New Zealand unit trust disclosure: asset allocation, style analysis, and return attribution

Ross Fowler; Robin Grieves; J. Clay Singleton

doi:10.1108/01140581011034191

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Pacific Accounting Review

ISSN: 0114-0582

Online from: 1997

Subject Area: Accounting and Finance

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New Zealand unit trust disclosure: asset allocation, style analysis, and return attribution

Document Information:
Title:	New Zealand unit trust disclosure: asset allocation, style analysis, and return attribution
Author(s):	Ross Fowler, (Fi360 (Australasia) Limited, Tauranga, New Zealand), Robin Grieves, (Department of Finance and Quantitative Analysis, University of Otago, Dunedin, New Zealand), J. Clay Singleton, (Crummer Graduate School of Business, Rollins College, Winter Park, Florida, USA)
Citation:	Ross Fowler, Robin Grieves, J. Clay Singleton, (2010) "New Zealand unit trust disclosure: asset allocation, style analysis, and return attribution", Pacific Accounting Review, Vol. 22 Iss: 1, pp.4 - 21
Keywords:	Assets, Disclosure, Investments, New Zealand, Unit trusts
Article type:	Research paper
DOI:	10.1108/01140581011034191 (Permanent URL)
Publisher:	Emerald Group Publishing Limited
Abstract:	Purpose – This article aims to explore three facets of the historical performance of a sample of actively managed unit trusts available to New Zealand investors: asset allocation, style analysis, and return attribution. Design/methodology/approach – Because New Zealand does not require unit trusts to disclose their security holdings, the paper used returns-based style analysis to infer how these trusts have allocated their funds among asset classes. Findings – The research has found that, for unit trusts available to New Zealand investors, asset allocation can explain a significant amount of the differences in return across time and between trusts. Across time, asset allocation accounts for about 80 per cent of the variation in actual return. Between trusts, asset allocation explains about 60 per cent of the variation in returns. From either perspective, the choice of asset allocation is an important factor in explaining returns. Originality/value – The paper suggests that active management barely earns its fees and that passive investments might do as well or better.