The authors thank an anonymous referee, Simone Brands, Stephen Brown, Philip Brown, Neil Fargher, and seminar participants at University of Technology, Sydney, and Monash University for helpful comments. They also acknowledge SIRCA for the provision of ASX Signal G SEATS data.
Seasonality in Fund Performance: An Examination of the Portfolio Holdings and Trades of Investment Managers
Version of Record online: 27 APR 2006
Journal of Business Finance & Accounting
Volume 33, Issue 7-8, pages 1240–1266, September/October 2006
How to Cite
Gallagher, . D. R. and Pinnuck, M. (2006), Seasonality in Fund Performance: An Examination of the Portfolio Holdings and Trades of Investment Managers. Journal of Business Finance & Accounting, 33: 1240–1266. doi: 10.1111/j.1468-5957.2006.00018.x
- Issue online: 27 APR 2006
- Version of Record online: 27 APR 2006
- (Paper received September 2004, revised version accepted December 2004. Online publication April 2006)
- portfolio holdings;
- managed fund returns;
- tax-loss selling;
- corporate announcements
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.