Alpha generation in portfolio management: Long-run Australian equity fund evidence

Scott Bennett, David Gallagher, Graham Harman, Geoffrey J Warren and Lihui Xi
Additional contact information
Scott Bennett: Russell Investments, Sydney, NSW, Australia
Graham Harman: Russell Investments, Sydney, NSW, Australia
Geoffrey J Warren: Centre for International Finance and Regulation, Sydney, NSW, Australia; Research School of Finance, Actuarial Studies and Applied Statistics, The Australian National University, Canberra, ACT, Australia
Lihui Xi: Russell Investments, Sydney, NSW, Australia; Macquarie Graduate School of Management, North Ryde, NSW, Australia; Capital Markets CRC Limited, Sydney, NSW, Australia

Australian Journal of Management, 2016, vol. 41, issue 1, 107-140

Abstract: This study provides the first long-run analysis of the skill of active Australian equity fund managers based on trades inferred from a market-wide database of monthly portfolio holdings over the period 1994–2009. In addition to confirming previous findings that skill exists amongst active Australian managers using a more comprehensive sample, we also deepen the understanding of this skill in two ways. First, we sharpen the identification of skill by categorizing trades. We find that alpha is concentrated in trades that are more likely to involve informed trading rather than portfolio rebalancing. Second, we investigate skill across manager types. Alpha for growth-oriented managers is found to stem from selection skill, while that for value managers appears more related to characteristic exposure. We also find stronger evidence of skill amongst boutique firms relative to more institutionalized managers.

Keywords: Active management; alpha generation; performance evaluation; portfolio holdings; trades (search for similar items in EconPapers)
JEL-codes: G23 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/0312896214539815 (text/html)

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:sae:ausman:v:41:y:2016:i:1:p:107-140

DOI: 10.1177/0312896214539815

Access Statistics for this article

More articles in Australian Journal of Management from Australian School of Business
Bibliographic data for series maintained by SAGE Publications ().