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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27391
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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-06-028 |
| Abstract: | 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/2451/27391 |
| Appears in Collections: | Finance Working Papers
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