Does active management add any value?

The question as to whether active management adds any value above that of the funds investment policy is one of continual interest to investors. In order to investigate this issue in the UK real estate market we examine a number of related questions. First, how much return variability is explained by investment policy? Second, how similar are the policies across funds? Third, how much of a fund’s return is determined by investment policy? Finally, how was this added value achieved? Using data for 19 real estate funds we find that investment policy explains less than half of the variability in returns over time, nothing of the variation across funds and that more than 100% of a level of return is attributed to investment policy. The results also show UK real estate fund focus exclusively on trying to pick winners to add value and that in pursuit of active return fund mangers incur high tracking error risk, consequently, successful active management is very difficult to achieve. In addition, the results are dependent on the benchmark used to represent the investment policy of the fund. Nonetheless, active management can indeed add value to a real estate funds performance. This is the good news. The bad news is adding value is much more difficult to achieve than is generally accepted.

Does active management add value?: the Brazilian mutual fund market

Does active management add or destroy value? With a sample of 699 with four different main categories: stocks, fixed income, hedge and exchange rate mutual funds we conclude that the active management add value to investors in stocks and hedge funds. But in fixed income mutual funds the evidence is against the active management. We also analyze the determinants of significant alphas. For stocks and hedge funds the evidence suggests that old, big and active funds generate biggest alphas. In fixed income funds the evidence is not clear, only a positive relationship between size and alphas could be found.

Indexing and active fund management: International evidence

Author's pre-print

Performance of active portfolio management and the effect of stock market trend

Purpose of the study is to evaluate performance of active portfolio management and the effect of stock market trend on the performance. Theory of efficient markets states that market prices reflect all available information and that all investors share a common view of future price developments. This view gives little room for the success of active management, but the theory has been disputed – at least the level of efficiency. Behavioral finance has developed theories that identify irrational behavior patterns of investors. For example, investment decisions are not made independent of past market developments. These findings give reason to believe that also the performance of active portfolio management may depend on market developments. Performance of 16 Finnish equity funds is evaluated during the period of 2005 to 2011. In addition two sub periods are constructed, a bull market period and a bear market period. The sub periods are created by joining together the two bull market phases and the two bear market phases of the whole period. This allows for the comparison of the two different market states. Performance of the funds is measured with risk-adjusted performance by Modigliani and Modigliani (1997), abnormal return over the CAPM by Jensen (1968), and market timing by Henriksson and Merton (1981). The results suggested that in average the funds are not able to outperform the market portfolio. However, the underperformance was found to be lower than the management fees in average which suggests that portfolio managers are able to do successful investment decisions to some extent. The study revealed substantial dependence on the market trend for all of the measures. The risk-adjusted performance measure suggested that in bear markets active portfolio managers in average are able to beat the market portfolio but not in bull markets. Jensen´s alpha and the market timing model also showed striking differences between the two market states. The results of these two measures were, however, somewhat problematic and reliable conclusions about the performance could not be drawn.

A management architecture for active networks

In this paper we present an architecture for network and applications management, which is based on the Active Networks paradigm and shows the advantages of network programmability. The stimulus to develop this architecture arises from an actual need to manage a cluster of active nodes, where it is often required to redeploy network assets and modify nodes connectivity. In our architecture, a remote front-end of the managing entity allows the operator to design new network topologies, to check the status of the nodes and to configure them. Moreover, the proposed framework allows to explore an active network, to monitor the active applications, to query each node and to install programmable traps. In order to take advantage of the Active Networks technology, we introduce active SNMP-like MIBs and agents, which are dynamic and programmable. The programmable management agents make tracing distributed applications a feasible task. We propose a general framework that can inter-operate with any active execution environment. In this framework, both the manager and the monitor front-ends communicate with an active node (the Active Network Access Point) through the XML language. A gateway service performs the translation of the queries from XML to an active packet language and injects the code in the network. We demonstrate the implementation of an active network gateway for PLAN (Packet Language for Active Networks) in a forty active nodes testbed. Finally, we discuss an application of the active management architecture to detect the causes of network failures by tracing network events in time.

Distributed intelligent management of active networks

This paper focuses on improving computer network management by the adoption of artificial intelligence techniques. A logical inference system has being devised to enable automated isolation, diagnosis, and even repair of network problems, thus enhancing the reliability, performance, and security of networks. We propose a distributed multi-agent architecture for network management, where a logical reasoner acts as an external managing entity capable of directing, coordinating, and stimulating actions in an active management architecture. The active networks technology represents the lower level layer which makes possible the deployment of code which implement teleo-reactive agents, distributed across the whole network. We adopt the Situation Calculus to define a network model and the Reactive Golog language to implement the logical reasoner. An active network management architecture is used by the reasoner to inject and execute operational tasks in the network. The integrated system collects the advantages coming from logical reasoning and network programmability, and provides a powerful system capable of performing high-level management tasks in order to deal with network fault.

Active versus passive management : the case of BOVESPA

Mestrado em Finanças

Why do research on commercial property management? Somebody HAS to!

This paper identifies some significant gaps in our knowledge of the configuration and performance of the property asset management sector. It is argued that, as many leading academic property researchers have focussed on financial vehicles and modelling, in-depth analysis of property assets and their management has been neglected. In terms of potential for future in-depth research, three key broad preliminary research themes or questions are identified. First, how do the active management opportunities presented, costs of management and the key management tasks vary with market conditions, asset type and life-cycle stage? Second, how is property asset management delivered and what are the main costs and benefits of different models of procurement? Finally, what are the appropriate metrics for measuring the performance of different property managers and approaches to property management? It is concluded that the lack of published materials addressing these issues has implications for educating property students.

Factors influencing adoption of improved grassland management by small-scale dairy farmers in central Mexico and the implications for future research on smallholder adoption in developing countries

There have been limited recent advances in understanding of what influences uptake of innovations despite the current international focus on smallholder agriculture as a means of achieving food security and rural development. This paper provides a rigorous study of factors influencing adoption by smallholders in central Mexico and builds on findings to identify a broad approach to significantly improve research on and understanding of factors influencing adoption by smallholders in developing countries. Small-scale dairy systems play an important role in providing income, employment and nutrition in the highlands of central Mexico. A wide variety of practices and technologies have been promoted by the government public services to increase milk production and economic efficiency, but there have been very low levels of uptake of most innovations, with the exception of improving grassland through introduction of grass varieties together with management practices. A detailed study was conducted with 80 farmers who are already engaged with the use of this innovation to better understand the process of adoption and identify socioeconomic and farm variables, cognitive (beliefs), and social–psychological (social norms) factors associated with farmers' use of improved grassland. The Theory of Reasoned Action (TRA) was used as a theoretical framework and Spearman Rank Order correlation was conducted to analyse the data. Most farmers (92.5%) revealed strong intention to continue to use improved grassland (which requires active management and investment of resources) for the next 12 months; whereas 7.5% of farmers were undecided and showed weak intention, which was associated with farmers whose main income was from non-farm activities as well as with farmers who had only recently started using improved grassland. Despite farmers' experience of using improved grassland (mean of 18 years) farmers' intentions to continue to adopt it was influenced almost as much by salient referents (mainly male relatives) as by their own attitudes. The hitherto unnoticed longevity of the role social referents play in adoption decisions is an important finding and has implications for further research and for the design of extension approaches. The study demonstrates the value and importance of using TRA or TPB approaches to understand social cognitive (beliefs) and social–psychological (social norms) factors in the study of adoption. However, other factors influencing adoption processes need to be included to provide fuller understanding. An approach that would enable this, and the development of more generalisable findings than from location specific case studies, and contribute to broader conceptualisation, is proposed.

Proactive management of extreme prematurity: Disagreement between obstetricians and neonatologists

Objective: To verify, in extremely preterm infants, if disagreement between obstetricians and neonatologists regarding proactive management is associated with early death.Study Design: Prospective cohort of 484 infants with 23 0/7 to 266/7 weeks, without malformations, born from January 2006 to December 2009 in eight Brazilian hospitals. Pro-active management was defined as indication of ≥1 dose of antenatal steroid or cesarean section (obstetrician) and resuscitation at birth according to the international guidelines (neonatologist). Main outcome was neonatal death in the first 24 h of life.Result: Obstetricians and neonatologists disagreed in 115 (24%) patients: only neonatologists were proactive in 107 of them. Disagreement between professionals increased 2.39 times the chance of death in the first day (95% confidence interval 1.40 to 4.09), adjusted for center and maternal/neonatal clinical conditions.Conclusion: In infants with 23 to 26 weeks of gestation, disagreement between obstetricians and neonatologists, translated as lack of antenatal steroids and/or vaginal delivery, despite resuscitation procedures, increases the odds of death in the first day. © 2012 Nature America, Inc.

Proactive management of extreme prematurity: disagreement between obstetricians and neonatologists

Objective: To verify, in extremely preterm infants, if disagreement between obstetricians and neonatologists regarding proactive management is associated with early death. Study Design: Prospective cohort of 484 infants with 23(0/7) to 26(6/7) weeks, without malformations, born from January 2006 to December 2009 in eight Brazilian hospitals. Pro-active management was defined as indication of >= 1 dose of antenatal steroid or cesarean section (obstetrician) and resuscitation at birth according to the international guidelines (neonatologist). Main outcome was neonatal death in the first 24 h of life. Result: Obstetricians and neonatologists disagreed in 115 (24%) patients: only neonatologists were proactive in 107 of them. Disagreement between professionals increased 2.39 times the chance of death in the first day (95% confidence interval 1.40 to 4.09), adjusted for center and maternal/neonatal clinical conditions. Conclusion: In infants with 23 to 26 weeks of gestation, disagreement between obstetricians and neonatologists, translated as lack of antenatal steroids and/or vaginal delivery, despite resuscitation procedures, increases the odds of death in the first day. Journal of Perinatology (2012) 32, 913-919; doi:10.1038/jp.2012.28; published online 29 March 2012

Career management practices in India:an empirical study

This paper examines and discusses the developments in the field of career management, bringing in the international perspective. In particular, the paper explores career management practices in 108 Indian organizations. A factor analysis procedure suggested five groups of practices: formal planning, formal active management, developmental, career stages and assessment. These are found to be associated with certain organizational and cultural characteristics. The research has both theoretical and practical implications.

Parametric portfolio policies: An application for a global tactical asset allocation model

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