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Australian Retail Fund Performance Persistence

Bilson, Chris; Frino, Angela; Heaney, Richard

Description

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.

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
URI: http://hdl.handle.net/1885/30570
Source: Accounting and Finance
DOI: 10.1111/j.1467-629x.2004.00121.x

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