The performance of diversified emerging market equity funds
Basu, Anup K. & Huang-Jones, Jason (2015) The performance of diversified emerging market equity funds. Journal of International Financial Markets, Institutions and Money, 35, pp. 116-131.
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We investigate the performance of globally diversified emerging market equity funds during the first decade of the twenty-first century. A vast majority of these funds do not outperform the market benchmark even before transaction costs. The systematic risk of most of the funds is similar to that of the market benchmark portfolio, which may suggest that they aim to offer diversification benefits rather than seeking superior risk-adjusted returns through active management. We do not find any evidence of market timing ability amongst these funds. Finally, whilst we detect persistence in performance, this result is driven mainly by the poorly performing funds.
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|Item Type:||Journal Article|
|Keywords:||Emerging market; Diversified equity funds; Fund manager performance; Market timing; Persistence|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
|Copyright Owner:||Copyright 2015 Elsevier B.V.|
|Copyright Statement:||NOTICE: this is the author’s version of a work that was accepted for publication in Journal of International Financial Markets, Institutions and Money. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of International Financial Markets, Institutions and Money, Volume 35, (March 2015), DOI: 10.1016/j.intfin.2015.01.002|
|Deposited On:||03 Mar 2015 22:41|
|Last Modified:||14 Dec 2015 07:34|
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