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

Bennett, Scott; Gallagher, David R.; Harman, Graham; Warren, Geoffrey J.; Xi, Lihui

doi:10.1177/0312896214539815

Cited by 14 publications

(7 citation statements)

References 65 publications

(94 reference statements)

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“…Swensen (2009) elaborated the concept of portfolio management, arguing that investors do best if they build up a portfolio of investments, spread out over various businesses to reduce risks. For this purpose, various computer-based models for portfolio management have been developed (e.g., Aouni et al, 2014;Bennett et al, 2016).…”

Section: Drivers Of Investor Behaviormentioning

confidence: 99%

Mobilizing Investors for Blue Growth

et al. 2017

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The European Union's Blue Growth Strategy is a long term strategy to support sustainable growth in the marine and maritime sectors, aiming to contribute to innovation and economic growth (European Commission, 2012). The EU sees the financial sector as a key partner to bring about transition to sustainable consumption and production. However, knowledge about investment behavior, experience with working with these investors, and ways to engage investors in the Blue Growth sectors is lacking. This paper examines this knowledge gap. It characterizes investors and identifies investor behavior, investors' motives, and conditions and criteria relevant for investors to invest in Blue Growth sectors. The presented results are derived from a literature study on investors and investment behavior, an electronic survey and in-depth interviews. Stereotypical images of private equity bankers or wealthy individuals do not do justice to the diversity of investors involved in the Blue Growth sectors. These sectors are still in development and various risks reduce the willingness to invest. Risk mitigation should be seen as a shared responsibility of entrepreneurs, investors and governments. Government support must go further than financial support for research and development or technological demonstration projects. Proven technologies get stuck in the Valley of Death as investors alone are not willing to take the risk associated with upscaling of promising technologies. Tied in a reciprocal relationship, governments need to attract private investors-their capital, knowledge, and networks-to further grow of the Blue Growth sectors while investors need stable, predictable, and effective government support schemes to mitigate their financial risks.

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Section: Drivers Of Investor Behaviormentioning

confidence: 99%

Mobilizing Investors for Blue Growth

et al. 2017

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“…Bennett et al . () adopt the methodology of Ainsworth et al . () by examining the performance differential between new entrants and pre‐existing funds within the Russell universe.…”

Section: Datamentioning

confidence: 99%

“…In addition, evidence exists that Australian active managers have been able to generate outperformance over the long run (e.g. Bennett et al ., ). Given the skill exhibited by Australian equity managers, a deeper analysis of performance related to persistence is a natural extension to better understand the drivers of alpha generation.…”

Section: Introductionmentioning

confidence: 97%

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A new perspective on performance persistence: evidence using portfolio holdings

Bennett¹,

Gallagher

Harman³

et al. 2016

Accounting & Finance

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We investigate the existence and sources of performance persistence for Australian equity funds, using monthly portfolio holdings data. We find significant persistence among outperforming rather than underperforming funds, which is primarily related to security selection skill, and is associated with growth-orientated funds. Meanwhile, the relation between persistence and momentum is secondary and nuanced. Further, persistence largely derives from existing holdings, while subsequent active trading contributes only moderately positive returns for both outperforming and underperforming funds. We also find that persistence fades beyond 6 months and vanishes after 24 months. Our findings differ from those for U.S. equity funds and previous Australian studies, implying that persistence may vary with market context and its identification may depend on data availability.

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“…Bennett et al . ()]. When evaluating stock trading ability in an environment of short‐lived information and fleeting profitable opportunities, the granularity of data is a critical element [see Kothari and Warner ()].…”

Section: Datamentioning

confidence: 99%

Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure

Chen

Gallagher

Lee

2015

Accounting & Finance

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This study examines a number of portfolio disclosure regimes with respect to accuracy and susceptibility to copycat behaviour in an environment absent of mandatory disclosure. We find that periodic portfolio disclosure tends to underestimate true excess performance as well as idiosyncratic risk in top-quartile fund managers, with longer inter-reporting intervals tending to result in greater differences. 'Copycat funds' following the disclosed holdings of top-tier managers significantly underperform the underlying fund, while copycats following bottom-tier managers significantly outperform the underlying fund. Our findings suggest that periodic reporting at monthly intervals or longer would not affect fund alpha generation.

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

Cited by 14 publications

References 65 publications

Mobilizing Investors for Blue Growth

Mobilizing Investors for Blue Growth

A new perspective on performance persistence: evidence using portfolio holdings

Testing the effect of portfolio holdings disclosure in an environment absent of mandatory disclosure

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