This paper investigates the relation between portfolio concentration and the performance of emerging market equity funds. We focus on Asian emerging markets finding funds with higher levels of tracking error display lower performance than funds with less diversified portfolios. According to a previous work, overall we found that local factor market model provides quite good representation of local average returns for portfolios formed on size and style factors. On the other hand unlike a number of previous studies, we find, that Asian (ex Japan) equity funds with higher levels of tracking error and more concentrated portfolios display lower performance than funds with less diversified portfolios. Moreover as additional analysis with respect to most of previous paper, we also tested the effects of the crisis founding that the main result has not affected by it.

Asian Fund manager performance: factor specialization and financial crisis impact

Aliano, Mauro;
2016-01-01

Abstract

This paper investigates the relation between portfolio concentration and the performance of emerging market equity funds. We focus on Asian emerging markets finding funds with higher levels of tracking error display lower performance than funds with less diversified portfolios. According to a previous work, overall we found that local factor market model provides quite good representation of local average returns for portfolios formed on size and style factors. On the other hand unlike a number of previous studies, we find, that Asian (ex Japan) equity funds with higher levels of tracking error and more concentrated portfolios display lower performance than funds with less diversified portfolios. Moreover as additional analysis with respect to most of previous paper, we also tested the effects of the crisis founding that the main result has not affected by it.
2016
Mutual funds; Multifactor model; Local factor; Performance evaluation
File in questo prodotto:
File Dimensione Formato  
aliano_galloppo_previati.pdf

Solo gestori archivio

Descrizione: Aliano_Galloppo_Previati
Tipologia: versione post-print
Dimensione 414.01 kB
Formato Adobe PDF
414.01 kB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11584/202461
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact