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The aim of the master thesis is to assess the impact of this type of investment on the returns of alternative mutual funds (AMFs). They offer the advantage of being transparent about their holdings, which is necessary for the study.
To carry out the analysis, several multi-factor models are used as AMFs are at mid-way between HFs and traditional mutual funds. This is the reason why the literature review goes through the SPACs features and returns, HF merger arbitrage strategy as it looks like SPACs investment and AMFs returns characteristics compared to HFs.

alternative mutual fund --- alternative investment --- SPAC --- Special Purpose Acquisition Company --- performance --- risk/return --- regression --- multi-factor model --- mutual fund --- hedge fund --- Sciences économiques & de gestion > Finance

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This thesis evaluates the Luxembourg mutual fund market and the link between its performance and several variables like the incentive fee, the front loads and deferred loads, the age and the size of the fund. This study shows that incentive fees may improve the moral hazard between investors and managers, but the fee is not offset by the added value. Furthermore, we show that the added risk created by the incentive effect is on average not enough compensated with extra return. For the load charges, we do not find significant relations. But we do find that large funds benefit from economies of scales and that younger funds outperform older ones.

performance fee --- incentive --- mutual fund performance --- Sciences économiques & de gestion > Finance

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July 2000 - This study of an important class of investors-U.S. mutual funds-finds that mutual funds do engage in momentum trading (buying winners and selling losers). They also engage in contagion trading strategies (selling assets from one country when asset prices fall in another). Kaminsky, Lyons, and Schmukler address the trading strategies of mutual funds in emerging markets. The data set they develop permits analyses of these strategies at the level of individual portfolios. A methodologically novel feature of their analysis: they disentangle the behavior of fund managers from that of investors. For both managers and investors, they strongly reject the null hypothesis of no momentum trading. Funds' momentum trading is positive: they systematically buy winners and sell losers. Contemporaneous momentum trading (buying current winners and selling current losers) is stronger during crises, and stronger for fund investors than for fund managers. Lagged momentum trading (buying past winners and selling past losers) is stronger during noncrises, and stronger for fund managers. Investors also engage in contagion trading-selling assets from one country when asset prices fall in another. These findings are based on data about mutual funds that represent only 10 percent of the market capitalization in the countries considered. Were it a larger share of the market, finding counterparties for their trades (the investors who buy when they sell and sell when they buy) would be difficult-and the premise that funds respond to contemporaneous returns rather than causing them would become tenuous. This paper-a product of Macroeconomics and Growth, Development Research Group-is part of a larger effort in the group to understand capital flows to developing countries. The study was funded by the Bank's Research Support Budget under the research project Mutual Fund Investment in Developing Countries. The authors may be contacted at graciela@gwu.edu, lyons@haas.berkeley.edu, or sschmukler@worldbank.org.

Budget --- Debt Markets --- Emerging Market --- Emerging Markets --- Finance and Financial Sector Development --- Financial Crisis --- Financial Support --- Fund Managers --- Hedge --- Hedge Funds --- Interest --- Investor --- Investors --- Lending --- Mutual Fund --- Mutual Fund Strategies --- Mutual Funds --- Pension --- Pension Funds --- Portfolio --- Trading --- Warrants

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Persistence in mutual funds’ performance is a subject that has been highly debated among the literature. No consensus has been reached yet and most of the work related to the topic have been done on U.S. markets. However, due to the recent development in European market importance, it becomes easier and more relevant to study this market as well. 
Persistence in performance has important consequences from an economic and practical perspective, if persistence is proven to be existing, then it represents a serious challenge to market efficiency, and it could also represent an important screening mechanism for investors. 

This thesis will study the performance of active domestic equity funds in Europe, focusing on 5th countries that are France, Germany, Italy, Netherlands, and Spain. 

First, a review of the literature regarding market efficiency, active management, and performance persistence in the U.S. and in Europe is performed, then a quick summary about the dataset is described and then we explain the methodology that will be used. Finally, empirical results are analyzed. To perform the analysis, we use several multi-factor models to calculate performance, as well as the use of the False Discovery Rate (FDR) to identify funds with a truly significant alpha and to eliminate the chance factor. In addition, we also use a non-parametric approach by using the Winner-Loser test and performing statistical tests on its results.

The first objective of this paper is to give an overview on the efficiency of European markets and the existence of "Skill" among mutual fund managers by also testing whether past performance can give information on future performance (if the existence of persistence is proven).
And the second objective would be to study the performance of domestic funds knowing that there is a cognitive bias for investors called "home bias" which pushes investors to overweight domestic investments compared to international investments, and to know if this bias is motivated by an "informational advantage" or if it is simply motivated by the familiarity that investors have with these companies and would therefore be an irrational choice.

mutual fund, performance, persistence, dynamic investment strategies, multifactor model, regression, manager skills, luck, false discoveries --- Sciences économiques & de gestion > Finance

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Thanks to the real estate industry’s strong growth since the early 2000s, financial investors have shown increased interest in it. This has paved the way for the quick development of specialized investment vehicles and especially Real Estate Mutual Funds. This is precisely what led to the writing of this paper.
As a first step, it aims at describing the economic environment that surrounds this specific industry between 2003 and 2015. It provides information and details about the main drivers of the expansion of the US housing bubble. It further illustrates the disastrous consequences of the bubble’s rupture on the global economy and the way financial markets recovered over the next years.
In a second step, it analyses the past performances of global REMF during the pre-crisis (i.e. 2003-2006), crisis (i.e. 2007-2009) and post-crisis (2010-2015) periods. While REMF market showed strong signs of inefficiencies throughout the 1990s, the paper demonstrated standardization in the industry, as the results were fairly similar to those obtained by the broad mutual fund industry. In fact, managers were no longer able to consistently outperform the real estate benchmark over the period.
Following that, the paper used regression models to highlight the factors (i.e. total expense ratio, turnover ratio) impacting the REMF alphas. It found that REMF with the lowest TER and turnover ratio tend to produce better performances. However, the relatively low r-squared suggested that no general conclusions could be drawn from this analysis,
Finally, it provides a cursory analysis of the existing relationship between the stock market and the real estate mutual fund industry at the global level. With the exception of the 2000-2006 period, which featured contrasting trends in the economy (i.e. the quick expansion of the housing bubble and the recovery of the stock market), it found a strong correlation between them. This in turn suggested the low diversification benefits from the real estate industry, when added to a world stock portfolio.

Real estate --- Real estate mutual fund --- Regression analysis --- Cross-sectional determinant --- Performance metrics --- Housing bubble crisis --- Correlation coefficient --- Diversification --- Global performance --- Sciences économiques & de gestion > Finance