Global equity fund performance evaluation with equity and currency style factors
We propose a method for global equity fund performance evaluation that extends existing research by addressing both equity and currency factor exposures. Returns in excess of the risk-free rate are decomposed into contributions arising from the market, exposure to six equity and three currency ‘style...
When Funds Diverge From Their Long-Term Factor Loadings: A Comparison of Australian and US Mutual Funds
Using a replicating portfolio method to capture the long-term risk loadings of Australian active institutional funds, we investigate patterns in how actual disclosed fund returns diverge from those anticipated by their factor loadings. We find that Australian funds’ returns generate positive alpha, are tilted slightly...
The effect of data availability in measuring fund managers after-tax alphas
We examine potential sources of measurement error when evaluating the after-tax performance of fund managers based on periodic snapshots of their holdings alone, compared to when daily transactions data are also available. To do this, we compare portfolio return estimates based on imputed trades from...