The asymmetric performance of industry concentrated funds

Abstract

In the present paper we study whether active management investment strategies lead to fund managers' investing and informational advantages as tend to rely on industry-concentrated portfolios. The methodology includes the analysis of the unconditional performance measures adjusted for different risk factors and fund characteristics. The hypothesis of testing statistical differences on the performance of concentrated and diversified Greek Capital Market fund portfolios has led to the estimation of Carhart (1997) and Fama and French (2010) models. In order to examine the market timing and stock picking fund managers’ skills, the Asymmetric Response Model (ARM) is estimated under the adjustment of Fama and French (2010) factors (Kousenidis and Negakis, 2013). Finally, our results are classified into tercile regimes and we test for abnormal performance persistence in tercile and Sectors level.