Fundos de ações com benchmark em renda fixa mais do que compensam o investidor relativamente aos fundos com benchmark em renda variável?

Este trabalho estuda o diferencial de retorno entre fundos de ações com benchmark em índices de renda fixa e fundos de ações com benchmark em índices de renda variável. A escolha de um índice de renda fixa como benchmark para um FIA, em média tende a ser pior para o cotista, pois gera um potencial de ganho financeiro para o gestor não associado ao real valor por ele criado. Portanto, como a remuneração dos gestores através da taxa de performance depende em parte do benchmark escolhido, fundos com benchmark em renda fixa deveriam apresentar melhores desempenhos a fim de compensarem seus cotistas por este custo. Os resultados encontrados sugerem que os gestores de fundos com benchmark em renda fixa obtêm um retorno líquido de taxas de performance e administração superior para seus cotistas e também apresentam uma menor correlação com o Índice Bovespa.

Do benchmark African equity indices exhibit the stylized facts?

This paper investigates if benchmark African equity indices exhibit the stylized facts reported for financial time-series returns. The returns distributions of the Africa All-Share, Large, Medium and Small Company Indices were found to be leptokurtotic, had fat-tails, over time experienced volatility clustering and exhibited long memory in volatility. Both the All-Share and Large Company Indices were found to exhibit leverage effects. In contrast, positive shocks had a greater impact on future volatility for the Small Company Index which implies a reverse leverage effect. This finding could reflect a bull/bubble market for small capitalisation stocks in Africa.

Why do so few hold stocks : theory and evidence

This study develops a life-cycle model where investors make investment decisions in a realistic environment. Model results show that personal illiquid projects (housing and children), fixed costs (once-off/per-period participation costs plus variable/fixed transaction costs) and endogenous risky human capital (with permanent, transitory and disastrous shocks) together are able to address both the non-participation puzzle and the age-effects puzzle. Empirical implications of the model are examined using Heckman’s two-step method with the latest five Surveys of Consumer Finance (SCF). Regression results show that liquidity, informational cost and human capital are indeed the major determinants of participation and asset allocation decisions at different stages of an investor’s life.

Use of virtual index for measuring efficiency of innovation systems : a cross-country study

In this study we propose a virtual index for measuring the relative innovativeness of countries. Using a multistage virtual benchmarking process, the best and rational benchmark is extracted for inefficient ISs. Furthermore, Tobit and Ordinary Least Squares (OLS) regression models are used to investigate the likelihood of changes in inefficiencies by investigating country-specific factors. The empirical results relating to the virtual benchmarking process suggest that the OLS regression model would better explain changes in the performance of innovation- inefficient countries.

Provincial mortality in South Africa, 2000 - priority-setting for now and a benchmark for the future

Background. Cause-of-death statistics are an essential component of health information. Despite improvements, underregistration and misclassification of causes make it difficult to interpret the official death statistics. Objective. To estimate consistent cause-specific death rates for the year 2000 and to identify the leading causes of death and premature mortality in the provinces. Methods. Total number of deaths and population size were estimated using the Actuarial Society of South Africa ASSA2000 AIDS and demographic model. Cause-of-death profiles based on Statistics South Africa's 15% sample, adjusted for misclassification of deaths due to ill-defined causes and AIDS deaths due to indicator conditions, were applied to the total deaths by age and sex. Age-standardised rates and years of life lost were calculated using age weighting and discounting. Results. Life expectancy in KwaZulu-Natal and Mpumalanga is about 10 years lower than that in the Western Cape, the province with the lowest mortality rate. HIV/AIDS is the leading cause of premature mortality for all provinces. Mortality due to pre-transitional causes, such as diarrhoea, is more pronounced in the poorer and more rural provinces. In contrast, non-communicable disease mortality is similar across all provinces, although the cause profiles differ. Injury mortality rates are particularly high in provinces with large metropolitan areas and in Mpumalanga. Conclusion. The quadruple burden experienced in all provinces requires a broad range of interventions, including improved access to health care; ensuring that basic needs such as those related to water and sanitation are met; disease and injury prevention; and promotion of a healthy lifestyle. High death rates as a result of HIV/AIDS highlight the urgent need to accelerate the implementation of the treatment and prevention plan. In addition, there is an urgent need to improve the cause-of-death data system to provide reliable cause-of-death statistics at health district level.

A robust optimization approach for index tracking problem

Index tracking is an investment approach where the primary objective is to keep portfolio return as close as possible to a target index without purchasing all index components. The main purpose is to minimize the tracking error between the returns of the selected portfolio and a benchmark. In this paper, quadratic as well as linear models are presented for minimizing the tracking error. The uncertainty is considered in the input data using a tractable robust framework that controls the level of conservatism while maintaining linearity. The linearity of the proposed robust optimization models allows a simple implementation of an ordinary optimization software package to find the optimal robust solution. The proposed model of this paper employs Morgan Stanley Capital International Index as the target index and the results are reported for six national indices including Japan, the USA, the UK, Germany, Switzerland and France. The performance of the proposed models is evaluated using several financial criteria e.g. information ratio, market ratio, Sharpe ratio and Treynor ratio. The preliminary results demonstrate that the proposed model lowers the amount of tracking error while raising values of portfolio performance measures.

Formative evaluation to benchmark and improve climate-based decision support for graziers in Western Queelsland

Researchers developing climate-based forecasts, workshops, software tools and information to aid grazier decisions undertook an evaluation study to enhance planning and benchmark impact. One hundred graziers in Western Queensland were randomly selected from 7 shires and surveyed by mail and telephone (43 respondents) to explore levels of knowledge and use of climate information, practices and information needs. We found 36% of respondents apply the Southern Oscillation Index to property decisions but 92% were unaware El Niño Southern Oscillation’s predictive signal in the region is greater for pasture growth than rainfall, suggesting they may not recognise the potential of pasture growth forecasts. Almost 75% of graziers consider they are conservative or risk averse in their attitude to managing their enterprise. Mail respondents (n= 20) if given a 68%, on average, probability of exceeding median rainfall forecast may change a decision; almost two-thirds vary stocking rate based on forage available, last year’s pasture growth or the Southern Oscillation Index; the balance maintain a constant stocking rate strategy; 90% have access to a computer; 75% to the internet and 95% have a fax. This paper presents findings of the study and draws comparisons with a similar study of 174 irrigators in the Northern Murray-Darling Basin (Aust. J. Exp. Ag. 44, 247-257). New insights and information gained are helping the team better understand client needs and plan, design and extend tools and information tailored to grazier knowledge, practice, information needs and preferences. Results have also provided a benchmark against which to measure project impact and have influenced the team to make important changes to their project planning, activities and methods for transferring technology tailored to grazier preferences.

Three Essays on the Volatility of Finnish Stock Returns (summary section only)

First, in Essay 1, we test whether it is possible to forecast Finnish Options Index return volatility by examining the out-of-sample predictive ability of several common volatility models with alternative well-known methods; and find additional evidence for the predictability of volatility and for the superiority of the more complicated models over the simpler ones. Secondly, in Essay 2, the aggregated volatility of stocks listed on the Helsinki Stock Exchange is decomposed into a market, industry-and firm-level component, and it is found that firm-level (i.e., idiosyncratic) volatility has increased in time, is more substantial than the two former, predicts GDP growth, moves countercyclically and as well as the other components is persistent. Thirdly, in Essay 3, we are among the first in the literature to seek for firm-specific determinants of idiosyncratic volatility in a multivariate setting, and find for the cross-section of stocks listed on the Helsinki Stock Exchange that industrial focus, trading volume, and block ownership, are positively associated with idiosyncratic volatility estimates––obtained from both the CAPM and the Fama and French three-factor model with local and international benchmark portfolios––whereas a negative relation holds between firm age as well as size and idiosyncratic volatility.

Performance of Finnish Mutual Funds: A Decomposition Approach

Mutual funds have increased in popularity among Finnish investors in recent years. In this study returns on domestic funds have been decomposed into several elements that measure different aspects of fund performance. The results indicate that fund managers in the long run tend to allocate fund capital between different stock categories in a profitable way. When it comes to the short term timing of their allocation decisions they are however unable to further improve overall performance. The evidence also suggests that managers possess the ability to pick above average performing stocks within the individual stock categories. During the investigated period most funds returned more than a broad benchmark index even after fees and indirect costs were taken into account.

Pricing Index Options with Stochastic Volatility

The objective of this paper is to investigate the pricing accuracy under stochastic volatility where the volatility follows a square root process. The theoretical prices are compared with market price data (the German DAX index options market) by using two different techniques of parameter estimation, the method of moments and implicit estimation by inversion. Standard Black & Scholes pricing is used as a benchmark. The results indicate that the stochastic volatility model with parameters estimated by inversion using the available prices on the preceding day, is the most accurate pricing method of the three in this study and can be considered satisfactory. However, as the same model with parameters estimated using a rolling window (the method of moments) proved to be inferior to the benchmark, the importance of stable and correct estimation of the parameters is evident.

The decline of migratory salmonid stocks: a new threat to pearl mussels in Scotland

The general decline of the endangered freshwater pearl mussel Margaritifera margaritifera (L.) throughout its holarctic range is well documented. Scotland is considered to be a stronghold of margaritifera, containing approximately half of the world's known remaining viable populations. However, even here the majority of populations have declined and many have disappeared completely. This article provides an overview of the freshwater pearl mussel life-cycle and the life-cycle of salmonids which are the host fish during the freshwater mussels short parasitic larval phase. The authors highlight the potential implications of the decline of salmonids for freshwater populations in Scotland.

Company financial performance: Does board size matter? Case of the EUROSTOXX50 index

[EN] This study analyzes the relationship between board size and economic-financial performance in a sample of European firms that constitute the EUROSTOXX50 Index. Based on previous literature, resource dependency and agency theories, and considering regulation developed by the OECD and European Union on the normative of corporate governance for each country in the sample, the authors propose the hypotheses of both positive linear and quadratic relationships between the researched parameters. Using ROA as a benchmark of financial performance and the number of members of the board as measurement of the board size, two OLS estimations are performed. To confirm the robustness of the results the empirical study is tested with two other similar financial ratios, ROE and Tobin s Q. Due to the absence of significant results, an additional factor, firm size, is employed in order to check if it affects firm performance. Delving further into the nature of this relationship, it is revealed that there exists a strong and negative relation between firm size and financial performance. Consequently, it can be asseverated that the generic recommendation one size fits all cannot be applied in this case; which conforms to the Recommendations of the European Union that dissuade using generic models for all countries.

Using productivity and susceptibility indices to assess the vulnerability of United States fish stocks to overfishing

Assessing the vulnerability of stocks to fishing practices in U.S. federal waters was recently highlighted by the National Marine Fisheries Service (NMFS), National Oceanic and Atmospheric Administration, as an important factor to consider when 1) identifying stocks that should be managed and protected under a fishery management plan; 2) grouping data-poor stocks into relevant management complexes; and 3) developing precautionary harvest control rules. To assist the regional fishery management councils in determining vulnerability, NMFS elected to use a modified version of a productivity and susceptibility analysis (PSA) because it can be based on qualitative data, has a history of use in other fisheries, and is recommended by several organizations as a reasonable approach for evaluating risk. A number of productivity and susceptibility attributes for a stock are used in a PSA and from these attributes, index scores and measures of uncertainty are computed and graphically displayed. To demonstrate the utility of the resulting vulnerability evaluation, we evaluated six U.S. fisheries targeting 162 stocks that exhibited varying degrees of productivity and susceptibility, and for which data quality varied. Overall, the PSA was capable of differentiating the vulnerability of stocks along the gradient of susceptibility and productivity indices, although fixed thresholds separating low-, moderate-, and highly vulnerable species were not observed. The PSA can be used as a flexible tool that can incorporate regional-specific information on fishery and management activity.

Growth performance of Nigerian fish stocks

Parameters of the von Bertalanffy growth function are presented for 42 fish stocks belonging to 16 families, 22 genera and 27 species. The growth performance index, Phi '(= log K + 2logL sub( infinity )), was computed for each stock and was found to be highest in male Gymnarchus niloticus (Gymnarchidae) from Lake Chad and lowest in Chrysichthys auratus (Bagridae) from the Cross River. Mean Phi ' for major fish genera and families are also presented and was highest in brackishwater fishes, closely followed by freshwater and inshore marine water fishes.

Two spawning stocks of icefish Neosalanx taihuensis revealed from annual reproductive cycle analyses

Neosalanx taihuensis were sampled from the Tian-e-zhou Oxbow from March 2006 through November 2007. Two separate spawning seasons were identified based on the annual reproductive cycles of the females, designated as the autumn-spawning season and the spring-spawning season. Lifespan of the offspring of the spring-spawning fish was 1 year, with them dying after the subsequent spring spawning. Autumn-spawned females seem to be the offspring of the spring-spawning fish, based on monthly changes in the length-frequency distributions. Spring-mature females had higher absolute fecundity, gonadosomatic index, and relative condition factor in 2007 than in 2006. Relative condition factor of the immature female offspring of spring-spawning fish was higher in 2007 than in 2006, portending a further increase in reproductive investment during the spring spawning of 2008. The increasing reproductive investment suggests that the population of N. taihuensis in the Tian-e-zhou Oxbow may be recovering from its recent decline.