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Sector Fund Performance

University of Iowa Working Paper

40 Pages Posted: 14 Dec 2001  

Anand M. Vijh

University of Iowa - Department of Finance

Ashish Tiwari

University of Iowa

Date Written: November 2001

Abstract

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.

Keywords: Sector funds, Sector rotation/timing, Fund Selection Ability, Performance Persistence

JEL Classification: G12

Suggested Citation

Vijh, Anand M. and Tiwari, Ashish, Sector Fund Performance (November 2001). University of Iowa Working Paper. Available at SSRN: https://ssrn.com/abstract=293979 or http://dx.doi.org/10.2139/ssrn.293979

Anand M. Vijh

University of Iowa - Department of Finance ( email )

Iowa City, IA 52242-1000
United States
319-335-0921 (Phone)
319-335-3609 (Fax)

Ashish Tiwari (Contact Author)

University of Iowa ( email )

Finance Department
Henry B. Tippie College of Business, 108 PBB
Iowa City, IA 52242
United States
(319) 353-2185 (Phone)
(319) 335-3690 (Fax)

HOME PAGE: http://www.biz.uiowa.edu/faculty/atiwari

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