A new perspective on performance persistence: evidence using portfolio holdings

Scott Bennett; David R. Gallagher; Graham Harman; Geoffrey J. Warren; Yuki Xi

doi:10.1111/acfi.12212

A new perspective on performance persistence: evidence using portfolio holdings

Scott Bennett, David R. Gallagher, Graham Harman, Geoffrey J. Warren, Yuki Xi

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

We investigate the existence and sources of performance persistence for Australian equity funds, using monthly portfolio holdings data. We find significant persistence among outperforming rather than underperforming funds, which is primarily related to security selection skill, and is associated with growth-orientated funds. Meanwhile, the relation between persistence and momentum is secondary and nuanced. Further, persistence largely derives from existing holdings, while subsequent active trading contributes only moderately positive returns for both outperforming and underperforming funds. We also find that persistence fades beyond 6 months and vanishes after 24 months. Our findings differ from those for U.S. equity funds and previous Australian studies, implying that persistence may vary with market context and its identification may depend on data availability.

Original language	English
Pages (from-to)	91-125
Number of pages	35
Journal	Accounting and Finance
Volume	58
Issue number	1
DOIs	https://doi.org/10.1111/acfi.12212
Publication status	Published - Mar 2018

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10.1111/acfi.12212

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title = "A new perspective on performance persistence: evidence using portfolio holdings",

abstract = "We investigate the existence and sources of performance persistence for Australian equity funds, using monthly portfolio holdings data. We find significant persistence among outperforming rather than underperforming funds, which is primarily related to security selection skill, and is associated with growth-orientated funds. Meanwhile, the relation between persistence and momentum is secondary and nuanced. Further, persistence largely derives from existing holdings, while subsequent active trading contributes only moderately positive returns for both outperforming and underperforming funds. We also find that persistence fades beyond 6 months and vanishes after 24 months. Our findings differ from those for U.S. equity funds and previous Australian studies, implying that persistence may vary with market context and its identification may depend on data availability.",

keywords = "Active management, Performance evaluation, Performance persistence, Portfolio holdings, Trades",

author = "Scott Bennett and Gallagher, {David R.} and Graham Harman and Warren, {Geoffrey J.} and Yuki Xi",

note = "Publisher Copyright: {\textcopyright} 2016 AFAANZ",

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N2 - We investigate the existence and sources of performance persistence for Australian equity funds, using monthly portfolio holdings data. We find significant persistence among outperforming rather than underperforming funds, which is primarily related to security selection skill, and is associated with growth-orientated funds. Meanwhile, the relation between persistence and momentum is secondary and nuanced. Further, persistence largely derives from existing holdings, while subsequent active trading contributes only moderately positive returns for both outperforming and underperforming funds. We also find that persistence fades beyond 6 months and vanishes after 24 months. Our findings differ from those for U.S. equity funds and previous Australian studies, implying that persistence may vary with market context and its identification may depend on data availability.

AB - We investigate the existence and sources of performance persistence for Australian equity funds, using monthly portfolio holdings data. We find significant persistence among outperforming rather than underperforming funds, which is primarily related to security selection skill, and is associated with growth-orientated funds. Meanwhile, the relation between persistence and momentum is secondary and nuanced. Further, persistence largely derives from existing holdings, while subsequent active trading contributes only moderately positive returns for both outperforming and underperforming funds. We also find that persistence fades beyond 6 months and vanishes after 24 months. Our findings differ from those for U.S. equity funds and previous Australian studies, implying that persistence may vary with market context and its identification may depend on data availability.

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A new perspective on performance persistence: evidence using portfolio holdings

Abstract

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