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Finance Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27390
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| Title: | Portfolio Concentration and Investment Manager Performance |
| Authors: | Brands, Simone
Brown, Stephen J.
Gallagher, David R. |
| Keywords: | Portfolio concentration
investment performance
tracking error
active funds |
| Issue Date: | 2006 |
| Series/Report no.: | FIN-06-027 |
| 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 life-office entity,
whose funds experience past period outflows, and who are benchmarked to
narrower indexes than the S&P/ASX 300. |
| URI: | http://hdl.handle.net/2451/27390 |
| Appears in Collections: | Finance Working Papers
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