A Test of the Persistence in the Performance of UK Managed Funds |
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Authors: | D. E. Allen,& M. L. Tan |
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Affiliation: | Edith Cowan University, Joondalup, Western Australia,;Citibank, Singapore |
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Abstract: | We employ a United Kingdom data set of weekly returns from a sample of investment trust companies available on the Datastream database. We analyse the relative performance of the funds and determine whether a 'good' (above-median), past-performance is indicative of future performance. Our study focuses on within sample relative performance. We examine persistence in performance in the short and long run based on a number of tests. Overall we find that both raw and risk-adjusted returns exhibit evidence of persistence in performance in the long run but not in the very short run. |
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Keywords: | UK managed funds performance persistence |
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