Mauro Aliano, Giuseppe Galloppo, Daniele Previati

Asian Fund Manager Performance: Factor Specialisation and Financial Crisis Impact

  • Article
  • pp. 145-154
  • DOI: 10.12831/85434
  • Abstract

Keywords: Mutual funds; Multifactor model; Local factor; Performance evaluation.

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

Prima pagina articolo
Post your comment:
In order to submit your comment, you have to register, filling out the fields below. If you are already registered, please login.
* Indicates a required field
Insert first name and last name. Example: John Smith
This address is used to authenticate your account should you ever encounter problems or forget your password.
Type the characters you see in the picture
In qualità di Interessato, dichiaro di aver preso visione dell'informativa privacy redatta ai sensi dell'art. 13 del D.Lgs. 196/2003 e dell'art. 7 del D.Lgs. 196/2003, e acconsento al trattamento dei miei dati personali per le finalità indicate:
The use of this site is under a Legal notice, that I have completely read and with which I full agree [http://www.jfmi.mulino.it/en/license].
According to the art. 1341 c.c., authorized user explicitly agrees to the terms of Legal notice to the points: 6, 7, 8 and 9.