Seasonality in Fund Performance: An Examination of the Portfolio Holdings and Trades of Investment Managers

37 Pages Posted: 28 Dec 2003

See all articles by Matt Pinnuck

Matt Pinnuck

University of Melbourne - Department of Accounting and Business Information Systems

David R. Gallagher

Rozetta Institute

Multiple version iconThere are 2 versions of this paper

Date Written: December 2003

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.

Keywords: Seasonality, Portfolio Holdings, Managed Fund Returns, Tax-Loss Selling, Corporate Announcements

JEL Classification: G23

Suggested Citation

Pinnuck, Matthew and Gallagher, David R., Seasonality in Fund Performance: An Examination of the Portfolio Holdings and Trades of Investment Managers (December 2003). Available at SSRN: https://ssrn.com/abstract=480525 or http://dx.doi.org/10.2139/ssrn.480525

Matthew Pinnuck (Contact Author)

University of Melbourne - Department of Accounting and Business Information Systems ( email )

Victoria
Melbourne, Victoria 3010 3010
Australia

David R. Gallagher

Rozetta Institute ( email )

Sydney

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