use these funds of knowledge to make direct links between students' lives and classroom teaching. The funds of knowledge approach is based on a simple premise: regardless of any socio-economical and sociocultural "deficit" that people may or may not have all families accumulate bodies of beliefs, ideas, skills and abilities based on their experiences (in areas such as their occupation or their religion). The challenge consists in connecting these bodies of educational resources with teaching practice in order to connect the curriculum with students' lives. In doing so, qualitative research can be carried out using several techniques such as self portraits, self-definition tasks, assessment of family artefacts, documenting routines through photographs, or the analysis of a person's significant circle. The results in terms of teaching practices illustrate the variety of ways teachers can make connections between home and school in ways that assist learners in their academic development. In this article, we propose using the term funds of identity to complement the concept of funds of knowledge

Wireless E911 Emergency Communications Fund Iowa Homeland Security and Emergency Management Division of the Iowa Department of Public Defense independent auditor's reports, basic financial statements and supplementary information, June 30, 2009.

Audit report on the Wireless E911 Emergency Communication Fund of the Iowa Homeland Security and Emergency Management Division of the Iowa Department of Public Defense for the year ended June 30, 2009

Wireless E911 Emergency Communications Fund Iowa Homeland Security and Emergency Management Division of the Iowa Department of Public Defense independent auditor's reports, basic financial statements and supplementary information, June 30, 2010.

Audit report on the Wireless E911 Emergency Communications Fund of the Iowa Homeland Security and Emergency Management Division of the Iowa Department of Public Defense for the year ended June 30, 2010

Wireless E911 Emergency Communications Fund Iowa Homeland Security and Emergency Management Division of the Iowa Department of Public Defense independent auditor's reports, basic financial statements and supplementary information, June 30, 2011.

Audit report on the Wireless E911 Emergency Communications Fund of the Iowa Homeland Security and Emergency Management Division of the Iowa Department of Public Defense for the year ended June 30, 2011

Wireless E911 Emergency Communications Fund Iowa Homeland Security and Emergency Management Division of the Iowa Department of Public Defense independent auditor's reports, basic financial statements and supplementary information, June 30, 2012.

Audit report on the Wireless E911 Emergency Communications Fund of the Iowa Homeland Security and Emergency Management Division of the Iowa Department of Public Defense for the year ended June 30, 2012

Private Equity Fund Performance Determinants: Evidence From Fund Characteristics

The purpose of this thesis is to investigate whether different private equity fund characteristics have any influence on the fund performance. Fund characteristics include fund type (venture capital or buyouts), fund size (sizes of funds are divided into six ranges), fund investment industry, fund sequence (first fund or follow-on fund) and investment market (US or EMEA). Fund performance is measured by internal rate of return, and tested by cross-sectional regression analysis with the method of Ordinary Least Squares. The data employs performance and characteristics of 997 private equity funds between 1985 and 2008. Our findings are that fund type has effect on fund performance. The average IRR of venture capital funds is 2.7% less than average IRR of buyout funds. However, We did not find any relationship between fund size and performance, and between fund sequence and performance. Funds based on US market perform better than funds based on EMEA market. The fund performance differs across different industries. The average IRRs of industrial/energy industry, consumer related industry, communications and media industry and medical/health industry are higher than the average IRR of other industries.

Understanding the financial status of a group of high performance athletes

With the 2010 Vancouver Winter Olympic Games quickly approaching, there has been a heightened interest in the performance of Canadian athletes at international competitions (Duffy, 2007; Fidlin, 2005; Longley, 2006). Two significant documents outline Canada's goal to become the number one sporting nation at the 2010 Olympic Games, and improve Canada's performance at the 2008 Olympic Games: Own the Podium and Road to Excellence (Priestner Allinger & Allinger, 2004; Road to Excellence, 2006). These two documents represent heightened interest in the performance of our elite athletes, in conjunction with Canada's hosting status of the Vancouver 2010 Winter Olympic Games. The requirements to train and compete at the international level have become more demanding both in terms of financial resources and time commitment. The need to financially assist athletes with their training and competition costs has been an important topic of debate over the past decades (Beamish & Borowy, 1987; Gatehouse, 2004; Macintosh, 1996; Munro, 1970; Owens, 2004). Two sources of fiinding for high performance athletes in Canada are the Athlete Assistance Program (AAP) provided by the Federal Government and the Canadian Olympic Excellence Fund provided by the Canadian Olympic Committee. The importance of these fiinds for athletes has been discussed in various forums (Ekos, 1992, 1997, 2005; Priestner Allinger & Allinger, 2004; Thibault «& Babiak, 2005). However, alternative sources of funds for high performance athletes have never been the object of research. As such the purpose of this study was to describe a group of athlete applicants from the time period of November 2004 to April 2006, and to contextualize these applications within the development of the Charitable Fund for Athletes.

ASSESSING THE PERFORMANCE OF EMERGING MARKET MUTUAL FUNDS IN CANADA

Emerging markets have received wide attention from investors around the globe because of their return potential and risk diversification. This research examines the selection and timing performance of Canadian mutual funds which invest in fixed-income and equity securities in emerging markets. We use (un)conditional two- and five-factor benchmark models that accommodate the dynamics of returns in emerging markets. We also adopt the cross-sectional bootstrap methodology to distinguish between ‘skill’ and ‘luck’ for individual funds. All the tests are conducted using a comprehensive data set of bond and equity emerging funds over the period of 1989-2011. The risk-adjusted measures of performance are estimated using the least squares method with the Newey-West adjustment for standard errors that are robust to conditional heteroskedasticity and autocorrelation. The performance statistics of the emerging funds before (after) management-related costs are insignificantly positive (significantly negative). They are sensitive to the chosen benchmark model and conditional information improves selection performance. The timing statistics are largely insignificant throughout the sample period and are not sensitive to the benchmark model. Evidence of timing and selecting abilities is obtained in a small number of funds which is not sensitive to the fees structure. We also find evidence that a majority of individual funds provide zero (very few provide positive) abnormal return before fees and a significantly negative return after fees. At the negative end of the tail of performance distribution, our resampling tests fail to reject the role of bad luck in the poor performance of funds and we conclude that most of them are merely ‘unlucky’.

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.

Brazilian equity mutual funds: A general outlook based on performance

This dissertation main goal is to overview the Brazilian equity mutual funds returns. We find that active management is not effective for Ibovespa index, since Ibovespa active funds do not outperform the Ibovespa referenced funds. However, for IBrX index, active management do outperform the passive strategy. We found that Sustainable funds returns do not outperform the market, Endowment funds show poor performance, which could indicate strong regulation imposition over endowment funds portfolios. The size of a fund shows positive correlation to mean average returns and alphas. A fund’s lifetime is positively correlated to returns and to alphas, which could be related to more risk-taking by younger managers in order to pursue higher expected returns and, consequently, bigger inflows. Younger funds tend to have lower performance probably because, in taking more risks, they do not perform as expected. In addition, we find that the decreasing trend of the alpha evolution along the time is a sign of the industry decreasing returns of scale, which entails that managers have more difficulties to beat the market portfolio. Top 10s rankings show that funds appear more than once on the top 10s, which shows persistence of funds’ performance. Finally, concerning the deciles and quartiles rankings, the frequency of appearances changes among performance measures. There are measures which, when compared to others, strongly change the top and bottom for the decile and quartile members.