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Financial Management Dissertations

S/F/17. Performance Persistence of Russian Equity Unit Trusts

WORDS:
14200
DATE:
2002
PRICE:
149.99 GBP

Over the years academic researches and investors have not only been concerned about whether a unit trust is a higher than average performer over a particular period but also whether it remains to be superior, thus, whether the persistent high performance exists. Whilst the concept of persistence of performance is of interest to unit trust investors from a practical point of view it also attracts academicians because of its implication for the efficient market hypothesis (EMH). This dissertation is based on Russian sample data set of monthly returns from all equity unit trusts existing at least 20 months and available in the Centre of Collective Investment database. I analyze the relative performance of the funds and determine whether an impressive past performance is indicative to any degree of the fund's subsequent performance. In particular, I examine the persistence in performance in the quarterly and half - yearly periods based on four major empirical tests. These are contingency table analysis of winners and losers and Chi square tests on these tables, ordinary least squares regression analysis (OLS) of both raw returns and CAPM returns adjusted for risk and Spearman Rank Correlation Coefficient analysis (SRCC) of ranking based on performance in successive period. If past performance is an indicator of future results it is robust to except superior managers in the first period to continue to exhibit higher than average performance in the second test and, and so on. Overall, I find that performance persistence in raw returns does not exist in the available sample of funds' data in both quarterly and half - yearly periods studied. Considering, risk - adjusted measures of unit trusts' returns it can be suggested that the data at the moment does not allow to make unambiguous decision whether past performance has a clear pattern of influence on future period performance.

 

KEYWORDS: f, performance, persistence, russian, equity, unit, trusts,

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