Sector Fund Performance

Vijh, Anand M.; Tiwari, Ashish

doi:10.2139/ssrn.293979

Download This Paper

Open PDF in Browser

Add Paper to My Library

Sector Fund Performance

University of Iowa Working Paper

40 Pages Posted: 14 Dec 2001

See all articles by Anand M. Vijh

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: 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