A Test of the Persistence in the Performance of UK Managed Funds
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. Copyright Blackwell Publishers Ltd 1999.Download Info
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Bibliographic Info
Article provided by Wiley Blackwell in its journal Journal of Business Finance & Accounting.
Volume (Year): 26 (1999-06)
Issue (Month): 5&6 ()
Pages: 559-593
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Keith Cuthbertson & Dirk Nitzsche & Niall O' Sullivan, 2004. "UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck," Money Macro and Finance (MMF) Research Group Conference 2004 55, Money Macro and Finance Research Group.
- Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008.
"Italian Equity Funds: Efficiency and Performance Persistence,"
Working Papers
0817, University of Brescia, Department of Economics.
- Roberto Casarin & Andrea Piva & Loriana Pelizzon, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," The IUP Journal of Financial Economics, IUP Publications, vol. 0(1), pages 7-28, March.
- Loriana Pelizzon & Roberto Casarin & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 2008_12, Department of Economics, University of Venice "Ca' Foscari".
- Rob Bauer & Rogér Otten & Alireza Tourani Rad, 2006.
"New Zealand mutual funds: measuring performance and persistence in performance,"
Accounting and Finance,
Accounting and Finance Association of Australia and New Zealand, vol. 46(3), pages 347-363.
- Bauer, Rob & Otten, Róger & Tourani Rad, Alireza, 2006. "New Zealand mutual funds: measuring performance and persistence in performance," Open Access publications from Maastricht University urn:nbn:nl:ui:27-19325, Maastricht University.
- Dirk Nitzsche & Keith Cuthbertson & Niall O'Sullivan, 2005. "Mutual Fund Performance: Skill Or Luck?," Money Macro and Finance (MMF) Research Group Conference 2005 4, Money Macro and Finance Research Group.
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