The Scaling Property of Randomness: the Impact of Reporting Frequency on the Perceived Performance of Investment Funds

5 Pages Posted: 15 May 2006

See all articles by Nigel Finch

Nigel Finch

Saki Partners

Guy Ford

Macquarie University - Graduate School of Management

Suresh Cuganesan

Swinburne University of Technology

Tyrone M. Carlin

Southern Cross University; The University of Sydney Business School

Date Written: 2005

Abstract

This paper reports on the life-time annual returns and volatility of the largest Australian five-star rated investment funds. Using this actual performance data, we model the likelihood that an investor would have viewed the actual performance as either positive or negative based upon the frequency of the performance reporting. By examining the scaling properties of the random returns generated by the investment, we find that the probability of an investor viewing the performance of their investment as successful, rather than unsuccessful, can be influenced by the time intervals under which the performance is reported. The findings from this research have direct implications to Australian investment managers in setting policies regarding the provisions of real-time and periodic performance reporting to their investors.

Keywords: Investment funds, performance reporting , random returns, investment returns

JEL Classification: G23, G29, G20

Suggested Citation

Finch, Nigel and Ford, Guy and Cuganesan, Suresh and Carlin, Tyrone M., The Scaling Property of Randomness: the Impact of Reporting Frequency on the Perceived Performance of Investment Funds (2005). Available at SSRN: https://ssrn.com/abstract=902203 or http://dx.doi.org/10.2139/ssrn.902203

Nigel Finch (Contact Author)

Saki Partners ( email )

Australia

Guy Ford

Macquarie University - Graduate School of Management ( email )

99 Talavera Road
Sydney, NSW 2113
Australia
+61-2-9850-7813 (Phone)
+61-2-9850-9019 (Fax)

Suresh Cuganesan

Swinburne University of Technology ( email )

Cnr Wakefield and William Streets, Hawthorn Victor
3122 Victoria, Victoria 3122
Australia
+61 3 9214 8388 (Phone)
+61 3 9819 2117 (Fax)

Tyrone M. Carlin

Southern Cross University ( email )

Lismore, New South Wales 2480
Australia

The University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia
+ 61 2 9036 7230 (Phone)
+61 2 9351 7471 (Fax)

HOME PAGE: http://sydney.edu.au/business/staff/tyronec

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