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The Journal of Wealth Management

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Article

Economic Relevance of Concentration for Emerging Markets Funds Performance

Anna Maria D’Arcangelis and Giuseppe Galloppo
The Journal of Wealth Management Winter 2015, 18 (3) 101-109; DOI: https://doi.org/10.3905/jwm.2015.18.3.101
Anna Maria D’Arcangelis
is an associate professor at Deim University of Tuscia in Viterbo, Italy. adarcangelis@unitus.it
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  • For correspondence: adarcangelis@unitus.it
Giuseppe Galloppo
is an assistant professor at Deim University of Tuscia in Viterbo, Italy. giuseppe.galloppo@uniroma2.it galloppo@unitus.it
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  • For correspondence: giuseppe.galloppo@uniroma2.it galloppo@unitus.it
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Abstract

The aim of this article is to explore the relationship between portfolio concentration and the performance of mutual funds investing in emerging and developed markets. Following the research line of Fama and French [2012], which reveals the explanatory power of models on local returns, we confi rm that the picking process based only on the level of tracking error may contribute to disappointing results when not accompanied by information about the fund concentration in multiple market factors. The emphasis on the performance of local focused funds reveals a competitive advantage of the emerging markets sample. Moreover, our work shows a new perspective by providing suggestive evidence that the association between breadth of the strategies and alpha is reinforced in the post-crisis period. To our knowledge, our investigation is the fi rst comprehensive study on the topic that focuses on funds with a country specialization and on the robustness of the results in different time periods.

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The Journal of Wealth Management: 18 (3)
The Journal of Wealth Management
Vol. 18, Issue 3
Winter 2015
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Economic Relevance of Concentration for Emerging Markets Funds Performance
Anna Maria D’Arcangelis, Giuseppe Galloppo
The Journal of Wealth Management Oct 2015, 18 (3) 101-109; DOI: 10.3905/jwm.2015.18.3.101

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Economic Relevance of Concentration for Emerging Markets Funds Performance
Anna Maria D’Arcangelis, Giuseppe Galloppo
The Journal of Wealth Management Oct 2015, 18 (3) 101-109; DOI: 10.3905/jwm.2015.18.3.101
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  • Article
    • Abstract
    • SURVIVORSHIP DATA AND THE DATASET EMPLOYED
    • THE METHODOLOGY: FUND PERFORMANCE AND THE BREADTH OF STRATEGIES
    • BREADTH OF STRATEGIES AND PERFORMANCE IN THE POST-CRISIS PERIOD
    • CONCLUSIONS AND FUTURE RESEARCH
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