A TEST OF PERSISTENCE IN THE PERFORMANCE OF NEW ZEALAND AND AUSTRALIAN EQUITY MUTUAL FUNDS

Abstract

All Fourteen New Zealand and twelve Australian equity mutual funds available to New Zealand investors from January 1988 through June 1994 were studied to determine if past relative performance could help to predict subsequent relative performance. These tests were done on annual, half yearly, and quarterly raw returns and risk adjusted returns on a raw return and a risk adjusted basis. Strong similarities with some US studies are found which suggest that the Efficient Market Hypothesis in terms of intertemporal ranking cannot be rejected. A TEST OF PERSISTENCE IN THE PERFORMANCE OF NEW ZEALAND AND AUSTRALIAN EQUITY MUTUAL FUNDS