The present study extends the Australian fund performance persistence literature through the use of five performance metrics: raw returns, the Sharpe ratio, the single-factor model and two multifactor models, the Carhart (1997) model and the Gruber (1996) model, in analysis of Australian retail fund performance over the period 1991-2000. Analysis suggests that performance persistence is sensitive to fund objective and appears to be driven by inadequate adjustment for risk. Copyright AFAANZ, 2004..

This paper examines the link between current-quarter cash flows and both past performance and past cash flows using a sample of Australian retail superannuation fund data (managed growth and managed stable) drawn from the period 1994 to 2000. This is a rapidly growing sector within the superannuation industry and it reflects investment behaviour of smaller investors rather than institutions and large corporations. Using both the Gruber (1996) approach and panel-data analysis we find a positive relationship between past performance and current-quarter cash flows as well as evidence of persistence in cash flows over time. Panel-data analysis also identifies a positive relationship between current net cash flows and past performance and cash inflows as well as a negative relationship between current net cash flows and past outflows. Market-wide growth in the retail superannuation sector over the study period does not appear to be driving these results.