Showing 1 - 10 of 19
Persistent link: https://www.econbiz.de/10011479147
This study provides the first long-run analysis of the skill of active Australian equity fund managers based on trades inferred from a market-wide database of monthly portfolio holdings over the period 1994-2009. In addition to confirming previous findings that skill exists amongst active...
Persistent link: https://www.econbiz.de/10013090332
This study provides the first long-run analysis of the skill of active Australian equity fund managers based on trades inferred from a market-wide database of monthly portfolio holdings over the period 1994–2009. In addition to confirming previous findings that skill exists among active...
Persistent link: https://www.econbiz.de/10013000132
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...
Persistent link: https://www.econbiz.de/10012935377
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...
Persistent link: https://www.econbiz.de/10012969714
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...
Persistent link: https://www.econbiz.de/10012969806
We present a framework for deciding when to choose an alternative to passively investing in capitalization-weighted indices within any particular asset class. Five reasons are identified for seeking an alternative. Three of these reflect situations where a capitalization-weighted index is either...
Persistent link: https://www.econbiz.de/10012976468
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...
Persistent link: https://www.econbiz.de/10013005210
We relate capacity constraints for hedge funds to the size of their cohort, measured by the total assets of funds applying a similar strategy identified using return correlations. Fund performance is shown to have a significant negative relation with cohort size, bit no clear relation with...
Persistent link: https://www.econbiz.de/10012853348
Persistent link: https://www.econbiz.de/10012803606