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Investir dans l'eau : une analyse de fonds thématiques

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Dechambre, Simon ULiège
Promotor(s) : Bazgour, Tarik ULiège
Date of defense : 4-Sep-2017/11-Sep-2017 • Permalink : http://hdl.handle.net/2268.2/3494
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Title : Investir dans l'eau : une analyse de fonds thématiques
Author : Dechambre, Simon ULiège
Date of defense  : 4-Sep-2017/11-Sep-2017
Advisor(s) : Bazgour, Tarik ULiège
Committee's member(s) : Gautier, Axel ULiège
Bonesire, Thomas ULiège
Language : French
Keywords : [fr] eau
[fr] fonds
[fr] investissement
[fr] capm
[fr] fama & french
[fr] diversification
Discipline(s) : Business & economic sciences > Finance
Institution(s) : Université de Liège, Liège, Belgique
Degree: Master en sciences de gestion, à finalité spécialisée en Banking and Asset Management
Faculty: Master thesis of the HEC-Ecole de gestion de l'Université de Liège

Abstract

[en] The availability of clean water and adequate infrastructures represents one of the most widespread challenges in today’s world, especially in developing countries. Although the reach of distribution and the quality of water have been improving for the last decades thanks to the support of international organizations and the establishment of common standards, our ability to meet forthcoming needs for water is still uncertain. Indeed, the growing consumption as well as climate change and the deterioration of natural supply are pushing water concerns at stress for the years to come.
In order to face this challenge and to address limitations of the public sector, the implication of private companies for the conception and management of infrastructures is becoming a common standard in many places of the world. This study briefly reviews the role of the private sector through the implementation of public-private partnership contracts (PPP).
Amongst the different ways for private or institutional investors to invest in this precious liquid, water oriented funds have been proliferating since the beginning of the last decade.
This study then aims to assess the risk-return profile of these funds, in order to conclude on a potential over/underperformance, by comparing their alpha, as well as their Sharpe and Treynor ratios to a market proxy, based on weekly returns from june 2012 to 2017. It subsequently intends to evaluate the diversification benefits associated to an index representative of the water funds market by incorporating it into a classical portfolio, made of global bond and stock indexes.
The results of the analytical research first induce that, even though no statistically significant underperformance can be observed on the water funds market, the risk-return profile of these investments is generally inferior to the overall market benchmark from an economical point of view. It then shows that the adjustment to the size and style factors from the Fama & French model brings no considerable change in the excess returns observed with the CAPM. This research finally indicates that the inclusion of the water funds index results in no significant improvement of the risk-return profile of the classical portfolio, from both statistical and economical point of view. Water funds generally tend to be quite well diversified amongst the different asset classes and show a slighter volatility than the market over the sample period.


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Access memoire-eau-dechambre.pdf
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  • Dechambre, Simon ULiège Université de Liège > Master sc. gest., à fin.

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  • Total number of views 57
  • Total number of downloads 31










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