Portfolio Concentration and Investment Manager Performance

Portfolio Concentration and Investment Manager Performance

38 Pages · 2006 · 316 KB · English

This study examines the relationship between investment performance and concentration in active equity portfolios. Active management is dependent on the success of two important components in the investment process – stock selection skill and portfolio management. Our study documents a positive 

Portfolio Concentration and Investment Manager Performance free download

Portfolio Concentration and Investment Manager Performance* Simone Brands a Stephen J Brown b David R Gallagher a, † a School of Banking and Finance, The University of New South Wales, Sydney, NSW 2052 AUSTRALIA b NYU Stern School of Business, New York, USA _____________________________________________________________ Abstract: This study examines the relationship between investment performance and concentration in active equity portfolios Active management is dependent on the success of two important components in the investment process – stock selection skill and portfolio management Our study documents a positive relationship between fund performance and portfolio concentration The relationship is stronger for stocks in which active managers hold overweight positions, as well as for stocks outside the largest 50 stocks listed on the Australian Stock Exchange (ASX) We find more concentrated funds tend to be those implementing growth styles, having smaller aggregate assets under management, being institutions which are not affiliated with a bank or lifeoffice entity, whose funds experience past period outflows, and who are benchmarked to narrower indexes than the S&P/ASX 300 JEL classification: G23 Keywords: Portfolio concentration, investment performance, tracking error, active funds _____________________________________________________________________ © 20032005 Simone Brands, Stephen J Brown, and David R Gallagher All rights reserved † Corresponding author Mail: PO Box H58, Australia Square, Sydney, NSW, 1215, Australia Telephone: (+61 2) 9236 9106 Email: [email protected] * The authors thank Portfolio Analytics and SIRCA for the provision of portfolio holdings and ASX SEATS data, respectively We also gratefully acknowledge the helpful comments of Dave Allen, Les Balzer, Raymond da Silva Rosa, Patty Dechow, Peter Gardner, Adrian Looi, Matt Pinnuck, Anthony Richards, Peter Swan, Terry Walter, and seminar participants at The University of New South Wales, The University of Western Australia and the Reserve Bank of Australia 1 Portfolio Concentration and Investment Manager Performance _____________________________________________________________ Abstract: This study examines the relationship between investment performance and concentration in active equity portfolios Active management is dependent on the success of two important components in the investment process – stock selection skill and portfolio management Our study documents a positive relationship between fund performance and portfolio concentration The relationship is stronger for stocks in which active managers hold overweight positions, as well as for stocks outside the largest 50 stocks listed on the Australian Stock Exchange (ASX) We find more concentrated funds tend to be those implementing growth styles, having smaller aggregate assets under management, being institutions which are not affiliated with a bank or lifeoffice entity, whose funds experience past period outflows, and who are benchmarked to narrower indexes than the S&P/ASX 300 JEL classification: G23 Keywords: Portfolio concentration, investment performance, tracking error, active funds _____________________________________________________________________ 2 I Introduction The extent to which investment performance is rigorously scrutinized is even more significant today than ever before The significant attention provided fund performance has primarily arisen due to the substantial size of assets delegated to professional money managers, as well as the continued debate between the merits of active versus passive fund management 1 In terms of the degree of scrutiny applied to tests of active management, recent literature has documented inconsistent evidence with the efficient markets hypothesis, where some valueadded is achievable and therefore consistent with the GrossmanStiglitz (1980) informational equilibrium (eg Grinblatt and Titman (1989), Wermers (2000), Daniel et al (1997), Chen et al (2000), Pinnuck (2003), Gallagher and Looi (2005)) In particular, Wermers (2000) has contributed significantly to this literature by reopening the debate about the value of active management, where he utilizes

------------- Read More -------------

Download portfolio-concentration-and-investment-manager-performance.pdf

Portfolio Concentration and Investment Manager Performance related documents

Biases in Decision Making and Implications for Human Resource Development

19 Pages · 2003 · 178 KB · English

tion, it describes the implications of decision-making biases for human. Advances in Developing Human Resources action found little adherence to the rational, linear model of decision making. (Wagner, 1991). Rothwell, W. J. (1996). Beyond training and development: State-of-the-art strategies for.

Dogs and Declawed Cats

4 Pages · 2014 · 2.23 MB · English

reasons — such as injury or rare conditions like Ehlers-. Danlos syndrome — it is primarily done for human convenience. Most declawed cats have Here's where you really take out your Sherlock Holmes cap and partake in a bit of 

The Peloponnesian War and the Future of Reference, Cataloging, and

41 Pages · 2007 · 159 KB · English

1 The Peloponnesian War and the Future of Reference, Cataloging, and Scholarship in Research Libraries By Thomas Mann Prepared for AFSCME 2910 The Library of Congress

Key Facts about our services and costs - Saga Advised Investment Service

8 Pages · 2014 · 379 KB · English

2. What is the Saga Advised Investment Service? SAGA | Key Facts | Advised. The Financial Conduct Authority (FCA) asks regulated firms to provide this important information to help you decide if our products and services are right for you. This document sets out the key features about the Saga Advi

The Sharing Economy, Competition and Regulation

11 Pages · 2012 · 1.23 MB · English

things, this means being able to rely on internet based reputation systems, possibly of their own design and for their own . The Oxford Dictionary of.

Encoder And Decoder For

7 Pages · 2014 · 368 KB · English

International Journal of Advanced Research in Electrical,. Electronics and Instrumentation Engineering. (An ISO 3297: 2007 Certified Organization). Vol. correction Bose-Ray chaudari binary group codes. Ernest Jamro [6] used the linear feedback shift register for polynomial division encoder design.

Incorporating ESOH Integration into Systems Engineering and the

7 Pages · 2012 · 2.83 MB · English

Green Hornet will continue in 2011-2012, including a carrier trial in summer 2012. ESOH Risk Management Communication of acquisition ESOH requirements

UNIVERSITY OF CALIFORNIA Los Angeles Transition Metal-Mediated Synthesis and ...

392 Pages · 2015 · 11.84 MB · English

Karabiyikoglu, S.; Merlic, C. A. “tert-Butyldimethylsilanol” e-EROS Encyclopedia of. Reagents for Organic Synthesis 2014. Merlic, C. A.; Karabiyikoglu, S. “Intermolecular and Transannular Cyclization Reactions of. Macrocyclic Dicobalt Hexacarbonyl-Alkyne Complexes,” 248 th. National Meeting

Gun Jumping and EU Merger Control

7 Pages · 2003 · 103 KB · English

1 Reg.4064/89 (Merger Control (Antitrust) Regulation) [1989]. O.J. L395/1; [1990] 4 C.M.L.R. Suiker Unie v Commission, ibid.; Siemens/Fanuc. (85/618/EEC) . focused on the transfer of excessive economic risk as a gun-jumping 

Homer and The Iliad

30 Pages · 2011 · 178 KB · English

Like all such works except Homer's The Iliad and The Odyssey, this poem consists now of only a few random fragments .. Close analysis of Book 1 reveals a similar design of compared or contrasted parts. The opening scene, for . Hyginus, a compiler of myths, Fable 91). The pregnant Hecuba, Queen