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While comparing active funds against their respective benchmark indices is a typical practice to evaluate their performance, persistence is an additional test that can reveal fund managers’ skills in different market environments. We measure the performance persistence of active funds that outperformed their peers and benchmarks over consecutive three- and five-year periods, and we analyze their transition matrices over subsequent periods. Overall results suggested only a minority of Australian high-performing funds persisted in outperforming their respective benchmarks or consistently stayed in their respective top quartiles for three or five consecutive years.
Measuring Performance Persistence of Australian
Research suggests that actively managed winning streaks are often short lived. Twice a year,
S&P Dow Jones Indices releases the Persistence Scorecard, which tracks the performance
consistency of U.S. actively managed funds over consecutive years. We have consistently
observed that relatively few U.S. active funds can stay at the top for years. In this report, we
use similar matrices to measure the persistence of Australian active funds that outperform their benchmarks and their peers over three- and five-year periods. Our study follows the fund
categories and benchmarks defined in the SPIVA® Australia Scorecard, a biannual report that
tracks the number of active Australian funds that beat their comparable benchmarks over
short- and long-term horizons.
To find out more about S&P Dow Jones Indices Australian Persistence Scorecard: Year-End 2021, please visit S&P Dow Jones Indices webpage here.
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Disclaimer: This article is opinion, not advice. It is not possible to invest directly in an index. Exposure to an asset class represented by an index may be available through investable instruments based on that index. S&P Dow Jones Indices does not sponsor, endorse, sell, promote or manage any investment fund or other investment vehicle that is offered by third parties and that seeks to provide an investment return based on the performance of any index. S&P Dow Jones Indices makes no assurance that investment products based on the index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor, and S&P Dow Jones Indices makes no representation regarding the advisability of investing in any such investment fund or other investment vehicle.