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We estimate a structural model of broker choice to quantitatively decompose the value that institutional investors attach to broker services. Studying over 300 million institutional equity trades, we find that investors are sensitive to both explicit and implicit trading costs and are willing to pay a premium for access to formal and informal research. Formal and informal research account for roughly half of the value generated by brokers. In addition, we use our model to investigate soft dollar arrangements, where research and execution services are bundled, and find that such arrangements allow hedge funds and mutual funds to underreport management fees by 10%.

För att investerare ska placera kapital mot hållbara investeringar krävs insikt om det finns en premie som valet av hållbara aktiefonder innebär eller om dessa motsvarar eller till och med överavkastar mot konventionella fonder. I denna uppsats undersöker vi hur den riskjusterade avkastningen, mätt som Jensens alpha, ser ut för hållbara och konventionella fonder. Studien undersökte 51 aktiefonder med hemvist i Sverige för åren 2017-2021 där datan samlades in från Avanza och hållbarhetsbetyg från Morningstar användes för klassificering av konventionella respektive hållbara fonder. Resultaten pekar på att hållbara aktiefonder har en riskjusterad avkastning som är 0,2 procentenheter högre än konventionella aktiefonder över hela tidsramen. Studien undersökte även förhållandet mellan riskjusterad avkastning och förvaltningsavgiften och fann ett marginellt positivt samband utifrån en regressionsanalys. Studien bidrar till forskningsområdet genom att närmare undersöka ett individuellt land till skillnad från tidigare studier och på senare årtal vilket ger en mer nutida förståelse för hållbara och konventionella aktiefonder på den svenska fondmarknaden. For investors looking at placing their capital in sustainable equity funds, there is a need for knowledge as to how sustainable funds compare to their conventional peers. Do they demand a premium, have the same returns or even outperform? In this paper we look at the risk adjusted return, Jensen's alpha, on the Swedish fund market between the year 2017-2021 and how sustainable funds compare to conventional ones. The results indicate that sustainable funds outperform conventional funds with 0,2 percentage points over the entire time frame. The study also examined the relationship between fund fees and risk adjusted returns and found a marginal positive relationship from a regression analysis. The study contributes to the scientific field by closer examining a single country for a later time frame, giving a more contemporary understanding of sustainable and conventional funds on the Swedish fund market.

We develop a life-cycle optimal investment and consumption model with deferred annuities, housing, mortgages and home equity release. The investor can hold cash, bonds, stocks, annuities and can invest in housing, through renting, purchasing, or a mix of both, with access to variable-rate mortgages. In retirement, the investor can access his housing equity through a form of home equity release called a home reversion contract. Transaction costs, taxes and management fees are explicitly included. The investor’s risk preferences are represented by standard power utility derived from housing and nonhousing consumption, both before and after retirement, and from bequest. We use multi-stage stochastic programming to solve the optimization problem numerically. Our results show that both non-housing and housing consumption may be higher in retirement when deferred annuities and home reversion are available than when they are absent. The bequest motive has little effect on home reversion and results in a small reduction in overall annuitization.

This paper takes smart city as an example, combining with online and offline aggregation services to explore the possible way out of county community governance innovation. In this white paper, community governance of online and offline aggregate services depends on the various assets and functions of the community, acts in collaboration with community stakeholders, and prevents and resists contingencies. Defined as a community with the ability to self-organize, self-adapt, and self-heal Interference or disaster to achieve sustainable development. This paper puts forward the benefit evaluation method of community governance, which is used to evaluate the implementation effect of online and offline community governance system. Taking a county as an example, this paper analyzes the impact of the challenge and novelty of this model on urban construction. Research shows that in the previous community governance model, about 50% of the people think that the managers of all institutions related to public welfare should not take management as the purpose, and even nearly 70% of the respondents also stressed that these institutions should not be allowed to collect legal management fees or commission fees. At the same time, 40% of respondents admitted that they did not trust the quality of free services provided by public welfare agencies. The online and offline aggregate service modes adopted by the city not only work well in the city's economy, but also increase the city's GDP by 12%. This is 3.6% higher than in the previous mode. In addition, this model will accelerate the process of democratic construction and improve people's happiness index.

This paper studies institutional investors’ incentives to be engaged shareholders. We measure incentives as the increase in an institution’s management fees when a stockholding increases 1% in value, considering both the direct effect on assets under management and the indirect effect on subsequent fund flows. In 2017, the average institution gains an extra $129,000 in annual cash flow if a stock in its portfolio rises 1%. The estimates range from $19,600 for institutions’ investments in small firms to $307,600 for their investments in large firms. Institutional shareholders in one firm often gain when the firm’s competitors in the industry do well, by virtue of institutions’ holdings in those firms, but the impact of common ownership is modest in the most concentrated industries.

Purpose: The Defined Contribution (DC) saving method, which is implemented in most Organization for Economic Cooperation and Development (OECD) countries, is generally detrimental to disadvantaged employees. This paper proposes to improve the situation of disadvantaged employees by increasing government regulatory intervention, through an aggregation model. Design/Methodology/Approach: The study is conducted based on Israeli data and examines the impact of the aggregation model suggested in it, at the microeconomic level. Findings: Disadvantaged employees usually fail to accumulate sufficient pension savings and pay the highest management fees. Therefore, after retirement, their substitution ratio is low, and they suffer from poverty. Several population groups, such as immigrants, can be generally considered disadvantaged. The measures taken by governments to mitigate the problem do not succeed in bringing about a significant change. Practical Implications: The aggregation model presented in this paper offers a way to significantly improve the pension savings of disadvantaged employees. The model enables the implementation of compulsory pension law, thereby creates pension savings among all disadvantaged employees. In addition to that, the model enables to reduce the management fees paid by disadvantaged employees, and thus raise their future pension. Originality/Value: Given the similarity between Israel and other OECD countries in the context of pension savings, other countries may benefit from the research findings presented in this paper as well.

Objective The changes of absolute value and relative value of clinical research coordinator service fee and its influence on the quality of drug clinical trial were analyzed. Methods This study compared the amount and structural changes of drug clinical trial costs in before 3 years and after 3 years of self-examination and inspection initiated by the China Food and Drug Administration, identified the increase number and composition of each individual cost of a clinical trial research funds which including clinical research coordinator service fee, investigator labor fee, subjects examination fee, subjects traffic subsidy, documents management fee, drug management fee, etc. Result The most significant appearance of increase in volume and proportion was the clinical research coordinator service fee. From the initial few to the global multicenter tumor drug clinical trials RMB31,624 or 34.92% of the proportion and domestic multicenter tumor drug clinical trials RMB16,500, accounted for 33.74%. Discussion It has become common for more money to be spent on clinical trials to be accompanied by improved quality, but the occurrence and continuous increase of clinical research coordinator service fee were divided into two aspects, On the one hand, the quality of clinical trials was promoted by the large amount of low-skill trivial work undertaken by clinical research coordinator; on the other hand, the quality of clinical trials was undermined by the fact that clinical research coordinator did too much treatment evaluation work that should have been done by the investigator. Conclusion The clinical research coordinators’ access standards, pre-employment training and examination, job and performance evaluation, in addition to the SMO specification management and avoiding malicious competition between the industry, are important factors in the quality assurance of drug clinical trials.

The study examines if specific characteristics of funds influence the performance of Saudi equity mutual funds. Previous research has explored various aspects of mutual funds. However, the Saudi Arabia literature focuses on evaluating the funds’ performance. Hence, this study seeks to close this gap by providing a framework to explain the equity fund performance. Several risks adjusted performance measures are applied such as Jensen’s alpha, lower partial moment alpha, Sharpe ratio, LPM-Sharpe ratio using the dynamic panel specification over the period 2010–2019. Based on the LPM alpha, the risk-adjusted return analysis reveals that the Saudi equity funds outperformed their benchmark over the full sample period. The empirical results show that major fund-specific characteristics such as fund size, past performance, and flow explain future performance. Besides, the evidence confirms that Saudi funds benefit from the economies of scale and expertise, while funds requiring higher levels of initial investment tend to exhibit lower performance levels. These findings provide investors and fund managers with useful information to make the optimal investment decisions in the mutual fund industry.

Purpose The paper aims to investigate the performance determinants of European non-listed private equity real estate funds between 2001 and 2014. Design/methodology/approach Using a sample of 363 funds collected from the Inrev database, the analysis evaluated the impact of fees and other intrinsic characteristics of these funds, such as leverage, size and duration, on the funds’ performance, intending to enhance the understanding underlying their relationship. Findings The findings show a negative relationship between the return of the funds and redemption fee, performance fee and management fee. Conversely, marketing fees have a positive effect on performance. When analyzing the investment style, the results reveal inhomogeneous behaviors of leverage on funds’ performance. This variable has a positive impact on the return in core funds, while there is a negative relationship in value-added investments. Finally, the emphasis on the global financial crisis shows that the effects of the independent variables on the performance do not significantly change in different economic cycles. Practical implications The practical implication of the research is to understand whether an investor can direct its resources in a fund, leveraging on certain intrinsic characteristics that can be observed a priori. Originality/value Even if there is a considerable body of literature on determinants of performance in European non-listed real estate funds, little research has analyzed the role of fees in driving their results. Besides, this paper takes advantage of observations from different investment styles to emphasize the impact of higher or lower risk profiles and from the full economic cycle to understand the effects of the crisis period.

Retirement village contracts are complex, blending together financial options on real estate, life annuities and life insurance. We analyse the structure of the cash flows involved in a retirement village contract and distil the cost components into an equivalent monthly comparison rent. In general, we observe lower monthly rents when the maintenance fees and deferred management fees are lower, when higher rates of capital gain are evident, and, importantly, when retirees reside in the retirement village for a longer period. Our analysis provides a framework to meaningfully compare the relative merits of the finances incorporated into retirement village contracts.

Most of the coastal areas in Kendari City have developed into settlements that having poor sanitation conditions, practicing of open defecation free, using construction of latrines without the appropriateness of health standards, and some sanitation facilities built by Government is not functioning properly. This study wants to analyze the social, economic, and cultural aspects that affect the management of sanitation for coastal communities in Kendari City, consist of a description of community behavior, the level of knowledge, awareness, and participation of residents in sanitation, and the willingness and capacity to pay management fees for sanitation facilities in coastal settlements in Kendari City. The methodology of this research was a type of quantitative research with a survey method. The technique of collecting data was Simple Random Sampling. Based on the Slovin formula with a confidence level of 90% with a sample size of 218 households. The research location is in 9 sub-districts which are directly adjacent to the coast of Kendari City. This research shows that social, economic, and cultural aspects such as education level, occupation, income, community knowledge affect sanitation management in coastal.

Purpose This paper aims to investigate private pension fund investor sentiment against fund performance and cost in an environment of frequent regulatory changes. The analyses are conducted in a low return, high-cost private pension fund market environment, which makes it easier to observe the relationship between investor sentiment to return and cost. Design/methodology/approach This paper conducts fixed effect, random effect and random effect within between effect panel data analyses of all Turkish private pension funds from 2011 to 2019. This paper conducts the analyses using aggregate data and subsets based on fund characteristics and pre-post regulation periods. Findings When regulations provide compensation and improve market efficiency in a pension fund market, investor focus shifted from performance to cost. Investors allocated assets with respect to return realization when adequately compensated for risk or had favorable cost contract clauses. Consequently, investors in pension funds with lower expected returns and no special fee reduction clauses tended to adopt the strategy of cost minimization. Research limitations/implications The overlap of regulatory change periods could complicate the ability to distinguish the impact of any one specific change. The findings therefore cannot be generalized to differently structured markets. Practical implications Regulatory changes could lead to a switch of investor objectives. When regulatory changes compensate investors and increase market efficiency, investors objective could switch from performance to cost. Originality/value This study investigates investor sentiment in a relatively young private pension fund market, in which the relevant regulatory body ambitiously implements frequent changes in regulation. The selected market is unique in the sense that it has negative real returns and high costs, which make investor focus to return and cost more readily apparent.

Considering the institutional factors of the German mutual fund market, we analyze equity fund holdings of German retail clients who received financial advice between 2005 and 2014 to investigate whether those investors overweight the bank-affiliated asset manager and if so, whether this bank-affiliated asset manager bias leads to higher fees, i. e. Total Expense Ratios. Our analysis clearly indicates the presence of large bank-affiliated asset management biases for clients of all different banking sectors. Thus, German retail clients follow the biased financial advice they receive from their bank. Surprisingly, this bank-affiliated asset manager bias significantly reduces portfolio costs measured via mutual fund fees. Therefore, German banks disproportionately promote products of bank-affiliated asset managers but this biased advice does not lead to higher portfolio costs.

We study the effects of a mandated increase in disclosure in a setting where managerial responses are particularly observable: mutual funds. We conjecture that mandating portfolio disclosure can harm some mutual fund investors. Portfolio disclosure imposes skill reassessment risks on fund managers which in turn translate into agency costs to investors, especially for funds characterized with high levels of ex-ante managerial skill uncertainty. Using a regulatory change that mandated more frequent portfolio disclosure as a natural experiment, we show that funds with high levels of ex-ante managerial skill uncertainty responded to the regulatory change with an increase in management fees and a decrease in risk taking behavior, relative to funds with low levels of ex-ante managerial skill uncertainty. These actions ultimately get transmitted to fund investors in the form of inferior net performance. Our findings shed new light on the costs of disclosure, as well as providing evidence on disclosure, agency, and governance issues of the investment management industry. * Mailing Addresses: Teodor Dyakov, Department of Finance, Faculty of Economics and Business Administration, VU University Amsterdam, 1081 HV Amsterdam, E-mail: t.dyakov@vu.nl; Jarrad Harford, Department of Finance, Foster School of Business, University of Washington, Seattle, WA 98195-3226, USA, E-mail: jarrad@uw.edu; Buhui Qiu, Discipline of Finance, The University of Sydney Business School, The University of Sydney, NSW 2006, Australia, E-mail: b.qiu@econ.usyd.edu.au. We would like to thank Ying Gan, Yaniv Grinstein, Joshua Madsen, Christopher Polk, Mathijs van Dijk, session participants at 2015 Financial Accounting and Reporting Section (FARS) Midyear Meeting, and seminar participants at Erasmus University and VU University Amsterdam for helpful comments and suggestions. All errors are our own.

Hemodialysis therapy was first performed in Japan at United States military base hospitals during the Korean War (1950–1953) to treat injured American soldiers with crush syndrome transferred from the combat zone. Encouraged by such experiences, several university hospitals started to offer acute hemodialysis treatment in 1955 and chronic hemodialysis treatment in the early 1960s. The health insurance program started to cover chronic hemodialysis treatment in 1967. Initially, the costs were not fully covered by the program: a 30% to even 50% copayment was required for patients who were not beneficiaries of the public insurance plan. In 1972, the national government started a program that also covered copayment on the basis of the Basic Act for Persons with Disabilities as a result of lobbying activities by patient groups and academic societies. Since then, hemodialysis treatment has become almost free of charge, except for high-income patients (up to 20,000 Japanese Yen [JPY] or approximately United States $200 per month). Typically, the total monthly cost for a patient on maintenance dialysis is approximately 320,000 JPY or approximately United States $3000, excluding any additional fees or medications. The cost consists of the medical management fee, including routine laboratory tests (22,500 JPY per month), and technical fees (21,400 JPY × approximately 14/mo). The reimbursement system is updated every 2 years. In April 2006, the costs for erythropoiesis-stimulating agents were bundled with the technical fees of hemodialysis and with anticoagulant and normal saline for rinsing. Roxadustat has recently been approved and bundled. According to the recent annual report of the Japanese Society for Dialysis Therapy Renal Data Registry (JRDR) (1), a total of 334,505 patients (2640.0 per million people in the general population) are receiving dialysis treatment in Japan as of 2017. In 40,959 incident patients (323 per million people in the general population), the average …

Purpose Over 15 years ago Goodwin created the first open-ended, non-traded real estate investment trust (REIT) with regular sales and redemptions at net asset value (“NAV REIT”). While NAV REITs are now well established, there is still room for improvement. Design/methodology/approach We traced the evolution of the NAV REIT’s innovative, investor-friendly features – transparent valuation to strike NAV, liquidity via redemption at NAV per share, indefinite life, lower/simpler selling and management fees, share classes with different upfront loads and trailing distribution fees. Findings To improve the liquidity feature of NAV REITs, share classes could be used to lower the drag on performance and match available liquid assets with expected redemption requests. The goal: balance inflows and outflows, optimize portfolio construction, and better safeguard liquidity. Practical implications One need not look far for the dark side of liquidity in open-ended real estate funds. The UK experience with regulated property funds is a painful object lesson. There is a better way: while traditional non-traded REITs were designed and marketed for investment by retail investors, NAV REITs appeal to a diverse range of investors, and share classes could be enhanced to offer both a menu of selling loads and a menu of liquidity and dividend-rate options to produce a smooth curve blending cost and time. Originality/value Innovation in structuring real estate investment vehicles has broadened choices for all and the NAV REIT is flexible, scalable, open-ended and cost-efficient. Fund sponsors, fund managers, financial advisors, investors and even regulators could find food for thought in our analysis.

We investigate how competition between fund managers and disclosure of other managers’ fees and performance influence fees, risk taken, earnings, and investor concentration, with a controlled lab experiment. We find that more competition and disclosure lead to a reduction in fees: The relative decrease is larger for management fees than for performance fees. Although, the decrease in fees does not affect managers’ investment strategies, it increases investors’ readiness to entrust their funds to a manager. This leads to higher overall earnings, with the benefits going to investors and to fund managers able to attract more or new investors. The empirical literature provides a mixed picture of the consequences of competition in delegated portfolio management, but our results suggest that more competition is mostly beneficial for the development of capital markets.

We find compelling evidence that integrating environment, social and governance (ESG) analyses into ongoing investment practices in Australia does not harm risk‐adjusted returns. High‐ESG‐rated portfolios consistently provide superior outperformance, diversification efficiencies, and lower overall risk compared to low‐ESG‐rated portfolios. In contrast to low‐rated portfolios, we find no evidence that high‐ESG‐rated portfolios underperform the market. All results remain robust to alternative time periods, market cycles, seasonality effects, ratings method and the inclusion of trading costs and management fees. Overall, our findings suggest that a simple ESG integration strategy may provide a natural hedge against the risks that arise from the evolving fiduciary responsibilities of professional investment managers relating to ESG risks.

We extend the continuous-time hedge fund framework to model the dynamic leverage choice of a hedge fund manager with time-inconsistent preferences. While time-inconsistency discourages the manager from investing when facing high liquidation risk, the payment of incentive fees may induce a time-inconsistent manager to be more aggressive with leverage. For the special case with no management fees, we derive the closed-form solutions and find that a time-inconsistent manager always chooses higher leverage than a time-consistent manager. The impact on the dynamic leverage strategy also depends on such factors as whether managers are sophisticated or naive in their expectations regarding future time-inconsistent behavior.

In recent years hedge funds have become more popular because of their low correlation with traditional investments and their ability to generate positive returns with a relatively low volatility. However, a closer look at those high performing hedge funds raises the question if the performance is truly superior and if the high management fees are justified. Incurring no alpha costs, so-called passive hedge fund replication strategies raise the question if they can lead to similar performance in a more efficient way at lower costs. This paper investigates two different model approaches for the equity long/short strategy, where weighted segmented linear regression models are employed in combination with two-state Markov switching models. The main finding is evidence of a short put option structure, i.e. short the equity market volatility, with the put structure present in all market states. We obtain evidence that the hedge fund managers decrease their short-volatility profile during turbulent markets.

This study investigates a novel consultancy contract mode for condominium management in Taiwan by using transaction cost theory. This study finds that consultancy contracts offer property management companies lower personnel costs and a lower tax burden compared with full-responsibility contracts, and that such contracts are suitable for condominiums with minimal public funds, few households, and low management fees. However, under consultancy contracts, labor disputes are likely to occur; thus, distinguishing between powers and responsibilities and controlling service quality are difficult, and a property management company's corporate image is likely to sustain damage. Among the nine transaction costs, most of the respondents believe that transaction costs will decrease when using consultancy contracts, although for five transaction costs, some respondents felt that costs will increase, and for two items, no change is expected. This study provides six strategies for property management companies to select management modes and contracts: use a company website and advertising strategy, develop different service modules, use property service proposals, use management contract modes combined with new technologies, enhance the degree of authorization, and help protect employees' rights and interests. Keywords: Property management companies, Commissioned management committee, Condominium management mode, Consultancy contract, Full-responsibility contract, Transaction cost, JEL classification: K110, K120, L100, M110

As most investors hold only one or two funds, the Sharpe ratio is the performance measure relevant for them. Employing this measure, we find that only 13% of active U.S. equity funds outperform the market. We estimate the aggregate annual loss to investors in U.S. active equity funds at $235 Billion. This loss can be decomposed into wealth destruction component of $186 Billion, and a $49 Billion wealth transfer from investors to funds. We discuss possible explanations for the persistence of this large inefficiency, and suggest ways to mitigate it. Employing the Sharpe ratio rather than alpha has a dramatic effect: loss estimates based on alphas are about 10 times smaller.

The delegated portfolio management has been at the core of financial debates, leading to a growing research effort to provide modeling and solution approaches. This class of problems focuses on investors relying upon decentralized affiliates for the specialized selection of investment options. In this paper we propose a novel optimization framework for multi-market portfolio management, where a central headquarter delegates the market-wise portfolio selection to specialized affiliates. Being averse to risk, the headquarter endogenously sets the maximum expected loss (in the form of conditional value at risk) for the affiliates, who respond designing portfolios and retaining portions of the expected investment returns as management fees. In its essence, this problem constitutes a single-leader-multi-follower game, resulting from the decentralized investment design. Starting from a bilevel formulation, our results build on the equivalence with the high point relaxation to provide theoretical insights and numerical solution approaches. We show that the problem is NP-Hard and propose a decomposition procedure and strong valid inequalities, capable of boosting the efficiency of the computational solution, when instances become large. In the same line, optimality bounds exploiting overlooked properties of the conditional value at risk are deduced, to provide almost exact solutions with few seconds of computation. Building on this theoretical development, we conduct computational tests using comprehensive firm-level data from 1999 to 2014 on 7256 U.S. listed enterprises. These tests support the effectiveness of the decomposition procedure, as well as the one of the strong valid inequalities, improving the LP relaxation by up to 99.18 % .

Purpose Prior research has demonstrated that investment management performance fees have the characteristic of a call option. It is important to examine whether these performance fees are consistent with traditional fee structures used by investment managers. It is also worth examining whether clients or managers benefit significantly more than the other party under performance fee structures. The paper aims to discuss these issues. Design/methodology/approach The authors use Black-Scholes options pricing methodology to examine three cases of performance fee structures. The Absolute Hurdle case examines the fee structure where the manager receives a portion of the return over a pre-defined absolute rate of return. The Benchmark Relative Hurdle case shows a fee structure based on performance in excess of the return of a benchmark portfolio. The Breakeven Relative Hurdle case illustrates the fee structure where there is revenue neutrality with the classic management fees when portfolio performance matches the benchmark. Findings The findings of this paper illustrate that a particular performance fee structure can be designed to have the same revenue as a traditional investment management fee structure. Such a structure is equally beneficial to both the investment manager and to the client and should have salutary motivational effects to improve investment results, while simultaneously rewarding the manager for value added at a fair price for both the manager and the investor. Originality/value This study is unique in that it examines three cases of performance fees and provides a comparison between performance fee structures and traditional investment management fee structures. The findings will assist investment portfolio managers in better setting management fees they charge clients. In addition, this study help with clients who feel they are being charged excessive management fees by their investment manager.

O presente artigo analisou se os Fundos de Investimentos de Ações de Empresas Sustentáveis proporcionaram retornos positivos em relação ao IBOVESPA e ISE. Os resultados indicaram que: a) embora o ISE tenha performado acima do IBOVESPA no período, os fundos conseguiram gerar resultados acima do IBOVESPA, apenas no período 2010 a 2014 (período em que o IBOVESPA apresentou rentabilidade negativa); b) o risco dos fundos apresentou níveis inferiores aos do IBOVESPA em todos os períodos; c) as taxas de administração dos fundos se mostraram elevadas para o nível de retorno. Os resultados mostraram-se consistentes com outras pesquisas, pois indicaram que: i) os Investimentos Sustentáveis apresentaram característica defensiva, com retornos acima do mercado em momentos de crise e abaixo do mercado em momentos de crescimento econômico; ii) relação negativa sustentabilidade e risco; iii) os Investimentos Sustentáveis apresentaram performance ajustada ao risco positiva.

The authors study the impact of fees on the performance of multi-manager portfolios within managed futures. Using net-of-fee monthly returns of commodity trading advisors (CTAs) and their fee structures as reported in the BarclayHedge database, they estimate the time series of gross returns. They find that fees represent approximately 50% of gross performance, on average. They consider three fee structures: management fee only; a standard structure that includes both management and incentive fees; and a pooled, or netted, fee structure in which the incentive fee is based on aggregate portfolio performance rather than the performance of individual managers. They also vary the number of managers in a portfolio from 1 to 20 and consider crystallization frequencies between 3 and 12 months. Regardless of the fee structure, they find that average performance increases monotonically with the number of managers in a portfolio, and the distribution of performance becomes tighter. Performance improvement relative to a single-manager investment is highest for multi-manager portfolios that rely on a pooled fee structure. Pooling fees results in fee savings of up to 40% relative to the standard fee management and performance fee structures. They also find that less frequent crystallization consistently improves performance. TOPICS:Commodities, futures and forward contracts, manager selection, performance measurement

This study examines the problems associated with the management fee on outsourced CIOs in the public pension funds in Korea and proposes a better management fee structure. The main results of this study are summarized as follows. First, the outsourced CIO is likely to make a profit, provided that the management cost of the outsourced CIO is lower than a fixed ratio in a fee structure. Second, the profit margin of public funds increases as the fixed ratio decreases. Third, the outsourced CIOs can make a sure profit under the existence of the fixed fee only, regardless of the performance of public funds. In addition, the profit of outsourced CIOs increases as the level of delegation fees for sub-management firms decreases. However, such a fee structure may result in making worse the overall performance of funds ultimately. Fourth, it is necessary to introduce the performance-linked fee structure when the outsourced CIOs of public pension funds are selected. Such a fee structure can mitigate the possibility that the outsourced CIOs reassigns fund to sub-management firms with low management capacities, thereby lowering the fund’s overall performance.

This paper proposes a conditional density model that allows for differing left/right tail indices and time varying volatility based on the dynamic conditional score (DCS) approach. The asymptotic properties of the maximum likelihood estimates are presented under verifiable conditions together with simulations showing effective estimation with practical sample sizes. It is shown that tail asymmetry is prevalent in global equity index returns and can be mistaken for skewness through the center of the distribution. The importance of tail asymmetry for asset allocation and risk premia is demonstrated in‐sample. Application to portfolio construction out‐of‐sample is then considered, with a representative investor willing to pay economically and statistically significant management fees to use the new model instead of traditional skewed models to determine their asset allocation.

Investors in Taiwan prefer to invest in offshore funds, and they are good customers in the eyes of the world's major fund companies. Funds are competing these investors through these 3,400 bank branches. Literature has indicated comprehensive selection criteria when investors choosing a fund, yet no study revealed the gap between what investors’ expected and experienced. The current study conducted a survey among these investors with importance-performance analysis (IPA) to fill this gap. There were two parts in the questionnaire, first part was drawn from literature to measure funds, and the second part was summarized from several depth interviews based on SERVQUAL with senior investors. 240 valid responses from current fund investors. The factors investor’s preference in evaluating a fund may be different in terms of residence areas and age. Perceived importance of fund selection criteria is not significantly different in terms of gender, education, marriage, and income levels. Test results indicated that “investment performance record”, “management fees” and “additional features” of fund, and the “sympathy” dimension of bank should be first improved by either fund or bank company respectively.

This paper uses panel econometric techniques to estimate a macro-financial model for fee and commission income over total assets for a broad sample of euro area banks. Using the estimated parameters, it conducts a scenario analysis projecting the fee and commission income ratio over a three-year horizon conditional on the baseline and adverse macroeconomic scenarios used in the 2016 EU-wide stress test. The results indicate that the fee and commission income ratio is varying in particular with changes in its own lag, the short-term interest rate, stock market returns and real GDP growth. They also show that the fee and commission income ratio projections are more conservative under the adverse scenario than under the baseline scenario. These findings suggest that stress tests assuming scenario-independent fee and commission income projections are likely to be flawed.

In order to balance with supply policy, public housing management and operation policies have been implemented in terms of housing welfare, but citizens have not yet achieved the results that the citizens are experiencing. The purpose of this study is to analysis the residential satisfaction of the including the housing performance through the characteristics of the public housing residents in Seoul. The data used in this study is based on the survey data of public housing panel survey in Seoul (2016). The study method used ordered logistic regression analysis based on the fact that dependent variables appeared as ordered responses. Major research results are as follows. Firstly, housing performance and residential satisfaction may not match. Even though the satisfaction of housing area, type, and management fee is high, satisfaction with residential environment is low if commuting distance, the number of small libraries, and hospitals are small. Secondly, it showed different characteristics of residential environment factors among types of public housing. Rather than focusing on supply, customized supply is needed considering characteristics of public housing types. Thirdly, the policy for public housing needs to be realized by a fair policy on the residential environment. It is necessary to contribute to better housing stability as a customized policy considering the local residential environment.

There is a growing literature examining futures-based trading strategies and the performance of Commodity Trading Advisors (CTAs). In this article, the authors test the validity of three key assumptions used in these studies. They test the validity of basing conclusions on analysis of synthetic rather than market price data; they review the evidence on the level of transaction costs, to test the cost model used in modeling futures-based trading strategy; and finally, they test the assumption that CTAs generally charge a management fee of 2% and incentive (performance) fee of 20%. In addition, they present the trend over time in the structure of fees. Their findings suggest that inferences based on synthetic futures replicate those based on exchange-traded data. Over the full period, the average fee levels were 1.82% (management) and 20.2% (incentive)—not significantly different from the levels used in the literature. TOPICS:Futures and forward contracts, real assets/alternative investments/private equity, commodities