Are Funds True to Label? Matching Qualitative and Quantitative Information

40 Pages Posted: 24 Oct 2014 Last revised: 1 Oct 2015

See all articles by Zhe Chen

Zhe Chen

Acadian Asset Management; University of New South Wales (UNSW); Centre for International Finance and Regulation (CIFR)

David R. Gallagher

Rozetta Institute

Camille Schmidt

SuperRatings

Date Written: September 29, 2015

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 e.g. 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.

The appendices for this paper are available at the following URL: http://ssrn.com/abstract=2666818

Keywords: Asset consultants; concentration; fund managers; tracking error; turnover

JEL Classification: G23

Suggested Citation

Chen, Zhe and Gallagher, David R. and Schmidt, Camille, Are Funds True to Label? Matching Qualitative and Quantitative Information (September 29, 2015). CIFR Paper No.042/2015. Available at SSRN: https://ssrn.com/abstract=2513658 or http://dx.doi.org/10.2139/ssrn.2513658

Zhe Chen (Contact Author)

Acadian Asset Management ( email )

260 Franklin Street
Boston, MA 02110
United States

University of New South Wales (UNSW)

Kensington
High St
Sydney, NSW 2052
Australia

Centre for International Finance and Regulation (CIFR) ( email )

Level 7, UNSW CBD Campus
1 O'Connell Street
Sydney, NSW 2000
Australia

David R. Gallagher

Rozetta Institute ( email )

Sydney

Camille Schmidt

SuperRatings

Australia

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