Asian Fund Manager Performance: Factor Specialisation and Financial Crisis Impact

Mauro Aliano, Giuseppe Galloppo and Daniele Previati

Journal of Financial Management, Markets and Institutions, 2016, issue 2, 145-154

Abstract: 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.

Keywords: Mutual funds; Multifactor model; Local factor; Performance evaluation. (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:mul:jdp901:doi:10.12831/85434:y:2016:i:2:p:145-154

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