Seasonality in Fund Performance: An Examination of the Portfolio Holdings and Trades of Investment Managers
研究澳大利亚主动型股票基金经理的月度业绩是否存在季节性变化，发现业绩在企业盈利公告月较高、在税收年度结束前较低、在十二月因粉饰效应和圣诞假期效应而高于正常水平。
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.