Seasonality in fund performance: An examination of the portfolio holdings and trades of investment managers

David R. Gallagher, Matt Pinnuck*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

13 Citations (Scopus)

Abstract

This study examines the extent to which seasonal variation arises across calendar months in the performance of active Australian equity managers. While it is well documented that there is seasonality in equity market returns, it is unknown whether calendar month variation in managed fund performance exists. Employing a unique database of monthly stock holdings, we find evidence consistent with systematic variation in the risk-adjusted performance of active investment managers over the calendar year. Specifically, we find fund performance is higher in the months when corporate earnings are announced. We also document that the performance of fund managers is lower in the months preceding the tax year-end. Finally, we report evidence that investment manager performance is greater than normal in December, possibly due to both window dressing and the Christmas holiday effect. These findings have important implications for investors attempting to exploit anomalies in fund returns by timing their entry and exit points from active equity funds.

Original languageEnglish
Pages (from-to)1240-1266
Number of pages27
JournalJournal of Business Finance and Accounting
Volume33
Issue number7-8
DOIs
Publication statusPublished - Sep 2006
Externally publishedYes

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