The persistence of unit trust performance for the period July 1985-June 1995

The purpose of this study was to determine whether any persistence of performance existed in the unit trust industry in South Africa over the ten-year period from July 1985 to June 1995. Calculations were done over different time periods (one-, two- and four-year periods) and using different definitions of superior performance (positive Jensen alphas or winner/loser phenomena). Results of nominal returns and risk-adjusted returns were also compared. Results obtained show that persistence in performance does exist, but that it is more of a 'loser' phenomenon than a 'winner' phenomenon.