Fundo Nacional do Idoso e as políticas de gestão do envelhecimento da população brasileira

Demographic census from the last decades of the twentieth century began to reveal a tendency concerning the increasing average age of the population. The Brazilian government began introducing ways to manage the effects and consequences of this trend, the most recent being the creation of the "Fundos do Idoso" (Funds for seniors) in the Federal, state and municipal spheres. That law allows transferring federal taxes from common citizens and companies to the funds. This article is specifically written as a critical examination of this governmental initiative towards the problem of an ageing population from the point of view as to how the law has been implemented. With the creation of the funds there will be the enlargement and improvement of services destined for seniors. However, the law mentioned above does not predict an active participation of the seniors in the management of this funds and policies that will come as result.

Understanding Red Blood Cell Parameters In The Context Of The Frailty Phenotype: Interpretations Of The Fibra (frailty In Brazilian Seniors) Study.

Frailty and anemia in the elderly appear to share a common pathophysiology associated with chronic inflammatory processes. This study uses an analytical, cross-sectional, population-based methodology to investigate the probable relationships between frailty, red blood cell parameters and inflammatory markers in 255 community-dwelling elders aged 65 years or older. The frailty phenotype was assessed by non-intentional weight loss, fatigue, low grip strength, low energy expenditure and reduced gait speed. Blood sample analyses were performed to determine hemoglobin level, hematocrit and reticulocyte count, as well as the inflammatory variables IL-6, IL-1ra and hsCRP. In the first multivariate analysis (model I), considering only the erythroid parameters, Hb concentration was a significant variable for both general frailty status and weight loss: a 1.0g/dL drop in serum Hb concentration represented a 2.02-fold increase (CI 1.12-3.63) in an individual's chance of being frail. In the second analysis (model II), which also included inflammatory cytokine levels, hsCRP was independently selected as a significant variable. Each additional year of age represented a 1.21-fold increase in the chance of being frail, and each 1-unit increase in serum hsCRP represented a 3.64-fold increase in the chance of having the frailty phenotype. In model II reticulocyte counts were associated with weight loss and reduced metabolic expenditure criteria. Our findings suggest that reduced Hb concentration, reduced RetAbs count and elevated serum hsCRP levels should be considered components of frailty, which in turn is correlated with sarcopenia, as evidenced by weight loss.

Exchange rate sensitivity of Australian international equity funds

This paper analyses the exchange rate exposure displayed by a sample of Australian international equity trusts (IET). Exchange rate exposure is also examined in the context of differing economic climates with particular emphasis on the Asian crisis in mid-1997. It is found that there is evidence of exchange rate exposure particularly in the context of a multiple exchange rate model. Exposure varies substantially between three alternative time periods with different exposure apparent subsequent to the Asian crisis than prior to this event.

Style and performance of international socially responsible funds in Europe

This paper analyses the performance and investment styles of internationally oriented Socially Responsible Investment (SRI)funds, domiciled in eight European markets, in comparison with characteristics-matched conventional funds. To the best of our knowledge, this is the first multi-country study, focused on international SRI funds (investing in Global and in European equities), to combine the matched-pairs approach with the use of robust conditional multi-factor performance evaluation models, which allow for both time-varying alphas and betas and also control for home biases and spurious regression biases.In general, the results show that differences in the performance of international SRI funds and their conventional peers are not statistically significant. Regarding investment styles, SRI and conventional funds exhibit similar factor exposures in most cases. In addition,conventional benchmarks present a higher explaining power of SRI fund returns than SRI benchmarks. Our results also show significant differences in the investment styles of SRI funds according to whether they use “best-in-class” screening strategies or not. When compared to SRI funds that employ simple negative and/or positive screens, SRI “best-in-class” funds present significantly lower exposures to small caps and momentum strategies and significantly higher exposures to local stocks.

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.

Performance of european socially responsible funds during market crises: evidence from France

This paper investigates the performance, investment styles andmanagerial abilities of French socially responsible investment (SRI) funds investing in Europe during crisis and non-crisis periods. Our results show that SRI funds significantly underperformcharacteristics-matched conventional funds during non-crisis periods, but match the performance of their peers duringmarket downturns. The underperformance of SRI funds during good economic states is driven by funds that use negative screens, since funds that use only positive screens performsimilarly to conventional funds across differentmarket conditions. SRI and conventional funds showsignificant differences in risk exposures during non-crisis periods but exhibit much more similar investment styles during crises. Furthermore,we find little evidence of significant differences inmanagerial abilities during bad economic states. Yet, during non-crisis periods, SRI and conventional fund managers exhibit significantly different style-timing abilities and these differences are also related to screening strategies.

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

Search-for-yield in Portuguese fixed-income mutual funds and monetary policy

This paper studies the effects of monetary policy on mutual fund risk taking using a sample of Portuguese fixed-income mutual funds in the 2000-2012 period. Firstly I estimate time-varying measures of risk exposure (betas) for the individual funds, for the benchmark portfolio, as well as for a representative equally-weighted portfolio, through 24-month rolling regressions of a two-factor model with two systematic risk factors: interest rate risk (TERM) and default risk (DEF). Next, in the second phase, using the estimated betas, I try to understand what portion of the risk exposure is in excess of the benchmark (active risk) and how it relates to monetary policy proxies (one-month rate, Taylor residual, real rate and first principal component of a cross-section of government yields and rates). Using this methodology, I provide empirical evidence that Portuguese fixed-income mutual funds respond to accommodative monetary policy by significantly increasing exposure, in excess of their benchmarks, to default risk rate and slightly to interest risk rate as well. I also find that the increase in funds’ risk exposure to gain a boost in return (search-for-yield) is more pronounced following the 2007-2009 global financial crisis, indicating that the current historic low interest rates may incentivize excessive risk taking. My results suggest that monetary policy affects the risk appetite of non-bank financial intermediaries.

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.

Objectives of social entrepreneurs and federal lending programs, and the optimal allocation of external funds

Magdeburg, Univ., Fak. für Wirtschaftswiss., Diss., 2010

The daily market for funds in Europe: what has changed with the EMU?

This paper presents evidence that the existence of deposit and lending facilities combined with an averaging provision for the reserve requirement are powerful tools to stabilize the overnight rate. We reach this conclusion by comparing the behavior of this rate in Germany before and after the start of the EMU. The analysis of the German experience is useful because it allows to isolate the effects on the overnight rate of these particular instruments of monetary policy. To show that this outcome is a general conclusion and not a particular result of the German market, we develop a theoretical model of reserve management which is able to reproduce our empirical findings.