A new perspective on performance persistence: evidence using portfolio holdings

Scott Bennett, David R. Gallagher, Graham Harman, Geoffrey J. Warren, Yuki Xi

Research output: Contribution to journalArticleResearchpeer-review

Abstract

We investigate the existence and sources of performance persistence for Australian equity funds, using monthly portfolio holdings data. We find significant persistence among outperforming rather than underperforming funds, which is primarily related to security selection skill, and is associated with growth-orientated funds. Meanwhile, the relation between persistence and momentum is secondary and nuanced. Further, persistence largely derives from existing holdings, while subsequent active trading contributes only moderately positive returns for both outperforming and underperforming funds. We also find that persistence fades beyond 6 months and vanishes after 24 months. Our findings differ from those for U.S. equity funds and previous Australian studies, implying that persistence may vary with market context and its identification may depend on data availability.

LanguageEnglish
Pages91-125
Number of pages35
JournalAccounting and Finance
Volume58
Issue number1
DOIs
Publication statusPublished - Mar 2018

Fingerprint

Persistence
Performance persistence
Equity
Security selection
Momentum

Keywords

  • Active management
  • Performance evaluation
  • Performance persistence
  • Portfolio holdings
  • Trades

Cite this

Bennett, S., Gallagher, D. R., Harman, G., Warren, G. J., & Xi, Y. (2018). A new perspective on performance persistence: evidence using portfolio holdings. Accounting and Finance, 58(1), 91-125. https://doi.org/10.1111/acfi.12212
Bennett, Scott ; Gallagher, David R. ; Harman, Graham ; Warren, Geoffrey J. ; Xi, Yuki. / A new perspective on performance persistence : evidence using portfolio holdings. In: Accounting and Finance. 2018 ; Vol. 58, No. 1. pp. 91-125.
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Bennett, S, Gallagher, DR, Harman, G, Warren, GJ & Xi, Y 2018, 'A new perspective on performance persistence: evidence using portfolio holdings', Accounting and Finance, vol. 58, no. 1, pp. 91-125. https://doi.org/10.1111/acfi.12212

A new perspective on performance persistence : evidence using portfolio holdings. / Bennett, Scott; Gallagher, David R.; Harman, Graham; Warren, Geoffrey J.; Xi, Yuki.

In: Accounting and Finance, Vol. 58, No. 1, 03.2018, p. 91-125.

Research output: Contribution to journalArticleResearchpeer-review

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