New Zealand Mutual Funds: Measuring Performance and Persistence in Performance

17 Pages Posted: 18 Aug 2006

See all articles by Rob Bauer

Rob Bauer

Maastricht University

Rogér Otten

Maastricht University - Limburg Institute of Financial Economics (LIFE)

Alireza Tourani-Rad

Auckland University of Technology - Faculty of Business & Law

Abstract

The present study investigates the performance of New Zealand mutual funds using a survivorship-bias controlled sample of 143 funds for the period of 1990-2003. Our overall results suggest that New Zealand mutual funds have not been able to provide out-performance. Alphas for equity funds, both domestic and international, are insignificantly different from zero, whereas balanced funds underperform significantly. There is no evidence of timing abilities by the fund managers. In the short term, significant evidence of return persistence for all funds is observed. This persistence, however, is driven by icy hands rather than hot hands. Finally, we find the risk-adjusted performance for equity funds to be positively related to fund size and expense ratio and negatively related to load charges.

Suggested Citation

Bauer, Rob and Otten, Rogér and Tourani-Rad, Alireza, New Zealand Mutual Funds: Measuring Performance and Persistence in Performance. Accounting and Finance, Vol. 46, No. 3, pp. 347-363, September 2006. Available at SSRN: https://ssrn.com/abstract=925307 or http://dx.doi.org/10.1111/j.1467-629X.2006.00171.x

Rob Bauer (Contact Author)

Maastricht University ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands
+31 43 3883871 (Phone)

Rogér Otten

Maastricht University - Limburg Institute of Financial Economics (LIFE) ( email )

P.O. Box 616
Maastricht, 6200 MD
Netherlands
+31 43 388 3838 (Phone)
+31 43 388 4875 (Fax)

HOME PAGE: http://www.fdewb.unimaas.nl/finance/faculty/Otten

Alireza Tourani-Rad

Auckland University of Technology - Faculty of Business & Law ( email )

3 Wakefield Street
Private Bag 92006
Auckland Central 1020
New Zealand

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