Abstract: The recent paper by Goetzmann et al. (2002) suggests that fund managers subject to a performance review have an adverse incentive to engage in portfolio strategies that have theunfortunate attribute that they can expose the fund investor to significant downside risk.(...)

Using a unique database of daily transactions from Australian equity managers, we investigate the relation between institutional trading and share returns. The 34 institutional investors included in our sample exhibit a statistically and economically significant ability to predict large...

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...

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...

We investigate the existence and sources of performance persistence for Australian equity funds, using monthly portfolio holdings data. We find significant persistence among outperforming rather than underperforming funds, which is primarily related to security selection skill, and is associated...

The role of institutional investors on the register constitutes a significant puzzle. Concentrated investors could intervene (i.e., exercise 'voice') so as to improve firm governance mechanisms. Alternatively, acting as informed traders, they could effectively discipline management if they adopt...

This study examines the active asset allocation decisions of Australian multi-sector fund managers to determine whether active fund managers engage in momentum strategies. We find evidence supporting the existence of momentum investing in active asset allocation strategies. This evidence exists...

We use portfolio holdings data to examine the performance of 143 global equity funds over the period 2002 to 2012. We find that the average global equity manager outperforms their benchmark by 1.2% to 1.4% per annum before fees. Attribution analysis reveals that the prime source of excess return...

Emulation funds are a potentially cost-effective way for multi-manager funds to improve their investment performance by delaying and netting trade signals from underlying managers. We develop a model to represent the expected sources of differential performance in an emulation fund relative to...