IDEAS home Printed from https://ideas.repec.org/a/taf/ufajxx/v81y2025i3p150-175.html
   My bibliography  Save this article

Excess Return Profiles for Stocks Purchased by Active Equity Managers

Author

Listed:
  • Jo Drienko
  • Bruce Grundy
  • Anna von Reibnitz
  • Geoffrey J. Warren

Abstract

We demonstrate how forming time profiles of the excess returns on stocks purchased by active equity funds reveals the horizon and magnitude of value-add from investment signals. This provides insights into the nature of those signals and how they might be best implemented. We illustrate the approach for both individual funds and categories of funds, showing that purchases by small-cap funds and value funds deliver outperformance versus their style benchmarks that accrues over long horizons, while purchases by growth funds and high-turnover funds outperform their style benchmarks over shorter horizons. Our analysis also highlights the importance of benchmark choice.

Suggested Citation

  • Jo Drienko & Bruce Grundy & Anna von Reibnitz & Geoffrey J. Warren, 2025. "Excess Return Profiles for Stocks Purchased by Active Equity Managers," Financial Analysts Journal, Taylor & Francis Journals, vol. 81(3), pages 150-175, July.
    • Handle: RePEc:taf:ufajxx:v:81:y:2025:i:3:p:150-175
    DOI: 10.1080/0015198X.2025.2485862
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/0015198X.2025.2485862
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/0015198X.2025.2485862?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:ufajxx:v:81:y:2025:i:3:p:150-175. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/ufaj20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.