New Zealand mutual funds: measuring performance and persistence in performance

New Zealand mutual funds: measuring performance and persistence in performance 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Accounting & Finance Wiley

New Zealand mutual funds: measuring performance and persistence in performance

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Publisher
Wiley Subscription Services, Inc., A Wiley Company
Copyright
Copyright © 2006 Wiley Subscription Services, Inc., A Wiley Company
ISSN
0810-5391
eISSN
1467-629X
D.O.I.
10.1111/j.1467-629X.2006.00171.x
Publisher site
See Article on Publisher Site

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.

Journal

Accounting & FinanceWiley

Published: Sep 1, 2006

References

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