Australian retail fund performance persistence

Chris Bilson; Angela Frino; Richard Heaney

doi:10.1111/j.1467-629x.2004.00121.x

Australian retail fund performance persistence

Chris Bilson^*, Angela Frino, Richard Heaney

^*Corresponding author for this work

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

21 Citations (Scopus)

Abstract

The present study extends the Australian fund performance persistence literature through the use of five performance metrics: raw returns, the Sharpe ratio, the single-factor model and two multifactor models, the Carhart (1997) model and the Gruber (1996) model, in analysis of Australian retail fund performance over the period 1991-2000. Analysis suggests that performance persistence is sensitive to fund objective and appears to be driven by inadequate adjustment for risk.

Original language	English
Pages (from-to)	25-42
Number of pages	18
Journal	Accounting and Finance
Volume	45
Issue number	1
DOIs	https://doi.org/10.1111/j.1467-629x.2004.00121.x
Publication status	Published - Mar 2005

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title = "Australian retail fund performance persistence",

abstract = "The present study extends the Australian fund performance persistence literature through the use of five performance metrics: raw returns, the Sharpe ratio, the single-factor model and two multifactor models, the Carhart (1997) model and the Gruber (1996) model, in analysis of Australian retail fund performance over the period 1991-2000. Analysis suggests that performance persistence is sensitive to fund objective and appears to be driven by inadequate adjustment for risk.",

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AB - The present study extends the Australian fund performance persistence literature through the use of five performance metrics: raw returns, the Sharpe ratio, the single-factor model and two multifactor models, the Carhart (1997) model and the Gruber (1996) model, in analysis of Australian retail fund performance over the period 1991-2000. Analysis suggests that performance persistence is sensitive to fund objective and appears to be driven by inadequate adjustment for risk.

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KW - Survivorship bias

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Australian retail fund performance persistence

Abstract

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