Website
http://dataportal.arc.gov.au/NCGP/API/grants/DP0346064
Funding Status
Closed
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Funded Activity Summary
Evaluating the Performance of Active Australian Equity Managers Utilising their Daily Portfolio Holdings and Trades. The aim is to evaluate the performance of active institutional Australian equity fund managers by statistical and mathematical modelling of their trades. Using a unique dataset of daily portfolio holdings and trades, we compare the trading styles of those who have persistently outperformed the market with those that have not so as to reveal drivers of superior performance. Such a study has been impossible until now due to non-disclosure of trades. Understanding the fundamental origins of fund performance enhances the overall returns to investors, provides a new ratings system yielding superior information, and redirects the nest-eggs of "mums and dads" towards better-performing managers.Funded Activity Details
Start Date: 03-2003
End Date: 12-2006
Funding Scheme: Discovery Projects
Funding Amount: $193,000.00
Funder: Australian Research Council
Research Topics
ANZSRC Field of Research (FoR)
Finance | Financial Institutions (Incl. Banking) | Banking, Finance and Investment |
ANZSRC Socio-Economic Objective (SEO)
Finance and investment services | Information processing services | Industry costs and structure
