Australian retail fund performance persistence |
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| Authors: | Chris Bilson Angela Frino Richard Heaney |
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| Affiliation: | School of Finance and Applied Statistics, Faculty of Economics and Commerce, Australian National University, Canberra 0200, Australia;;School of Economics and Finance, Business, Royal Melbourne Institute of Technology University, Melbourne 3000, Australia |
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| 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. |
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| Keywords: | Retail fund Performance persistence Survivorship bias |
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