RESEARCH

Portfolio concentration and the fundamental law of active management

SSRN-id1456352_Page_01In this paper Joop Huij from the Rotterdam School of Management, Erasmus University and Jeroen Derwall from Tilburg University, School of Economics show the observed relation between portfolio concentration and performance is mostly driven by the breadth of the underlying fund strategies, not just by fund managers’ willingness to take big bets.

The results indicate that when investors strive to select the best performing funds, they should not only consider fund managers’ tracking error levels. It is of greater importance that they take into account the extent to which fund managers carefully allocate their risk budget across multiple investment strategies and have concentrated holdings in multiple market segments simultaneously.

Click here to view the report

 
We recommend ›

Comments: 0

Leave your comment

  • Filter:
  • News

    Intelligence on up to the minute items from around the globe

  • Investor Profile

    Behind the scenes summary of large institutional investors’ investment strategy and future plans

  • In Conversation

    Candid conversation with the leading investment experts

  • Analysis

    An in-depth examination of the latest investment trends and ideas

  • Insider

    An editorial perspective on what affects the people and processes in this industry

  • Research

    Cutting edge academic and practitioner insight

NEWS
Ice_water_000019435532XSmall

Report reveals Norway
SWF climate risk

Norway’s 3496 billion kroner (US$582.7 billion) sovereign wealth fund could suffer significant losses in a ... [more]

RESEARCH
stockboard_blue

Risk management in commodity derivatives trading

  • by
  • May 16, 2012

EDHEC-Risk Institute research associate Hilary Till looks at the risk management of commodity derivatives trading ... [more]

ANALYSIS
iStock_000019205800XSmall

Risk modelling
requires review

Advocating the use of financial models a six-year-old could understand and warning that the dogmatic ... [more]

INVESTOR PROFILE
iStock_000017108881XSmall

Behind CalPERS’
sustainability report

In its most simple form, CalPERS defines sustainability as the “ability to continue”. This year ... [more]

INVESTOR PROFILE
maze

ESG alpha solution
in a labyrinth

More than 1000 asset owners and service providers have signed up to the United Nations ... [more]

IN CONVERSATION
scott_jeff

Institutional investors fall behind USA Inc

Institutional investors are clearly behind in risk management compared to the innovative techniques implemented in ... [more]

NEWS
iStock_000014930569XSmall

Pipes over promises

The Canadian Pension Plan Investment Board (CPPIB) is shunning European sovereign bonds, with the $152.8-billion ... [more]

ANALYSIS
iStock_000002306082XSmall

Epic change predicted for investment industry

The investment management industry must address the high fees it charges in relation to the ... [more]

ANALYSIS
iStock_000017121417XSmall)stockboard

Listed companies are failing on sustainability

US companies are failing to meet a 10-year roadmap to sustainability and some sectors globally ... [more]

Load More