Evincing Interest from Global Fund Managers in BIMSTEC As a Potential Asset Class

2017 ◽  
Author(s):  
Sourajit Aiyer
Keyword(s):  
Global Fund ◽  
Fund Managers ◽  
Asset Class

Life Settlement Value Profiles across Different Death Rate Distributions

2018 ◽  
Keyword(s):  
Death Rate ◽  
Cost Of Capital ◽  
Mortality Rates ◽  
Cash Flows ◽  
Pivot Point ◽  
Specific Cost ◽  
Fund Managers ◽  
Life Settlements ◽  
Asset Class ◽  
Insight Into

The life settlement asset class is a recognized part of the alternative investment market. Our article offers insight into the behavior of portfolios of life settlement contracts. We focus on the value profiles of pools of life settlement contracts in the value/cost of capital space. A pool of life settlement contracts has a death rate distribution that will determine the amount of premiums that must be paid each period and the amount of death benefits that will be collected each period. Because value is determined by the timing, magnitude, and certainty of the cash flows generated by an asset, it is inexorably linked to the timing of the life settlers’ deaths. We show that when certain conditions are met, pools with fundamentally different underlying mortality rates and risk profiles, but with the same cost of capital, can have the same value (pivot point in the value/cost of capital space). This pivot point can be useful for fund managers seeking to modify a portfolio of life settlements under a specific cost-of-capital constraint.

scholarly journals Traditional and Alternative Risk: Application to Hedge Fund Returns

2016 ◽  
Vol 7 (1) ◽  
pp. 5-33
Author(s):  
Claudio Boido ◽  
Antonio Fasano
Keyword(s):  
Stock Returns ◽  
Hedge Fund ◽  
Relative Advantage ◽  
Investment Policies ◽  
Fund Managers ◽  
Asset Class ◽  
Illiquid Investments ◽  
Hedge Fund Returns ◽  
Hedge Fund Performance ◽  
The Impact

This study compares the risk-adjusted performance of traditional and alternative investments. Instrumental to this design, we introduce a specific metric for assessing hedge fund performance, comprising both the relative advantage and the extra-risk of an alternative investment over a traditional one. We are concerned with the impact of the crisis. Common wisdom tells us that during phases of market euphoria, investors’ wishful thinking can make them overconfident of the high returns promised by the leveraged structures and the aggressive investment policies typical of this asset class; conversely, when the downturns hit, the “big bets”, taken by hedge fund managers, in risky and illiquid investments, can trigger severe losses in their investors’ portfolios. We found evidence that regime switches in stock returns emphasise the performance gap among the different fund investment policies; furthermore, some styles can effectively capitalise on managerial skill, outperforming traditional equity investment in terms of adjusted performance.

scholarly journals Do the Israeli Provident Funds have the Ability to Time the Bond and Stock Markets? An Analysis across Alternative Investments

2017 ◽  
Vol 6 (2) ◽  
pp. 169
Author(s):  
Ofer Arbaa ◽  
Eva Varon
Keyword(s):  
Asset Allocation ◽  
Mutual Fund ◽  
Market Timing ◽  
Future Market ◽  
Fund Managers ◽  
Portfolio Holdings ◽  
Early Return ◽  
Timing Ability ◽  
Asset Class ◽  
Timing Decisions

This paper investigates whether Israeli fund managers possess market-timing ability across asset classes over time, using 15 years of monthly data from the Israeli provident funds.  We apply three methodologies based on return based and portfolio holdings approaches. Most of the early return-based timing methods and the most recent portfolio holdings measures suggest that U.S. mutual fund managers do not possess equity timing ability. Our study is the first to test this evidence on multi- asset class provident funds in the Israeli market and compare the timing ability of fund managers in each asset class according to different approaches. We introduce an alternative holdings method that combine the asset allocation theory with that of market timing and use "excess policy" holdings data to predict future market returns.  In addition, previous studies mostly ignore the contribution of other instruments to timing decisions, which may cause any conclusions about managers' timing decisions to be incomplete. Hence, we test equity market timing with respect to all markets using a multiple market index model in the holdings approach. In line with previous research, our empirical results indicate significantly negative market timing in domestic equities according to all the measures used. On the other hand, provident fund managers on average seem to display some timing ability for government bonds.

Market Timing by Global Fund Managers

2003 ◽  
Author(s):  
Debra A. Glassman ◽  
Leigh A. Riddick
Keyword(s):  
Global Fund ◽  
Market Timing ◽  
Fund Managers

Holding ABS is still tricky: the EU securitisation regulation and its UK equivalent

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Christian Parker ◽  
Arun Srivastava ◽  
Paul Severs ◽  
Cameron Saylor
Keyword(s):  
Institutional Investors ◽  
Design Methodology ◽  
Due Diligence ◽  
Content Type ◽  
Fund Managers ◽  
Asset Class ◽  
Practical Implications ◽  
Risk Retention ◽  
The Eu

Purpose To highlight that the risk retention rules associated with the holding of securitization investments, commonly thought to apply only to the sponsors and manufacturers of securitisations, also affect EU institutional investors and potentially impact non-EU fund managers that invest in these assets. Design/methodology/approach To address which classes of investor are affected and then to provide an overview of the obligations on affected investors that do invest in securitization investments. Findings There is much that is straightforward about the relevant obligations but there are a number of quirks that have not necessarily been fully appreciated by the market: these include the applicability to investors on a “look through” basis that may, inter alia, affect US credit fund managers with EU institutional investors. Practical implications EU institutional investors that do invest in this asset class should be considering the need to take practical steps to prepare written due diligence materials; non-EU credit managers that run e.g. ABS funds offered into the EU or in which there may be EU institutional investors should consider if they may have any obligations under the EU Securitization Regulation. Originality/value The aspects of the Securitization Regulation that affect institutional investors and regular fund managers have not been addressed as thoroughly as they have by the main securitization sector (banks, CLO managers and similar). This article seeks to remedy that and should prove of value to compliance, legal and other professionals at those types of institution.

Market timing by global fund managers

2006 ◽  
Vol 25 (7) ◽  
pp. 1029-1050 ◽  
Author(s):  
Debra A. Glassman ◽  
Leigh A. Riddick
Keyword(s):  
Global Fund ◽  
Market Timing ◽  
Fund Managers

The Global fund in 2012: New directions

2012 ◽  
Author(s):  
G. Jaramillo ◽  
D. Zewdie ◽  
C. Benn ◽  
M. Eldon-Edington
Keyword(s):  
Global Fund ◽  
New Directions
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