Are funds true to label? A note on matching qualitative and quantitative information

Authors

Zhe Chen, University of New South Wales
David R. Gallagher, University of New South Wales, Capital Markets CRC Limited, Australia; Macquarie UniversityFollow
Camille Schmidt, University of New South Wales

RIS ID

118850

Publication Details

Chen, Z., Gallagher, D. R. & Schmidt, C. H. (2017). Are funds true to label? A note on matching qualitative and quantitative information. Australian Journal of Management, 42 (2), 296-307.

Abstract

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, for example 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.