A New Perspective on Performance Persistence: Evidence Using Portfolio Holdings

34 Pages Posted: 13 Oct 2013 Last revised: 21 Sep 2015

See all articles by Scott Bennett

Scott Bennett

Russell Investments

David R. Gallagher

Rozetta Institute

Graham Harman

Russell Investments

Geoff Warren

Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics

Lihui XI

Macquarie Graduate School of Management; Capital Markets CRC Limited

Multiple version iconThere are 2 versions of this paper

Date Written: September 19, 2015

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 six-months, and vanishes after 24-months. Differences between these findings and those for U.S. equity funds imply that the existence and nature of persistence may depend on market context.

Keywords: performance persistence, active management, portfolio holdings, trades

JEL Classification: G23

Suggested Citation

Bennett, Scott and Gallagher, David R. and Harman, Graham and Warren, Geoffrey J. and XI, Lihui, A New Perspective on Performance Persistence: Evidence Using Portfolio Holdings (September 19, 2015). Available at SSRN: https://ssrn.com/abstract=2339661 or http://dx.doi.org/10.2139/ssrn.2339661

Scott Bennett

Russell Investments ( email )

King Street
Sydney, WA NSW 2000
Australia

David R. Gallagher (Contact Author)

Rozetta Institute ( email )

Sydney

Graham Harman

Russell Investments ( email )

909 A Street
Tacoma, WA 98402
United States

Geoffrey J. Warren

Australian National University (ANU) - Research School of Finance, Actuarial Studies and Statistics ( email )

CBE Building 26C
Kingsley Sreet, Acton
Canberra, ACT 0200
Australia

Lihui XI

Macquarie Graduate School of Management ( email )

99 Talavera Road
Sydney, NSW 2109
Australia

Capital Markets CRC Limited ( email )

GPO Box 970
55 Harrington Street
Sydney, NSW 2001
Australia

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
101
Abstract Views
686
rank
271,648
PlumX Metrics