Characterising persistence of performance amongst South African general equity unit trusts
This study analyses the relative performance of general equity unit trusts from 1980 to 1999, using a database that has been verified for accuracy and is free of survivorship bias. It characterises the behaviour of performance persistence in order to explain the conflicting results of previous persistence studies and to provide a framework for further research into the causes of persistence. This research shows that the relationship between past and future performance rankings is positive, but weak. The results of persistence studies are highly sensitive to the length of the holding period used to evaluate performance and to the time period covered in the analysis. As the holding period lengthens, the persistence studies are highly sensitive to the length of the holding period used to evaluate performance and to the time period covered in the analysis. As the holding period lengthens, the persistence results become more sensitive to the beginning date and ending date of the period under examination.
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