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Characterising persistence of performance amongst South African general equity unit trusts

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  • Collinet, Lance
  • Firer, Colin

Abstract

This study analyses the relative performance of general equity unit trusts from 1980 to 1999 using a database that has been verified for accuracy and is free of survivorship bias. It characterises the behaviour of performance persistence in order to explain the conflicting results of previous persistence studies. A positive but weak relationship was found between past and future performance rankings. As the holding period lengthens, the persistence results became more sensitive to the beginning date and ending date of the period under examination. Regardless of the ending date chosen, persistence of winning funds and losing funds was evident when holding periods of 6 months were used. Persistence was particularly evident during the 1995-1999 period. However, even in this period, there were situations where rankings from one holding period to the next appeared random and situations where rankings reversed. Although individual unit trusts did not perform consistently over multiple holding periods, when using a trading strategy of buying the top performing fund over the last 6 months and holding it for 6 months, it was shown that, in most cases, an investor would have earned a return over 5 years that beat the average return of all general equity unit trusts after taking switching costs into account.

Suggested Citation

  • Collinet, Lance & Firer, Colin, 2003. "Characterising persistence of performance amongst South African general equity unit trusts," Omega, Elsevier, vol. 31(6), pages 523-538, December.
  • Handle: RePEc:eee:jomega:v:31:y:2003:i:6:p:523-538
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    References listed on IDEAS

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    1. Grinblatt, Mark & Titman, Sheridan, 1993. "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns," The Journal of Business, University of Chicago Press, vol. 66(1), pages 47-68, January.
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    9. Grinblatt, Mark & Titman, Sheridan & Wermers, Russ, 1995. "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior," American Economic Review, American Economic Association, vol. 85(5), pages 1088-1105, December.
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    Cited by:

    1. Dariusz Filip, 2011. "Performance Persistence of Equity Funds in Hungary," Contemporary Economics, University of Finance and Management in Warsaw, vol. 5(1), March.
    2. Krzysztof Jackowicz & Oskar Kowalewski & Łukasz Kozłowski, 2011. "The Short and Long Term Performance Persistence in the Central European Banking Industry," Contemporary Economics, University of Finance and Management in Warsaw, vol. 5(4), December.
    3. repec:nbp:nbpbik:v:48:y:2017:i:4:p:343-374 is not listed on IDEAS

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