Australian Retail Superannuation Fund Performance Persistence

Bilson, C, Heaney, R and Frino, A 2005, 'Australian Retail Superannuation Fund Performance Persistence', Accounting and Finance, vol. 45, no. 1, pp. 25-42.


Document type: Journal Article
Collection: Journal Articles

Title Australian Retail Superannuation Fund Performance Persistence
Author(s) Bilson, C
Heaney, R
Frino, A
Year 2005
Journal name Accounting and Finance
Volume number 45
Issue number 1
Start page 25
End page 42
Total pages 18
Publisher Blackwell Publishing
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 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.
Subject Financial Economics
Keyword(s) performance persistence
retail fund
survivorship bias
DOI - identifier 10.1111/j.1467-629x.2004.00121.x
Copyright notice © AFAANZ
ISSN 0810-5391
Versions
Version Filter Type
Altmetric details:
Access Statistics: 225 Abstract Views  -  Detailed Statistics
Created: Mon, 25 Jan 2010, 09:06:25 EST by Catalyst Administrator
© 2014 RMIT Research Repository • Powered by Fez SoftwareContact us