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

27 Pages Posted: 3 Oct 2006

See all articles by David R. Gallagher

David R. Gallagher

Rozetta Institute

Matt Pinnuck

University of Melbourne - Department of Accounting and Business Information Systems

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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.

Suggested Citation

Gallagher, David R. and Pinnuck, Matthew, Seasonality in Fund Performance: An Examination of the Portfolio Holdings and Trades of Investment Managers. Journal of Business Finance & Accounting, Vol. 33, No. 7-8, pp. 1240-1266, September/October 2006, Available at SSRN: https://ssrn.com/abstract=934606 or http://dx.doi.org/10.1111/j.1468-5957.2006.00018.x

David R. Gallagher

Rozetta Institute ( email )

Sydney

Matthew Pinnuck (Contact Author)

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

Victoria
Melbourne, Victoria 3010 3010
Australia

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