scholarly journals The prospective low risk hedge fund capital allocation line model: evidence from the debt market

2018 ◽  
Vol 9 (3) ◽  
pp. 419-439 ◽  
Author(s):  
Darko B. Vukovic ◽  
Victor Prosin
Keyword(s):  
Hedge Fund ◽  
Value Added ◽  
Capital Allocation ◽  
Low Risk ◽  
Insurance Companies ◽  
Investment Opportunities ◽  
Debt Market ◽  
Model Evidence ◽  
Fund Portfolio ◽  
Debt Portfolios

Research background: Institutional investors such as: commercial banks, pension funds, and insurance companies are constantly looking for low-risk stable investment opportunities, whereas one of the solutions can be a simulated portfolio. This research takes a look at the incentive to invest in government debt portfolios, as it can outperform the returns of deposit accounts. Purpose of the article: This study considers several classic methods of portfolio constriction and includes the basis of debt instruments that have not been a research topic for a long period of time. At the same time, this paper analyzes the classic methods of modern portfolio theory with a Sharpe ratio as an indicator of efficiency. Methods: The constructed portfolio consists of four elements from different countries: two government obligations and two bond indexes, aiming to employ international diversification. All the data was collected for the period of 12 years in order to represent the consequences of accrued recessions. Findings & Value added: The past two severe financial crises created a higher demand for stable investments, and more investors are ready to compromise a higher return for it. There-fore, the results of this paper represent a simulation of low-risk hedge fund portfolio construction with the use of highly rated debt instruments.

The relation between second-trimester placental elasticity and poor obstetric outcomes in low-risk pregnancies

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Murat Akbas ◽  
Faik Mumtaz Koyuncu ◽  
Burcu Artunç-Ülkümen ◽  
Gökce Akbas
Keyword(s):  
Birth Weight ◽  
Pregnant Women ◽  
Value Added ◽  
Shear Wave Elastography ◽  
Multiple Regression Model ◽  
Low Risk ◽  
Obstetric Outcomes ◽  
Second Trimester ◽  
The Mean ◽  
Random Measurements

AbstractObjectivesIncreased placental stiffness is associated with various pathological conditions. Our objective was to evaluate the relation between the second-trimester placental elasticity value in low-risk pregnant women and poor obstetric outcomes.MethodsA total of 143 pregnant women were enrolled. Placental elasticity values were measured using the transabdominal point shear wave elastography method. 10 random measurements were obtained from different areas of the placenta. The mean was accepted as the mean placental elasticity value. Logistic regression analyses were performed to identify independent variables associated with obstetric outcomes.ResultsSecond-trimester placental elasticity value was significantly and positively associated with the poor obstetric outcomes (p=0.038). We could predict a poor outcome with 69.2% sensitivity and 60.7% specificity if we defined the placental elasticity cut-off as 3.19 kPa. Furthermore, in the multiple regression model, the placental elasticity value added significantly to the prediction of birth weight (p=0.043).ConclusionsOur results showed that the pregnancies with a stiffer placenta in the second trimester were associated with an increased likelihood of exhibiting poor obstetric outcomes. Also, placental elasticity was independently associated with birth weight.

The value added of hedge fund styles in multi‐asset portfolios

2013 ◽  
Vol 12 (1) ◽  
pp. 44-59
Author(s):  
Thomas Heidorn ◽  
Dieter Kaiser ◽  
Daniel Lucke
Keyword(s):  
Hedge Fund ◽  
Value Added

scholarly journals HEDGE FUNDS: RISK AND PERFORMANCE

2018 ◽  
Vol 06 (01) ◽  
pp. 1850003
Author(s):  
SANGHEON SHIN ◽  
JAN SMOLARSKI ◽  
GÖKÇE SOYDEMIR
Keyword(s):  
Risk Factors ◽  
Hedge Funds ◽  
Factor Model ◽  
Explanatory Power ◽  
Hedge Fund ◽  
Investment Strategy ◽  
Time Varying ◽  
Asset Class ◽  
And Performance ◽  
Fund Portfolio

This paper models hedge fund exposure to risk factors and examines time-varying performance of hedge funds. From existing models such as asset-based style (ABS)-factor model, standard asset class (SAC)-factor model, and four-factor model, we extract the best six factors for each hedge fund portfolio by investment strategy. Then, we find combinations of risk factors that explain most of the variance in performance of each hedge fund portfolio based on investment strategy. The results show instability of coefficients in the performance attribution regression. Incorporating a time-varying factor exposure feature would be the best way to measure hedge fund performance. Furthermore, the optimal models with fewer factors exhibit greater explanatory power than existing models. Using rolling regressions, our customized investment strategy model shows how hedge funds are sensitive to risk factors according to market conditions.

scholarly journals A COMPARATIVE STUDY OF CONVENTIONAL AND SHARIAH LIFE INSURANCE EFFICIENCY USING DATA ENVELOPMENT ANALYSIS

2020 ◽  
Vol 9 ◽  
Author(s):  
Mulia Saputra ◽  
Muhammad Arfan ◽  
Neni Zahara
Keyword(s):  
Data Envelopment Analysis ◽  
Life Insurance ◽  
Value Added ◽  
Sampling Technique ◽  
Insurance Companies ◽  
Data Envelopment ◽  
Insurance Company ◽  
Life Insurance Company ◽  
Purposive Sampling ◽  
Test Input

This study aims to analyze and compare the efficiency between conventional life insurance companies and Islamic life insurance companies in Indonesia over the period of 2014-2018. The sample of this study was taken from 10 conventional life insurance companies and 10 shariah life insurance companies that were selected based on the purposive sampling technique. Measurement of efficiency in this study was conducted using the method of data envelopment analysis (DEA) based on Bankers-Charnes-Cooper (BCC) and Charnes-Cooper-Rhodes (CCR) models of the value-added approach. This was followed by testing the hypothesis using a different Mann-Whitney U-test. Input variables used are assets, capital, general and administrative costs, and commission expenses. Meanwhile, the output variables are premiums and investment income. The results showed that conventional life insurance companies are more efficient than Islamic life insurance companies based on the BCC and CCR models. Furthermore, the results of different tests using the Mann-Whitney U-test showed an insignificant difference in efficiency between conventional life insurance companies and Islamic life insurance companies during the study period. The results of the comparison of the average efficiency value with the DEA method indicated that the efficiency level of a conventional life insurance company was better than a shariah life insurance company.========================================================================================================Studi Perbandingan Efisiensi antara Asuransi Jiwa Konvensional dengan Syariah Menggunakan Data Envelopment Analysis. Penelitian ini bertujuan untuk menganalisis perbandingan efisiensi perusahaan asuransi jiwa konvensional dengan perusahaan asuransi jiwa syariah di indonesia pada periode 2014-2018. Sampel penelitian ini adalah 10 perusahaan asuransi jiwa konvensional dan 10 perusahaan asuransi jiwa syariah yang dipilih berdasarkan teknik purposive sampling. Pengukuran efisiensi dalam penelitian ini menggunakan metode data envelopment analysis (DEA) dengan model BCC dan CCR berdasarkan pendekatan nilai tambah. dilanjutkan dengan melakukan uji hipotesis menggunakan uji beda mann-whitney u-test. Variabel input yang digunakan adalah aset. modal. biaya administrasi dan umum. dan beban komisi. Sedangkan variabel outputnya adalah premi dan pendapatan investasi. Hasil penelitian menunjukkan bahwa perusahaan asuransi jiwa konvensional lebih efisien dibandingkan perusahaan asuransi jiwa syariah berdasarkan pengukuran dengan model BCC maupun model CCR. Selanjutnya hasil uji beda menggunakan uji mann-whitney u- test menunjukkan bahwa tidak terdapat perbedaan efisiensi yang signifikan antara perusahaan asuransi jiwa konvensional dan perusahaan asuransi jiwa syariah selama periode penelitian ini. Hasil perbandingan nilai efisiensi rata-rata dengan metode DEA menunjukkan bahwa tingkat efisiensi perusahaan asuransi jiwa konvensional lebih baik daripada perusahaan asuransi jiwa syariah.

scholarly journals Women on corporate boards and allocation of capital raised through IPOs

2019 ◽  
Vol 57 (3) ◽  
pp. 547-568 ◽  
Author(s):  
Bazeet Olayemi Badru ◽  
Nurwati A. Ahmad-Zaluki ◽  
Wan Nordin Wan-Hussin
Keyword(s):  
Decision Making ◽  
Governance Structure ◽  
Capital Allocation ◽  
Strategic Decision ◽  
Corporate Boards ◽  
Content Type ◽  
Investment Opportunities ◽  
Women On Corporate Boards ◽  
The Impact ◽  
A Company

Purpose The purpose of this paper is to examine whether the differences in men and women, such as risk aversion in decision making, can influence the amount of capital that the board of directors can allocate for investment opportunities. Design/methodology/approach This study sampled 212 IPOs over the period of 2005–2015 and employed the OLS and the quantile regression techniques to examine the impact of female directors on capital allocation. Findings The results show that women on corporate boards have a positive influence on the amount of capital an IPO company can allocate for investment opportunities. These findings suggest that the investment strategies of women in an emerging financial market, like Malaysia, may differ from women in other financial markets. Practical implications The presence of women on corporate boards plays an important role in board involvement in a company’s strategic decision at the time of the IPO. Therefore, regulators and IPO issuers should pay close attention to the corporate governance structure of a company at the time of an IPO. In addition, investors and other stakeholders of a company may consider women on corporate boards as an important factor in financing and investment decisions. Originality/value Despite several studies that have examined the influence of women on corporate boards on corporate outcomes, globally, the presence of women on corporate boards and their influence on corporate decision-making related to allocation of capital to investment opportunities, have not been fully explored in the IPO literature.

La crisi alimentare e la speculazione finanziaria sulle materie prime

2009 ◽  
pp. 63-79
Author(s):  
Giordano Sivini
Keyword(s):  
Futures Market ◽  
Insurance Companies ◽  
Food Crisis ◽  
Wall Street ◽  
Accumulation By Dispossession ◽  
Financial Speculation ◽  
International Prices ◽  
Investment Opportunities ◽  
Agricultural Futures ◽  
Long Time

- In this article the author analyses the factors that have produced the rise in commodities prices, making exasperated a food crises that has been creeping for a long time. The tightly correlated evolution in prices for both agricultural and non agricultural commodities has called the attention on a specific financial instrument, the commodity index, that connects them to the futures market where international prices are fixed. To the commodity index make reference the major banks in Wall Street to manage their financial liquidity and that of institutional investors (pension funds, foundations, insurance companies), looking for new investment opportunities after the sub-prime crises. The speculations on both sub-prime and commodities show that, independently from the perspectives of accumulation, the over accumulated capital increases the rent by dispossessing the living conditions of millions of people.Key words: food crisis; financial speculation on food; accumulation by dispossession; agricultural futures; sub-prime; commodities index.

Debt Investment Strategies

2019 ◽  
pp. 661-678
Author(s):  
Steven Cosares ◽  
Taylor Riggs ◽  
Andrew C. Spieler
Keyword(s):  
Interest Rates ◽  
Portfolio Management ◽  
Federal Reserve ◽  
Financial Planning ◽  
Cash Flows ◽  
Future Market ◽  
Investment Strategies ◽  
Investment Opportunities ◽  
Investment Returns ◽  
Debt Market

The diverse investment opportunities available in the debt market enable both individual and institutional investors to develop effective passive and active strategies for financial planning and portfolio management. Such strategies suggest a set of purchases, redemptions, and liquidations to meet investor objectives that consider such factors as market risk, expected investment returns, cash flows, liquidity, and investor convenience. Investment strategies can inoculate the portfolio against potential adverse markets events such as wide fluctuations in interest rates or can be executed in anticipation of an event affecting future market conditions such as an announcement by the Federal Reserve or the default of a municipality. This chapter presents different scenarios in which an investor would employ some appropriate strategies involving bonds or other debt-based securities.

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