Study with us

Our graduates gain the knowledge and skills to lead organisations, develop public policy, create new companies and undertake research.

Our research

Our academic staff are at the forefront of global thinking on issues relating to wealth and wellbeing, strong organisations, transformative innovation, and the

Student resources

Information about program and course selection, enrolment, change of program, variation to enrolment, status and other general matters.

Alumni

Our alumni may be found in the world’s leading companies, policy agencies and universities.

Contact us

Find contact details for any general enquiries.

When Opportunity Knocks: Cross-Sectional Return Dispersion and Active Fund Performance

When Opportunity Knocks

Anna Von Reibnitz

Active opportunity in the market, measured by cross-sectional dispersion in stock returns, significantly influences fund performance. Active strategies have the greatest impact on returns during periods of high dispersion, when alpha produced by the most active funds significantly exceeds that produced in other months. The outperformance of the most relative to the least active funds is also concentrated in months of high dispersion.

Deciding when to invest in active funds, therefore, can be as important to generating outperformance as deciding which funds to invest in. Switching between highly active and passive funds based on dispersion produces significant alpha of over 2. 7% p.a. after fees.

This paper adds a new dimension to understanding how active funds can be used to generate value, by combining identification of which managers have the greatest
potential to outperform the market with insight into when the market is most conducive to o
utperformance.

Partnership opportunities available

Our College is actively engaged in partnering with industry for the co-creation of value in areas congruent with our research agenda

Find out more >>

Other research you might be interested in

Updated:   18 February 2017 / Responsible Officer:  Dean, Business & Economics / Page Contact:  College Web Team