The Effects of Fund Portfolio Concentration on Fund Performance: the Empirical Test of Gini Coefficients

• 발행기관: 한국자료분석학회
• 저자명: SungSin Kim
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.16 No.1, 57~64쪽, 전체 8쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2014.02.28

영문 초록

We investigate the effects of fund portfolio concentration using Gini coefficient on fund performance, in a sample taken from the Korean fund market over 2002-2008 period. The main empirical results are as follows. First, in the portfolio approach, the monthly performance on the G3-G1 strategy (buy-concentrated portfolios and sell-diversified portfolios) is 1.95% for the smallest size (S1) and 0.74% for the largest size (S3). These mean that regardless of fund size, performance for the G3-G1 strategy is significantly positive. Second, fund size negatively affects fund performance. These results imply that fund size is sensitive to fund performance and that there are the diseconomies of scale in the fund market. Third, using raw excess return and the Fama-French 3-factor alpha as proxies for fund performance, we find that fund portfolio concentration positively affects fund performance, even after controlling for other fund characteristics at statistically significant level of 1%. Lastly, concentrated funds outperform their diversified counterparts.

목차

1. Introduction

2. Methodology

3. Data and statistics

4. Empirical results

5. Conclusion

References

키워드

fund portfolio concentration fund performance fund manager’s ability Gini coefficient