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A Test of the Persistence in the Performance of UK Managed Funds

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Author Info

  • D. E. Allen

    (Edith Cowan University, Joondalup, Western Australia,)

  • M. L. Tan

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.

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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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Handle: RePEc:bla:jbfnac:v:26:y:1999-06:i:5&6:p:559-593

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X

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Cited by:
  1. 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.
  2. Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 0817, University of Brescia, Department of Economics.
  3. 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.
  4. 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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