The Geography of Subadvisors, Managerial Structure, and the Performance of International Equity Mutual Funds

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2022-11-10 DOI:10.1093/rapstu/raac017

Markus S. Broman, Mike Densmore, P. Nolan

引用次数: 0

Abstract

We study whether subadvising abroad provides an information advantage that improves the performance of international equity mutual funds. We find that it does not. In fact, internationally outsourced funds underperform on a risk-adjusted basis by up to 162 bps annually. The underperformance is concentrated in funds managed by single subadvisors, who are less likely to be terminated after poor performance compared to funds with multiple subadvisors. We dissect fund performance by the location of its subadvisors and find that international subadvisors underperform primarily in their local holdings. Finally, we show that the industry is nonetheless on a path toward equilibrium.

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副顾问的地理分布、管理结构与国际股票共同基金的绩效

我们研究了海外子咨询是否提供了信息优势，从而提高了国际股票共同基金的业绩。我们发现事实并非如此。事实上，经风险调整后，国际外包基金每年的表现比预期差162个基点。表现不佳的主要是由单个子顾问管理的基金，与拥有多个子顾问的基金相比，这些基金在表现不佳后被终止的可能性较小。我们根据子顾问的所在地对基金业绩进行了剖析，发现国际子顾问主要在其本地持股方面表现不佳。最后，我们表明，尽管如此，该行业仍在走向均衡的道路上。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.