IDEAS home Printed from https://ideas.repec.org/a/eme/parpps/01140581011034191.html
   My bibliography  Save this article

New Zealand unit trust disclosure: asset allocation, style analysis, and return attribution

Author

Listed:
  • Ross Fowler
  • Robin Grieves
  • J. Clay Singleton

Abstract

Purpose - This article aims to explore three facets of the historical performance of a sample of actively managed unit trusts available to New Zealand investors: asset allocation, style analysis, and return attribution. Design/methodology/approach - Because New Zealand does not require unit trusts to disclose their security holdings, the paper used returns‐based style analysis to infer how these trusts have allocated their funds among asset classes. Findings - The research has found that, for unit trusts available to New Zealand investors, asset allocation can explain a significant amount of the differences in return across time and between trusts. Across time, asset allocation accounts for about 80 per cent of the variation in actual return. Between trusts, asset allocation explains about 60 per cent of the variation in returns. From either perspective, the choice of asset allocation is an important factor in explaining returns. Originality/value - The paper suggests that active management barely earns its fees and that passive investments might do as well or better.

Suggested Citation

  • Ross Fowler & Robin Grieves & J. Clay Singleton, 2010. "New Zealand unit trust disclosure: asset allocation, style analysis, and return attribution," Pacific Accounting Review, Emerald Group Publishing Limited, vol. 22(1), pages 4-21, May.
    • Handle: RePEc:eme:parpps:01140581011034191
    DOI: 10.1108/01140581011034191
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/01140581011034191/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/01140581011034191/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/01140581011034191?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:parpps:01140581011034191. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.