Sector Fund Performance
Anand M. Vijh
University of Iowa - Department of Finance
University of Iowa
University of Iowa Working Paper
Sector funds have grown into a nearly quarter-trillion dollar industry. This paper analyzes the performance of 607 actively managed stock sector funds listed on the CRSP Survivor-Bias Free US Mutual Fund Database during 1990-2000. We use a five-factor model and a portfolio regression technique to control for the look-ahead bias in performance measurement. We document three main results. First, sector funds as a group neither outperform nor underperform their benchmarks. Second, there is no evidence of persistence in sector fund performance. Third, sector fund investors as a group do not possess the ability to pick the winning sector funds or the winning sectors of the stock market.
Number of Pages in PDF File: 40
Keywords: Sector funds, Sector rotation/timing, Fund Selection Ability, Performance Persistence
JEL Classification: G12
Date posted: December 14, 2001
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