New Zealand unit trust disclosure: asset allocation, style analysis, and return attribution

Ross Fowler, Robin Grieves and J. Clay Singleton

Pacific Accounting Review, 2010, vol. 22, issue 1, 4-21

Abstract: Purpose - This article aims to explore three facets of the historical performance of a sample of actively managed unit trusts available to New Zealand investors: asset allocation, style analysis, and return attribution. Design/methodology/approach - Because New Zealand does not require unit trusts to disclose their security holdings, the paper used returns‐based style analysis to infer how these trusts have allocated their funds among asset classes. Findings - The research has found that, for unit trusts available to New Zealand investors, asset allocation can explain a significant amount of the differences in return across time and between trusts. Across time, asset allocation accounts for about 80 per cent of the variation in actual return. Between trusts, asset allocation explains about 60 per cent of the variation in returns. From either perspective, the choice of asset allocation is an important factor in explaining returns. Originality/value - The paper suggests that active management barely earns its fees and that passive investments might do as well or better.

Keywords: Unit trusts; Assets; Investments; Disclosure; New Zealand (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:parpps:01140581011034191

DOI: 10.1108/01140581011034191

Access Statistics for this article

Pacific Accounting Review is currently edited by Professor Tom Scott, Dr Pei-Chi Kelly Hsiao, Associate Professor Chelsea Liu, Associate Professor Sophia Su, Associate Professor Thu Phuong Truong and Dr Lily Chen

More articles in Pacific Accounting Review from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().