Abstract
The present paper examines the performance and diversification properties of active Australian equity fund-of-funds (FoF). Simulation analysis is employed to examine portfolio performance as a function of the number of funds in the portfolio. The present paper finds that as the number of funds in an FoF portfolio increases, performance improves in a mean-variance setting; however, measures of skewness and kurtosis behave less favourably given an investor's preferences for the higher moments of the return distribution. The majority of diversification benefits are realized when a portfolio of approximately 6 active equity funds are included in the FoF portfolio.
| Original language | English |
|---|---|
| Pages (from-to) | 185-197 |
| Number of pages | 13 |
| Journal | Accounting and Finance |
| Volume | 45 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - Jul 2005 |
| Externally published | Yes |