Are Funds True to Label? Matching Qualitative and Quantitative Information
40 Pages Posted: 24 Oct 2014 Last revised: 1 Oct 2015
Date Written: September 29, 2015
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: Suggested Citation