asset mgnt

8/13/2019 Asset Mgnt

1/46

Electronic copy available at: http://ssrn.com/abstract=2217700

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Ccorresponding author:


2/46

Electronic copy available at: http://ssrn.com/abstract=2217700

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1. Introduction

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2. Hypotheses

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2.2. Portfolio type

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8/46

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L51& 5L $:# 95($1'9$ -#$6##( &'(')#1" '(* +(,#"$51">

2.3. Hypotheses

e71 "$7*A #P'&+(#" $:# *+LL#1#(9#" +( $:# 1+". '(* 1#$71( 1#;'$+5( $:'$ '( +(,#"$51 9'( #PD#9$

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+(,#"$($ -'(.+() :AD5$:#"#">

e71 -'"#;+(# +(,#"$($ -'(.+() :AD5$:#"+" +" 6:#$:#1 -#+() 56(#* -A '( +(,#"$($ -'(.

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3( '**+$+5(G &7;$+D15*79$ L+1&"

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9/46

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10/46

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13/46

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3. Data collection and descriptive statistics

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3.1. Databases

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14/46

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15/46

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3.3 Fund-level filters and joining of assets classes

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16/46

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17/46

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1#D51$ 1#$71(" L51 '$ ;#'"$ ' A#'1>

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18/46

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19/46

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20/46

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21/46

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3.7. Descriptive statistics

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22/46

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23/46

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24/46

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35/46

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37/46

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References

!9.#1&'(G G R9X(';;AG c>G c',#("91'L$G m>G IMMM> B:# D#1L51&'(9# 5L :#*)# L7(*"T 1+".G1#$71(G '(* +(9#($+,#"> /571('; 5L Y+('(9# [QG NJJfNZQ>

!)'16';G _>G 4'+.G 4> a>G EHHQ> c+"." '(* D51$L5;+5 *#9+"+5(" +(,5;,+() :#*)# L7(*"> c#,+#6 5L

Y+('(9+'; 8$7*+#" IZG FJfMN>!)'16';G _>G 4'+.G 4> a>G EHHM> c5;# 5L &'(')#1+'; +(9#($+,#" '(* *+"91#$+5( +( :#*)# L7(*D#1L51&'(9#> /571('; 5L Y+('(9# FQG EEEIfEE[F>

0#1.G /> 0>G U1##(G c> G EHHQ> R7$7'; L7(* L;56" '(* D#1L51&'(9# +( 1'$+5('; &'1.#$"> /571(';5L V5;+$+9'; X95(5&A IIE ]F^G IEFMfIEM[>

0:'$$'9:'1A'G 8>G VL;#+*#1#1G V>G IMN[> m#;#)'$#* D51$L5;+5 &'(')#($> /571('; 5L X95(5&+9B:#51A JFG IfE[>

05;;#(G 4>G W1#D#;AOV55;G _>G EHHM> m5 :#*)# L7(* &'(')#1" &+"1#D51$ 1#$71("j X,+*#(9# L15&$:# D55;#* *+"$1+-7$+5(> /571('; 5L Y+('(9# FQG EE[ZfEENN>

05;$5(G V>G Y1#+P'"G `>G 8:'D+15G />G EHHZ>

G 8'($5"G />G EHHI> G R57""'6+G c>G EHIH> R7$7'; L7(* D#1L51&'(9# 6:#( D'1#($ L+1&"

"+&7;$'(#57";A &'(')# :#*)# L7(*"> /571('; 5L Y+('(9+'; 3($#1*+'$+5( IMG IFMfINZ>Y#1"5(G K>G W:'()G W>G EHHE> G EHHI> B:# 1+". +( :#*)# L7(* "$1'$#)+#"T $:#51A '(* #,+*#(9# L15& $1#(*

L5;;56#1"> c#,+#6 5L Y+('(9+'; 8$7*+#" IQ ]E^G JIJfJQI>U#$&'(".AG R>G ?5G K>G R'.'15,G 3>G EHHQ> !( #95(5$1+9 &5*#; 5L "#1+'; 9511#;'$+5( '(*

+;;+b7+*+$A +( :#*)# L7(* 1#$71("> /571('; 5L Y+('(9+'; X95(5&+9" ZQG [EMfFHM>U+;O0'25G />G c7+2O_#1*7G V>G EHHM> B:# 1#;'$+5( -#$6##( D1+9# '(* D#1L51&'(9# +( $:# &7$7';

L7(* +(*7"$1A> /571('; 5L Y+('(9# FQG EI[JfEINJ>U5#$2&'((G K>G 3()#1"5;;G />G c5""G 8>G EHHJ> =+): 6'$#1&'1." '(* :#*)# L7(* &'(')#($

95($1'9$"> /571('; 5L Y+('(9# [NG IFN[fIZIN>U5#$2&'((G K>G 3()#1"5;; />G 8D+#)#;G R>G K#;9:G 3>G EHHZ> V51$L5;+5 D#1L51&'(9# &'(+D7;'$+5(

'(* &'(+D7;'$+5(D155L D#1L51&'(9# '"71#"> c#,+#6 5L Y+('(9+'; 8$7*+#" EHG I[HJfI[QF>U15""&'(G 8>G 8$+);+$2 />G IMNH> e( $:# +&D5""+-+;+$A 5L +(L51&'$+5(';;A #LL+9+#($ &'1.#$">

!+9'( X95(5&+9 c#,+#6 ZHG JMJfQHN>=5;&"$15&G 0>G IMZM> R51'; :'2'1* '(* 5-"#1,'-+;+$A> 0#;; /571('; 5L X95(5&+9" IH ]I^G ZQfMI>31,+(#G V>G ?+D"5(G R>G V79.#$$G V>G EHHZ> B+DD+()> c#,+#6 5L Y+('(9+'; 8$7*+#" EH ]J^G ZQIfZFZ>3,'":+('G _>G 89:'1L"$#+( m>G EHIH> ?5'( "A(*+9'$+5( '(* 91#*+$ 9A9;#"> !+9'( X95(5&+9

c#,+#6T V'D#1" '(* V159##*+()" IHH ]E^G IfN>/')'(('$:'(G c>G R';'.:5,G !>G 45,+.5,G m>G EHIH> m5 :5$ :'(*" D#1"+"$ '&5() :#*)# L7(*

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38/46

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?5G !>G EHHE> B:# "$'$+"$+9" 5L 8:'1D# 1'$+5"> Y+('(9+'; !(';A"$" /571('; [NG JFf[E>?7$.#D5:;G =>G IMMJ> B:# "5719#" 5L @8 &5(#A *#&'(* +("$'-+;+$A> X&D+1+9'; X95(5&+9" ING

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R'""'G R>G c#:&'(G d>G EHHN> 3(L51&'$+5( L;56" 6+$: L+('(9+'; 95();5'$#"T #,+*#(9# L15&$:# -'(."O&7$7'; L7(*" 1#;'$+5(> /571('; 5L Y+('(9+'; X95(5&+9" NMG ENNfJHF>

R#:1'(G =>G 8$7;2G c>G EHHZ> B:# #95(5&+9" 5L 95(L;+9$" 5L +($#1#"$ +( L+('(9+'; +("$+$7$+5(">/571('; 5L Y+('(9+'; X95(5&+9" N[G EFZfEMF>

c+$$#1G />G d:'()G m>G EHHZ> !LL+;+'$#* &7$7'; L7(*" '(* $:# ';;59'$+5( 5L +(+$+'; D7-;+9 5LL#1+()">/571('; 5L Y+('(9+'; X95(5&+9" NFG JJZfJFN>

8$'1."G ?> B>G IMNZ> V#1L51&'(9# +(9#($+,# L##"T '( ')#(9A $:#51#$+9 'DD15'9:> /571('; 5LY+('(9+'; '(* o7'($+$'$+,# !(';A"+" EEG IZfJE>


39/46

#)

Table 1

!""#$" L51 ';; D51$L5;+5"B:+" $'-;# D1#"#($" $:# '""#$ $+ "#1+#" L51 $:# L7(*" &'(')#* -A EJ +(,#"$($ -'(." '(* QN 95();5'$#"> !""#$" 7(*#1 '9$+,#&'(')#($ '$ $:# #(* 5L $:# A#'1 '1# 1#D51$#* +( &+;;+5(" 5L *5;;'1"> B:#1# '1# FEI 7(+b7# :#*)# L7(*"G EGFZM 7(+b7# +("$+$7$+5('; L7(*"G '(*EGNF[ 7(+b7# &7$7'; L7(*">

=#*)# L7(*" 3("$+$7$+5('; L7(*" R7$7'; L7(*"

a#'1 ( R#*+'( B5$'; ( R#*+'( B5$'; ( R#*+'( B5$'; B5$';

EHHN EQH IH[ FJGJZ[ IGJFN ZQ[ QGEMNG[MZ IGFJH EHF IGJM[GI[F [GZ[ZGIEN

EHHZ JIN IHN NHGIF[ IGQNQ IGIEM [GMJFGHFQ IGZI[ EJE IGF[JGQJJ ZGFFMGFFE

EHHF JIF NJ FFGEEJ IGFHZ MNF [GFNFGJQJ IGZMH EHQ IGQJFGFQJ ZGINMGEHM

EHH[ EMI ZQ [JGFJQ IGZEH NJI [GHZEGZFE IGZHF IME IGINIGNFH FGJHNGE[F

EHHQ EZN F[ Q[GJIH IGZNI ZHN QGQZEGNFI IGFFI IZE MZZGZFM [GQM[GMQI

EHHJ E[I [Z JFGHIQ IGNHM FJM QGHHFGJJF IGFMF IJJ ZZ[GEJN QGNIZG[NN

EHHE EIM [Q JHGIMZ IGZM[ [EI JGJF[GJQQ IGZJH II[ Z[MGZHJ QGI[[GEQJ

EHHI EII [Q ENGZIF IGZEF FIN JG[EJG[MQ IGFMJ IIZ NFMGMQN QGQEEGE[N

EHHH IZN [I EFGFNH IGFHH FHJ JGIZJG[EF IGFEJ IIE MMJGQQJ QGIMJGFQN

IMMM IFJ QJ EIGMJI IG[IH FEN JGJINGZHQ IGQQZ IHQ NHEGJMM QGIQJGHJ[

IMMN IQN QJ EHGEMQ IGQJF [ZF JGHQMGMJF IGEJJ NF FFFGHIE JGZJFGEQE

IMMZ IJZ JM IZGZM[ IGJJ[ [FI EG[MZGJJH IGHN[ MQ [[[GJFE JGIZHGQNZ

IMMF IEQ JQ IEG[JJ IGEEZ [JJ EGIJHGZFM MQI NE QE[GM[N EG[FMGEFH

IMM[ IHF JN MGFHQ IGHN[ [IQ IGZIJG[MQ NIZ MH JJHGQJJ EGH[JGFJH

IMMQ NJ QE NGMQZ M[F Q[J IGJHHGIJM ZJM NF ENHGNQZ IG[NMGMJJ

IMMJ FM QH FG[HI NEZ Q[J IGIHFGHHQ FHM MJ EEMG[JM IGJQEGHQQ

IMME [Z JI QGJZI [FE JJJ FEQGQFF QMM NZ IZJGMJM NHEGZZZ

IMMI [H JH JGFN[ QMJ JEF [JIGEMF JFQ NM IEIG[FN F[FG[QM

IMMH QF JI JGQZZ QI[ EMF QHZGFQM JH[ M[ IHHGIEE [IIGEQZ


40/46

$*

Table 2

!""#$" L51 #b7+$A D51$L5;+5"B:+" $'-;# D1#"#($" $:# '""#$ $+ "#1+#" L51 $:# #b7+$A L7(*" &'(')#* -A EJ +(,#"$($ -'(." '(* QN 95();5'$#"> !""#$" 7(*#1 '9$+,#&'(')#($ '$ $:# #(* 5L $:# A#'1 '1# 1#D51$#* +( &+;;+5(" 5L *5;;'1"> B:#1# '1# JZQ 7(+b7# #b7+$A :#*)# L7(*"G IGNQH 7(+b7# #b7+$A +("$+$7$+5(';L7(*"G '(* EGEQN 7(+b7# &7$7'; L7(*">

=#*)# L7(*" 3("$+$7$+5('; L7(*" R7$7'; L7(*"

a#'1 ( R#*+'( B5$'; ( R#*+'( B5$'; ( R#*+'( B5$'; B5$';

EHHN I[M IHF JZGQJF MNJ [MH EGIHHGZHI IGJEI EI[ IGI[FGHQE JGEMQGIZM

EHHZ EHQ III Q[GHEM IGHF[ NMQ JGZQNGHJJ IGJNQ EFQ IGQH[GHNJ [GIMNGIQF

EHHF IME NQ J[GJEJ IGI[N NQQ JGFJNGJHQ IGQQI EIN IGEENGEEF QGMHIGN[Q

EHH[ INH ZE ENG[[[ IGEIH FMM JGIQ[GIHH IGJFM IMZ MM[GIJI QGIFNGZNZ

EHHQ IZF F[ EJGJNJ IGE[E FII EGZZJGMNQ IGJEM IZE NHFGZMM JGFHQGIFF

EHHJ IZE [Q EHGMIH IGEZF [IZ EGQNEGZZZ IGJF[ IEN FEEGMNI JGIEFGFFM

EHHE IQM [J INGEHN IGEFI JMM IGZZFGJZI IGJM[ IIH FJJGFFJ EGQENGEQE

EHHI IEM [M IZGEZM IGEHI [HM IGMNHG[FZ IGJZJ IIM Z[FGNII EGZ[QGF[Z

EHHH IHQ [Q IZGJJF IGIHE [F[ EGHJ[G[EM IGJHI IIM NMIGIII EGMQJGMZF

IMMM NM [Q IEGNQ[ IGHJE FIQ EGIQ[GIJE IGIJM IHZ FMZGZJZ EGN[[GZIQ

IMMN ZZ [I IHGQJZ M[M [EM IGNJFGIIM MQJ MZ [FQGHMH EGQIHGFQF

IMMZ ZF QQ MGII[ NZJ [[H IG[ZHGZF[ NEN IHI QZHG[ZZ EGH[HGQ[N

IMMF FZ QJ ZG[JE ZNN [JI IGENFGIJ[ FMN IHE J[ZGFZH IGF[IGJJZ

IMM[ FI QJ [GFIZ FNJ QMF MNJGJI[ FHE IHQ EZEGHQI IGEFHGMZQ

IMMQ QZ [Q QGZEH [MZ QEQ ZQQGQH[ [[E MJ EEZG[Q[ MZFGFFM

IMMJ QI [Q JGZME [EH QHI FJZGIQH QFJ IHH INIGNH[ NEEGZJF

IMME J[ [I EGNNI J[M EF[ J[JGMEF JZN NZ IJ[GEQI QMEGHQZ

IMMI JI [I EGFHF JIH E[M EMFGINN EZZ MQ MFGIFF JMQGMFH

IMMH EN [E EGQFE E[Z EQM EIIGZJ[ EJ[ MM NIG[H[ EM[GZHJ


41/46

$!

Table 3

8:'1D# 1'$+5" 5L '9$+,#;A &'(')#* L7(*"B:#"# "7&&'1A "$'$+"$+9" '1# L51 $:# 8:'1D# 1'$+5" L51 ';; '9$+,# L7(*" +( $:# +(,#"$($ -'(. '(* 95();5'$# "'&D;# ]V'(#; !^ '(* $:# +(,#"$($ -'(."]V'(#; 0^> K# *15D $:# L+1"$ IE 1#$71( 5-"#1,'$+5(" L15& :#*)# L7(*" 5;*#1 $:'( EQ &5($:" $5 95($15; L51 -'9.L+;; -+'"> K# 7"# &7$7'; L7(*" '(*+("$+$7$+5('; L7(*" 6+$: '$ ;#'"$ IE 5-"#1,'$+5("> e71 +("$+$7$+5('; '(* &7$7'; L7(* "'&D;#" '1# L1## L15& -'9.L+;; -+'"> K# 95("+*#1#* &5($:;A 1#$71(" L15&

/'(7'1A IMMH $5 m#9#&-#1 EHHN> B:# 5(# &5($: BO-+;; 1'$# +" L15& 3--5$"5( !""59+'$#"> !;; 1#$71(" '1# (#$ 5L L##"> B:# 8:'1D# 1'$+5 +" 9';97;'$#* L51 #'9:D51$L5;+5 L15& $:# 95&D;#$# 1#$71( "#1+#" $:'$ '1# (5$ -'9.L+;;#*>

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V'(#; !T !;; +(,#"$($ -'(." '(* 95();5'$#" IMMHfEHHN

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R#*+'( H>HZQ H>HMZ H>HIM

R+(+&7& OI>HHH OE>[HH OI>NHH

R'P+&7& E>IMH [>JHH E>IJH

8$'(*'1* m#,+'$+5(> H>JHH H>EQ[ H>INM

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8.#6(#"" I>[MH Z>[[H OH>JHH

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8$'(*'1* m#,+'$+5( H>J[M H>E[N H>EHI

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8.#6(#"" E>HEH N>JQH OH>IEH


42/46

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43/46

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5-$'+('(';D:'L51#'9:&5($:'(*',#1')#$:#';D:'5,#1$:#&5($:"

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$:+"';D:'L51';;L7(*"56(#*-A$:#95();5'$#51+(,#"$($-'(.#P9;7*+()L7(*5LL7(*"G+(*#PL7(*"G&5(#A&'1.#$L7(*"G'(*&7(+9+D';-5(*L7(*">K#1#)1#""

$:#"#,#(L'9$51';D:'"5(*7&&A,'1+'-;#"L51+(,#"$($-'(."]3(,#"$($0'(.^G+("$+$7$+5(';L7(*"]*34^G:#*)#L7(*"]*=Y^G&7$7';

L7(*"]*RY^G#b7+$AL7(*"]*Xb7+$A^G'(*95($+(757",'1+'-;#"TL##"

9:'1)#*]Y##^G$:#('$71';;5)5LL##"$+"'""#$"7(*#1&'(')#($p?(]c#,#(7#^rG$:#('$71';;5)5L')#5LL7(*p?(]!)#^rG$:#('$71';;5)5L'""#$"7(*#1&'(')#($p?(]!7&^rG

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44/46

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