A number of prior studies have examined qualitative and quantitative indicators that help investors decide which funds to invest in. The majority of these have focused on indicators of performance, which fit broadly into two categories: measures of the funds' historical performance (e.g. risk...

We propose a portfolio holdings-based method for evaluating global equity funds that decomposes excess returns versus benchmark indices into contributions from six equity and three currency ‘style factors', and alpha. The method is used to characterize sources of performance for institutional...

We examine potential sources of measurement error when evaluating the after-tax performance of fund managers based on periodic snapshots of their holdings alone, compared to when daily transactions data are also available. To do this, we compare portfolio return estimates based on imputed trades...

We propose a framework that asset owners can use for making and implementing any decision to manage investments in-house. It involves addressing four elements: capabilities, costs, alignment and governance; with key aspects identified for consideration within each element. The framework draws on...

Our contribution to funds management research is in matching qualitative information sourced from the fund manager with their own quantitative data concerning what assets they own, how they trade, and how their portfolios are managed. We find that survey responses are informative of...

An effective portfolio disclosure regime must balance both its costs and benefits across the entire financial services industry. This study examines a number of disclosure regimes with respect to accuracy and susceptibility to copycat behaviour in an environment absent of mandatory disclosure....