Asset Managers: Institutional Performance and Factor Exposures

Gerakos, Joseph; Linnainmaa, Juhani T.; Morse, Adair

doi:10.1111/jofi.13026

Cited by 34 publications

(4 citation statements)

References 41 publications

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“…Our focus is decomposition and analysis of return variance: we are not concerned with 'cause and effect', and implicitly assume that market behaviour is exogenous to the actions of our manager sample. 7 We present a broad outline of the method immediately below, describing it as a 5 Gerakos et al, (2021) estimate institutional assets to comprise 69 percent of the total assets of asset managers at December 2012.…”

Section: Methodsmentioning

confidence: 99%

“…The research on institutional global equity funds is limited in part due to the lack of publicly available databases, particularly for separately segregated accounts which rely on data held by asset owners, consultants or custodians. Three other studies that access such datasets are Busse et al ., (2014), Gallagher et al ., (2017) and Gerakos et al ., (2021). These studies find that institutional global equity funds tend to outperform, although statistical significance varies.…”

Section: Introductionmentioning

confidence: 99%

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Global equity fund performance adjusted for equity and currency factors

Gallagher

Harman²,

Schmidt³

et al. 2021

Accounting & Finance

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We present a method for evaluating performance of global equity funds that decomposes excess returns versus market indices into contributions from six equity and three currency factors plus alpha. We apply the method to a sample of institutional fund mandates, and uncover outperformance stemming from stock selection while finding that both equity and currency factor exposures detract from returns. Our methodological contribution is to propose a portfolio holding‐based approach for identifying return sources for funds investing internationally that can account for multiple factor exposures including those arising from currency.

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Section: Methodsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Global equity fund performance adjusted for equity and currency factors

Gallagher

Harman²,

Schmidt³

et al. 2021

Accounting & Finance

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“…Government internal control systems exert a significant positive effect on the effectiveness of fixed asset management, as revealed in a study by Juliadi et al (2017). Specifically, while investigating why institutions delegate assets to active managers, Gerakos et al (2021) found institutions earning positive alphas on the assets that they delegated to active strategies. It also found that asset managers with large clients display more skills than those with small clients.…”

Section: Authentic Leadershipmentioning

confidence: 99%

The Moderating Effects of Institutional Framing on Authentic Leadership-Physical Asset Management Practices Relationships in Local Governments in Uganda

Obicci

2022

IJSSER

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Purpose of the study: Resource scarcity forces governments to face institutional problems amidst a toxic leadership environment, making the management of physical assets progressively more challenging. This study examines the moderating effect of institutional framing on the relationship between authentic leadership and physical asset management (PAM) practices in Local Governments in Uganda. Methodology: It is a cross-sectional study that uses a questionnaire to collect data from 261 employees of four selected LGs in Acoliland in mid-north Uganda. With the help of the statistic program for social scientists (SPSS) and Hayes’ (2018) analysis, the research established the moderating effect of institutional framing on the authentic leadership-PAM practices relationship. Main Findings: Results indicate a positive and significant result between authentic leadership and institutional framing, as well as between institutional framing and PAM practices. It also shows that institutional framing fully mediates the relationship between authentic leadership and PAM practices. Research limitations/implications: Given the current study is quantitative in nature, it stifles causal inferences from being drawn with regard to the results which are revealed in connection to the relationship between the studied variables. Also, the authenticity of the leaders to promote positive institutional framing may be considered as a guide in solving PAM practices problem issues. Novelty/Originality of this study: The study is the first of its kind to examine the moderating role of institutional framing on the relationship between authentic leadership and PAM in a local government setting in a developing country.

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“…Furthermore, asset management rms are major players in the nancial industry and occupy a signi cant position in global capital ows. The volume of their funds under management is already remarkably large, growing extremely fast, and expected to keep growing pace 13,14 . For instance, the asset under management (AUM) of the top 500 managers reached US$ 119.5 trillion, which increased by 14.5%…”

Section: Introductionmentioning

confidence: 99%

Embodied carbon emission in the industrial equity portfolios of the leading global asset managers

Guan

Chen

et al. 2023

Preprint

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Investors, hidden at the top of the global supply chain, are the key beneficiaries of the entire chain. However, they appear to generate only a small number of direct emissions which may obscure the reality that they should undertake more climate responsibility. No systematic accounting and disclosure of carbon emissions are incorporated in the financial institution assets. Here, we examine the embodied carbon emissions of the 380 leading global asset managers, using industrial equity portfolios as an example, and show that the embodied carbon emissions of these companies' industrial portfolios have reached 636.97–875.88 MtCO2-eq, and are expected to rising rapidly in 2019. Over 90% of the financed carbon emissions were embodied in the industrial equity portfolios of the top 20 asset managers in North America and Europe. Meanwhile, weighted average carbon intensity (WACI) and carbon emission to revenue (CETR), reflecting institutions' carbon exposure and efficiency, have not decline tremendously over the last decades, despite divestment only occurring in a few typical high carbon-intensive industries. Moreover, the leading investee companies in the emissions embodied in the industrial equity portfolio were highly contributed by the leading investee companies in high carbon-intensive sectors. In the study, we propose an accounting framework that integrates macro-sector emissions data with micro-financial data to attribute carbon emissions embodied in equity investment activities to investors, which can inform targeted and effective climate reporting and action. Some large asset managers, for instance, play a pivotal role in portfolio investments' carbon emissions and therefore bear more responsibility for decarbonization equity portfolios.

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Asset Managers: Institutional Performance and Factor Exposures

Cited by 34 publications

References 41 publications

Global equity fund performance adjusted for equity and currency factors

Global equity fund performance adjusted for equity and currency factors

The Moderating Effects of Institutional Framing on Authentic Leadership-Physical Asset Management Practices Relationships in Local Governments in Uganda

Embodied carbon emission in the industrial equity portfolios of the leading global asset managers

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