Department of Applied Finance and Actuarial Studies
Applied Finance and Actuarial Studies Seminar
- Topic: Alpha Generation in Portfolio Management: Long-run Australian Equity Fund Evidence
- Speaker: David R. Gallagher, Macquarie Graduate School of Management and Yuki Xi, School of Finance, Actuarial Studies and Applied Statistics, The Australian National University
- When: 3rd August, 2011, (Wed)
This study provides the first long-run analysis of active Australian equity fund manager skill based on trades inferred from a comprehensive and market-wide database of monthly portfolio holdings over the period 1
994-2009. We provide empirical evidence of superior stock selection skill, particularly for transactions that are more likely to involve informed trading. We also investigate the relation between investment and alpha generation, finding growth-orientated managers show evidence of shorter-term selection skill while value manager returns appear related to characteristic exposure. An examination of trades inferred from less granular (quarterly) holding snapshots produces more volatile performance estimates and downwardly-biased estimates of manager skill. Our results further support previous research that active managers exhibit superior alpha generation abilities in Australia, and that this remains robust over a long sample window.