There is some debate about how many stocks can effectively eliminate most of the unsystematic risk in an equity portfolio. Estimates range from 10 to 40. Given the growing proliferation of pooled investment vehicles aimed at the UK's pension fund industry, where these pools consist of various...

We investigate the relationship between Value, Growth and two forms of Momentum across a wide range of developed and emerging international equity markets using MSCI total return ‘smart beta' indices. As would be anticipated, Value generally beats Growth. A distinction is then made between...

The importance of asset allocation decisions in wealth management is well established. However, given its importance it is perhaps surprising that so little attention has been paid to the question of whether professional fund managers are skillful at timing market movement across asset classes...

Apparently “there is no substitute for experience”. This and similar phrases are often heard in the worlds of politics, business, sport and others. It is the sort of proposition that makes sense to people. However, while the performance of actively managed funds has attracted a great deal of...

In this paper we investigate the possible benefits of integrating ESG considerations into fixed income portfolio construction. When we create portfolios ranked by a composite ESG value or by an environmental ranking we find evidence to suggest that higher ESG rankings produce an improvement in...

Using data from three emerging South East Asian equity markets we find that there is a positive and significant relationship between â and average stock returns in these markets. These results are in sharp contrast to recent results in the US (see Fama and French (1992)) and in previous studies...

We investigate the relationship between value, growth and momentum investment styles across a wide range of developed and emerging economy equity markets. As would be anticipated, value investing generally beats growth. We then determine whether the application of relative momentum or trend...

Using a unique database of UK fund manager changes over the period from 1997 to 2011, we examine the impact of such changes on fund performance. We find clear evidence to suggest that a manager change does affect the benchmark-adjusted performance of UK mutual funds. In particular we find a...