Warianty tytułu
Języki publikacji
Abstrakty
Theoretical background: An increase in the interest in passive investing has been one of the most important trends on financial market over the last two decades. However, passive portfolio management is not limited to index funds and passive exchange-traded funds (ETFs). Despite the declared active approach to investing, in practice some active fund managers construct portfolios whose structure is quite similar to the index (usually a fund benchmark). Simultaneously, these funds charge relatively high fees, inadequate to the involvement in the investment process. In order to estimate the scale of this phenomenon, the activity and investment style of actively managed funds are examined.
Purpose of the article: The main aim of the paper is to determine the degree of active approach to portfolio management by domestic Treasury bond funds investing in the Polish currency. Specific objectives include examining the relationship between the level of the fund's active management and the size of the fund (assets under management) as well as the investment portfolio concentration.
Research methods: In the quantitative study, the portfolio based measure of management activity, commonly used in the subject literature, was applied (adjusted to the bond fund), i.e. bond-level active share ratio. Moreover, to assess the portfolio concentration of the funds from the research sample, two measures were calculated: concentration ratio (CR5) and Herfindahl-Hirschman Index (HHI).
Main findings: The results of the study have proved that a majority of the investigated domestic Treasury bond funds manage their portfolios in an active manner. Additionally, the research has shown that the funds managing larger assets, with a low degree of portfolio concentration, are characterized by relatively lower values of the active share ratio, i.e. their portfolios are relatively passively managed.(original abstract)
Purpose of the article: The main aim of the paper is to determine the degree of active approach to portfolio management by domestic Treasury bond funds investing in the Polish currency. Specific objectives include examining the relationship between the level of the fund's active management and the size of the fund (assets under management) as well as the investment portfolio concentration.
Research methods: In the quantitative study, the portfolio based measure of management activity, commonly used in the subject literature, was applied (adjusted to the bond fund), i.e. bond-level active share ratio. Moreover, to assess the portfolio concentration of the funds from the research sample, two measures were calculated: concentration ratio (CR5) and Herfindahl-Hirschman Index (HHI).
Main findings: The results of the study have proved that a majority of the investigated domestic Treasury bond funds manage their portfolios in an active manner. Additionally, the research has shown that the funds managing larger assets, with a low degree of portfolio concentration, are characterized by relatively lower values of the active share ratio, i.e. their portfolios are relatively passively managed.(original abstract)
Rocznik
Tom
Numer
Strony
137--153
Opis fizyczny
Twórcy
autor
- University of Lodz
Bibliografia
- Amihud, Y., & Goyenko, R. (2013). Mutual fund's R2 as predictor of performance. The Review of Financial Studies, 26(3), 667-694. doi:10.1093/rfs/hhs182
- Antón, M., Cohen, R.B., & Polk, C. (2020). Best ideas. Harvard Business School Working Paper, 21-004. Retrieved from https://www.hbs.edu/faculty/Pages/download.aspx?name=21-004.pdf
- Better Finance. (2016). Better Finance helps investors identify potential falsely active funds ("closet indexers"), and asks regulators to investigate further. Retrieved from https://betterfinance.eu/wp-content/uploads/publications/EN_-_Press_Release_and_Annexes_2_3_-_Better_Finance_replication_of_ESMA_study_on_Closet_Indexing.pdf
- Bogdanowicz, W., Fijałkowska, J., Okseniuk, D., Tymoczko, D., Wojciechowski, A., & Zasadzińska, J. (2017). Jak zarządzać oszczędnościami emerytalnymi, czyli o zarządzaniu aktywnym i pasywnym. Zeszyty Naukowe Politechniki Poznańskiej, 75, 49-66. doi:10.21008/j.0239-9415.2017.075.04
- Caquineau, M., Möttölä, M., & Schumacher, J. (2016). Active share in European equity funds. The activeness of large-cap European fund managers through the lens of active share. Retrieved from https://www.morningstar.com/content/dam/marketing/shared/research/foundational/858714-ActiveShareEuropeanEquityFunds.pdf
- Choi, J., Cremers, M., & Riley, T.B. (2021). Why have actively managed bond funds remained popular? Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3557235
- Cici, G., & Gibson, S. (2012). The performance of corporate bond mutual funds: Evidence based on security-level holdings. The Journal of Financial and Quantitative Analysis, 47(1), 537-565. doi:10.1017/S0022109011000640
- Cremers, M. (2017). Active share and the three pillars of active management: Skill, conviction and opportunity. Financial Analysts Journal, 73(2), 61-79. doi:10.2469/faj.v73.n2.4
- Cremers, M., & Petajisto, A. (2009). How active is your fund manager? A new measure that predicts performance. Review of Financial Studies, 22(9), 3329-3365. doi:10.1093/rfs/hhp057
- Cremers, M., Ferreira, M., Matos, P., & Starks, L. (2016). Indexing and active fund management: International evidence. Journal of Financial Economics, 120(3), 539-560. doi:10.1016/j.jfineco.2016.02.008
- ESMA. (2016). Supervisory work on potential closet index tracking. ESMA /2016/165. Retrieved from https://www.esma.europa.eu/sites/default/files/library/2016-165_public_statement_-_supervisory_work_on_potential_closet_index_tracking.pdf
- Frazzini, A., Friedman, J., & Pomorski, L. (2016). Deactivating active share. Financial Analysts Journal, 72(2), 14-21. doi:10.2469/faj.v72.n2.2
- Greengold, R. (2021). Unattractive share. A much heralded measure of active management has failed to steer investors into funds with consistently strong performance. Retrieved from https://www.morningstar.com/lp/unattractive-share
- Gurwitz, J.A., Smith, D.M., & Van de Venter, G. (2021). Municipal bond mutual fund performance and active share. The Journal of Investing, 30(4), 23-35. doi:10.3905/joi.2021.1.177
- Lithin, B.M., Chakraborty, S., Kumar Ghosh, B., & Shenoy, U.R. (2021). Overview of bond mutual funds: A systematic and bibliometric review. Cogent Business & Management, 8(1), 1979386. doi:10.1080/23311975.2021.1979386
- Miller, R.M. (2007). Measuring the true cost of active management by mutual funds. Journal of Investment Management, 5(1), 29-49.
- Miziołek, T. (2015). Wskaźnik active share na rynku akcyjnych funduszy inwestycyjnych w Polsce. Zeszyty Naukowe Uniwersytetu Szczecińskiego, 862, Finanse, Rynki Finansowe, Ubezpieczenia, 75, 343-354. doi:10.18276/frfu.2015.75-28
- Panesar, T. (2018). Active share. Does it belong in fixed income? Retrieved from https://www.pionline.com/article/20181206/ONLINE/181209961/commentary-why-active-share-is-not-just-for-equities
- Petajisto, A. (2013). Active share and mutual fund performance. Financial Analysts Journal, 69(4), 73-93. doi:10.2469/faj.v69.n4.7
- Perez, K., & Szymczyk, Ł. (2022). Actual rate of the management fee in mutual funds of different styles. Equilibrium. Quarterly Journal of Economics and Economic Policy, 17(4), 969-1014. doi:10.24136/eq.2022.033
- Schlanger, T., Phillips, C.B., & Peterson LaBarge, K. (2012). The search for outperformance: Evaluating 'active share'. Retrieved from https://www.vanguard.ca/documents/search-for-outperformance.pdf
- Trzebiński, A. (2022). Cost of active management in Polish investment funds. Gospodarka Narodowa, 311(3), 93-102. doi:10.33119/GN/151791
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171667225
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