Seasonality in Fund Performance: An Examination of the Portfolio Holdings and Trades of Investment Managers |
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| Authors: | David R. Gallagher Matt Pinnuck |
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| Affiliation: | The authors are respectively from the School of Banking and Finance, The University of New South Wales, Sydney, Australia;and the Department of Accounting, The University of Melbourne, Australia. Matt Pinnuck thanks Frank Russell Company and the Investment and Financial Services Associations (formerly Australian Investment Managers Association) for the provision of portfolio holdings data employed in the study. |
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| Abstract: | Abstract: This study examines the extent to which seasonal variation arises across calendar months in the performance of active Australian equity managers. While it is well documented that there is seasonality in equity market returns, it is unknown whether calendar month variation in managed fund performance exists. Employing a unique database of monthly stock holdings, we find evidence consistent with systematic variation in the risk-adjusted performance of active investment managers over the calendar year. Specifically, we find fund performance is higher in the months when corporate earnings are announced. We also document that the performance of fund managers is lower in the months preceding the tax year-end. Finally, we report evidence that investment manager performance is greater than normal in December, possibly due to both window dressing and the Christmas holiday effect. These findings have important implications for investors attempting to exploit anomalies in fund returns by timing their entry and exit points from active equity funds. |
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| Keywords: | seasonality portfolio holdings managed fund returns tax-loss selling corporate announcements |
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