Conditional performance evaluation and the relevance of money flows for Australian international equity funds

This paper assesses the importance of fund flows in the performance evaluation of Australian international equity funds. Two concepts of fund flows are considered in the context of a conditional asset pricing model. The first measure is net fund flow relative to fund size and the second is net fund flow relative to sector flows. We find that incorporating a fund flow measure relative to the sector flow results in a reduction of measured perverse market timing. The results indicate that, at the individual fund level, cash flows are relevant in assessing management outcomes.

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.

Performance measurement in child protection

The increasing use of performance measurement by government means that child protection services are under pressure to demonstrate effectiveness in protecting children from harm and efficiency in the use of public funds to help children and families. From a policy perspective, the way performance measurement is conceptualised and implemented can have major consequences for service delivery. This paper examines key issues raised in the literature about performance measurement, the context for its introduction in child protection, how the concepts of effectiveness and efficiency are dealt with, how client outcomes are defined, and assumptions about 'good performance'. An overview of performance measurement in child protection in Australia is provided. The paper argues that a critical approach to performance measurement in child protection can contribute to improved service delivery to clients.

Energy harvesting performance of piezoelectric electrospun polymer fibers and polymer/ceramic composites

The energy harvesting efficiency of electrospun poly(vinylidene fluoride), its copolymer vinylidene fluoride-trifluoroethylene and composites of the later with piezoelectric BaTiOon interdigitated electrodes has been investigated. Further, a study of the influence of the electrospinning processing parameters on the size and distribution of the composites fibers has been performed. It is found that the best energy harvesting performance is obtained for the pure poly(vinylidene fluoride) fibers, with power outputs up to 0.03 W and 25 W under low and high mechanical deformation. The copolymer and the composites show reduced power output due to increased mechanical stiffness. The obtained values, among the largest found in the literature, the easy processing and the low cost and robustness of the polymer, demonstrate the applicability of the developed system.

Selectivity and timing abilities of international socially responsible funds

This article analyses the selectivity and market timing abilities of international Socially Responsible Investment (SRI) funds, from eight European markets, in comparison to conventional funds with similar characteristics. The results show that differences in market timing abilities of international SRI funds and their conventional peers are not statistically significant. However, SRI funds investing in European equities are significantly worse stock pickers than conventional funds, whereas for funds investing globally, selectivity abilities are similar among both fund groups. Hence, our results suggest that a broader investment universe might increase SRI fund managers’ stock picking abilities and, consequently, improve SRI fund performance.

Visualizing non-linear control system performance by means of multidimensional scaling

This paper addresses the use of multidimensional scaling in the evaluation of controller performance. Several nonlinear systems are analyzed based on the closed loop time response under the action of a reference step input signal. Three alternative performance indices, based on the time response, Fourier analysis, and mutual information, are tested. The numerical experiments demonstrate the feasibility of the proposed methodology and motivate its extension for other performance measures and new classes of nonlinearities.

Influence of entrepreneurial orientation in export performance

This study aims at investigating the influence that entrepreneurial orientation has on export performance of Portuguese footwear small and mediumenterprises (SMEs). Therefore, a quantitative methodological approach was used, conducting a descriptive, exploratory and transversal empirical study, having applied a questionnaire to a sample of Portuguese companies exporting footwear. The research results suggest that entrepreneurial orientation enhances export performance in the analysed SMEs, particularly innovation and proactiveness, through the amount of funds invested, human resources dedicated to this activity, number of new products or services introduced in the market and frequent change in product lines or services and materialization of a long-term perspective, which is accompanied by innovative activities or new businesses. Therefore, the findings sustain the necessity to invest in entrepreneurial orientation as a strategic determinant, which contributes to the growth of small firms in foreignmarkets. Finally, the main limitation of this study is related to the sample size, since it was difficult to find companies willing to collaborate with this kind of research.

Pricing of exchange traded funds

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Tracking error of exchange-traded funds: Evidence from the UK

This paper is mainly concerned with the tracking accuracy of Exchange Traded Funds (ETFs) listed on the London Stock Exchange (LSE) but also evaluates their performance and pricing efficiency. The findings show that ETFs offer virtually the same return but exhibit higher volatility than their benchmark. It seems that the pricing efficiency, which should come from the creation and redemption process, does not fully hold as equity ETFs show consistent price premiums. The tracking error of the funds is generally small and is decreasing over time. The risk of the ETF, daily price volatility and the total expense ratio explain a large part of the tracking error. Trading volume, fund size, bid-ask spread and average price premium or discount did not have an impact on the tracking error. Finally, it is concluded that market volatility and the tracking error are positively correlated.