Australian retail fund performance persistence

Chris Bilson, Angela Frino, Richard Heaney

Research output: Contribution to journalArticleResearchpeer-review

19 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 languageEnglish
Pages (from-to)25-42
Number of pages18
JournalAccounting and Finance
Volume45
Issue number1
DOIs
Publication statusPublished - 1 Mar 2005
Externally publishedYes

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Retail
Performance persistence
Fund performance
Sharpe ratio
Performance metrics
Multifactor model

Cite this

Bilson, Chris ; Frino, Angela ; Heaney, Richard. / Australian retail fund performance persistence. In: Accounting and Finance. 2005 ; Vol. 45, No. 1. pp. 25-42.
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Australian retail fund performance persistence. / Bilson, Chris; Frino, Angela; Heaney, Richard.

In: Accounting and Finance, Vol. 45, No. 1, 01.03.2005, p. 25-42.

Research output: Contribution to journalArticleResearchpeer-review

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