Australian Retail Fund Performance Persistence
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.
|Collections||ANU Research Publications|
|Source:||Accounting and Finance|
|01_Bilson_Australian_Retail_Fund_2005.pdf||112.43 kB||Adobe PDF||Request a copy|
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