Portfolio concentration and investment manager performance

Brands, S; Brown, S; Gallagher, DR

Portfolio concentration and investment manager performance

Brands, S Brown, S Gallagher, DR

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Publisher:: Blackwell
Publication Type:: Journal Article
Citation:: International Review of Finance, 2006, 5 (3-4), pp. 149 - 174
Issue Date:: 2006-01

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Field	Value	Language
dc.contributor.author	Brands, S	en_US
dc.contributor.author	Brown, S	en_US
dc.contributor.author	Gallagher, DR	en_US
dc.date.issued	2006-01	en_US
dc.identifier.citation	International Review of Finance, 2006, 5 (3-4), pp. 149 - 174	en_US
dc.identifier.issn	1369-412X	en_US
dc.identifier.uri	http://hdl.handle.net/10453/10100
dc.description.abstract	This study examines the relationship between investment performance and concentration in active equity portfolios. Active management is dependent on the success of two important components in the investment process stock selection skill and portfolio management. Our study documents a positive relationship between fund performance and portfolio concentration. The relationship is stronger for stocks in which active managers hold overweight positions, as well as for stocks outside the largest 50 stocks listed on the Australian Stock Exchange (ASX). We find that more concentrated funds tend to be those implementing growth styles, having smaller aggregate assets under management, being institutions that are not affiliated with a bank or life-office entity, whose funds experience past period outflows, and who are benchmarked to narrower indexes than the S&P/ASX 300.	en_US
dc.publisher	Blackwell	en_US
dc.relation.ispartof	International Review of Finance	en_US
dc.title	Portfolio concentration and investment manager performance	en_US
dc.type	Journal Article
utslib.citation.volume	3-4	en_US
utslib.citation.volume	5	en_US
utslib.for	1502 Banking, Finance and Investment	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	3-4	en_US
pubs.volume	5	en_US

Abstract:

This study examines the relationship between investment performance and concentration in active equity portfolios. Active management is dependent on the success of two important components in the investment process stock selection skill and portfolio management. Our study documents a positive relationship between fund performance and portfolio concentration. The relationship is stronger for stocks in which active managers hold overweight positions, as well as for stocks outside the largest 50 stocks listed on the Australian Stock Exchange (ASX). We find that more concentrated funds tend to be those implementing growth styles, having smaller aggregate assets under management, being institutions that are not affiliated with a bank or life-office entity, whose funds experience past period outflows, and who are benchmarked to narrower indexes than the S&P/ASX 300.

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http://hdl.handle.net/10453/10100