Portfolio selection, diversification and fund-of-funds: A note

Brands, S; Gallagher, DR

Portfolio selection, diversification and fund-of-funds: A note

Brands, S Gallagher, DR

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Publisher:: Blackwell Publishing
Publication Type:: Journal Article
Citation:: Accounting and Finance, 2005, 45 (2), pp. 185 - 197
Issue Date:: 2005-01

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Field	Value	Language
dc.contributor.author	Brands, S	en_US
dc.contributor.author	Gallagher, DR	en_US
dc.date.issued	2005-01	en_US
dc.identifier.citation	Accounting and Finance, 2005, 45 (2), pp. 185 - 197	en_US
dc.identifier.issn	0810-5391	en_US
dc.identifier.uri	http://hdl.handle.net/10453/10048
dc.description.abstract	The present paper examines the performance and diversification properties of active Australian equity fund-of-funds (FoF). Simulation analysis is employed to examine portfolio performance as a function of the number of funds in the portfolio. The present paper finds that as the number of funds in an FoF portfolio increases, performance improves in a meanvariance setting; however, measures of skewness and kurtosis behave less favourably given an investor's preferences for the higher moments of the return distribution. The majority of diversification benefits are realized when a portfolio of approximately 6 active equity funds are included in the FoF portfolio.	en_US
dc.publisher	Blackwell Publishing	en_US
dc.relation.ispartof	Accounting and Finance	en_US
dc.subject.classification	Accounting	en_US
dc.title	Portfolio selection, diversification and fund-of-funds: A note	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	45	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	2	en_US
pubs.volume	45	en_US

Abstract:

The present paper examines the performance and diversification properties of active Australian equity fund-of-funds (FoF). Simulation analysis is employed to examine portfolio performance as a function of the number of funds in the portfolio. The present paper finds that as the number of funds in an FoF portfolio increases, performance improves in a meanvariance setting; however, measures of skewness and kurtosis behave less favourably given an investor's preferences for the higher moments of the return distribution. The majority of diversification benefits are realized when a portfolio of approximately 6 active equity funds are included in the FoF portfolio.

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http://hdl.handle.net/10453/10048