Australian retail fund performance persistence

Chris Bilson, Angela Frino and Richard Heaney

Accounting and Finance, 2005, vol. 45, issue 1, 25-42

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.

Date: 2005
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