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Are funds true to label? A note on matching qualitative and quantitative information

Author

Listed:
  • Zhe Chen

    (Centre for International Finance and Regulation, Australia; UNSW Business School, Australia)

  • David R Gallagher

    (Centre for International Finance and Regulation, Australia; UNSW Business School, Australia; Capital Markets CRC Limited, Australia; Macquarie Graduate School of Management, Australia)

  • Camille H Schmidt

    (Centre for International Finance and Regulation, Australia; UNSW Business School, Australia)

Abstract

Our contribution to funds management research is in matching qualitative information sourced from the fund manager with their own quantitative data concerning what assets they own, how they trade and how their portfolios are managed. We find that survey responses are informative of characteristic values relative to other funds, for example funds that declare higher maximum tracking errors tend to have higher tracking errors. Furthermore, self-declared number of stocks held and turnover are less indicative of future fund characteristics than actual past measures. Overall, our study suggests that the questionnaire responses do contain some information value when used by asset consultants to compare funds.

Suggested Citation

  • Zhe Chen & David R Gallagher & Camille H Schmidt, 2017. "Are funds true to label? A note on matching qualitative and quantitative information," Australian Journal of Management, Australian School of Business, vol. 42(2), pages 296-307, May.
    • Handle: RePEc:sae:ausman:v:42:y:2017:i:2:p:296-307
    DOI: 10.1177/0312896215615169
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    References listed on IDEAS

    as
    1. Carhart, Mark M, 1997. "On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
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    3. Tim Jenkinson & Howard Jones & Jose Vicente Martinez, 2016. "Picking Winners? Investment Consultants’ Recommendations of Fund Managers," Journal of Finance, American Finance Association, vol. 71(5), pages 2333-2370, October.
    4. Pinnuck, Matt, 2003. "An Examination of the Performance of the Trades and Stock Holdings of Fund Managers: Further Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(4), pages 811-828, December.
    5. Simone Brands & Stephen J. Brown & David R. Gallagher, 2005. "Portfolio Concentration and Investment Manager Performance," International Review of Finance, International Review of Finance Ltd., vol. 5(3‐4), pages 149-174, September.
    6. Kingsley Fong & David R. Gallagher & Adrian D. Lee, 2008. "Benchmarking benchmarks: measuring characteristic selectivity using portfolio holdings data," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(5), pages 761-781, December.
    7. Huij, Joop & Derwall, Jeroen, 2011. "Global equity fund performance, portfolio concentration, and the fundamental law of active management," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 155-165, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Asset consultants; concentration; fund managers; tracking error; turnover;
    All these keywords.

    JEL classification:

    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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