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- Publisher
- Taylor & Francis
- Copyright
- © 1999 Taylor and Francis Group, LLC
- ISSN
- 2077-0227
- eISSN
- 1029-3523
- DOI
- 10.1080/10293523.1999.11082395
- Publisher site
- See Article on Publisher Site
Abstract
JduP Smith and AJ van der Merwe Are today's winning institutions tomorrow's losers?* 1. INTRODUCTION investment results achieved for pension funds by professional investment institutions in South Africa. The efficient market hypothesis implies that past performance is no guide to future performance. In order to prove that there is persistence in returns, Nevertheless there is a whole industry in South Africa techniques that adjust performance for differences in devoted to tracking, reporting and ranking the past risk and survival bias have to be applied. However, performance of unit trusts and pension funds. This returns unadjusted for differences in risk may be used seems to imply that there is a belief that not only does if the intention is to prove that there is no persistence active management outperform passive management, in returns, as has been done in this paper. The but also the belief that persistence exists; the best results based on unadjusted independent returns are performing funds and fund managers in the past are reported here. likely to be the best performing funds and managers in the future. The decision to change from managing The results of an elementary simulation approach are institution based on relative historic performance,
Journal
Investment Analysts Journal – Taylor & Francis
Published: Jan 1, 1999