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| Release | : 2015 |
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Download Is There Long-Term Persistence in Mutual Fund Performance? Book in PDF, ePub and Kindle
In this paper, I analyze long-term performance persistence for a sample of 6525 US equity mutual funds between 1970 and 2013. I test for evidence of five-year performance persistence by using a non-parametric method involving the construction of contingency tables. I also apply a parametric cross-sectional regression of fund performance on past fund performance. I conduct the tests with four different performance measures, namely continuous returns, Jensen's alphas, Four Factor alphas and Sharpe Ratios. I find evidence for performance persistence across all performance measures and with both methodologies. Four Factor alphas show the most significant evidence. The observed persistence is to a great extent driven by funds that consistently perform below or equal to the median of their peers during the analyzed time periods. Performance persistence is especially pronounced during periods where the market shows a sustained upward or downward trend. The results are robust for longer time horizons up to ten years. I find reversals in performance to occur especially when the testing period is to a large extent characterized by a sharp negative market movement, such as the aftermath of the technology bubble in the early years of the 21st century. Past performance over longer time periods can therefore be considered for the evaluation of a long-term investment in a mutual fund, but should not be used as a standalone criterion.
| Author | : Evangelos Benos |
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| Total Pages | : 31 |
| Release | : 2009 |
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Download Short Term Persistence in Mutual Fund Market Timing and Stock Selection Abilities Book in PDF, ePub and Kindle
Using daily return data from 448 actively managed mutual funds over a recent 9-year period, we look for persistence, over two consecutive quarters, in the ability of funds to select individual stocks and time the market. That is, we decompose overall fund performance into excess returns resulting from stock selection and timing abilities and we separately test for persistence in each ability. We find persistence in the ability to time the market only among well performing funds and in the ability to select stocks only among the very best and worst performers. The existing literature patterns appear only when funds are ranked by their overall performance, which includes stock selection, market timing and fees. With respect to overall performance, there is persistence among most poorly performing and only the top well performing funds. Furthermore, the profitability of a winner-picking strategy depends on the rebalancing frequency and potentially the size of the investment. Small investors cannot profit, whereas large investors can take advantage of the class A share fee structure and realize positive abnormal returns by annually rebalancing their portfolios.
| Author | : s P. B. Bollen |
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| Release | : 2010 |
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Download Short-Term Persistence in Mutual Fund Performance Book in PDF, ePub and Kindle
We estimate parameters of standard stock selection and market timing models using daily mutual fund returns and quarterly measurement periods. We then rank funds quarterly by abnormal return and measure the performance of each decile the following quarter. The average abnormal return of the top decile in the post-ranking quarter is 39 basis points. The post-ranking abnormal return disappears when funds are evaluated over longer periods. These results suggest that superior performance is a short-lived phenomenon that is observable only when funds are evaluated several times a year.
| Author | : Javier Vidal-García |
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| Total Pages | : 37 |
| Release | : 2017 |
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Download A Comparison of Short-Term Persistence of Mutual Fund Performance in Europe Book in PDF, ePub and Kindle
The mutual fund industry in Europe has experienced significant growth during recent years as a consequence of the integration of its markets. However, the European mutual fund industry is still an unexplored area of research with only a few significant articles compared to the US industry. In this article, we examine the short-term persistence in mutual fund performance in Europe between 1990 and 2015. Using a sample of daily survivorship bias-free data on the five most important European mutual fund countries, we find statistically significant persistence in the post-ranking quarter across different performance models for all countries. This evidence is present across all deciles including the top-decile and bottom-decile mutual funds.
| Author | : Andreas Fagereng |
| Publisher | : International Monetary Fund |
| Total Pages | : 69 |
| Release | : 2018-07-27 |
| Genre | : Business & Economics |
| ISBN | : 1484370066 |
Download Heterogeneity and Persistence in Returns to Wealth Book in PDF, ePub and Kindle
We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway’s administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their financial assets (a standard deviation of 14%) and on their net worth (a standard deviation of 8%). Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth: moving from the 10th to the 90th percentile of the financial wealth distribution increases the return by 3 percentage points - and by 17 percentage points when the same exercise is performed for the return to net worth. Fourth, wealth returns exhibit substantial persistence over time. We argue that while this persistence partly reflects stable differences in risk exposure and assets scale, it also reflects persistent heterogeneity in sophistication and financial information, as well as entrepreneurial talent. Finally, wealth returns are (mildly) correlated across generations. We discuss the implications of these findings for several strands of the wealth inequality debate.
| Author | : Zekeriya Eser |
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| Total Pages | : 209 |
| Release | : 2007 |
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| ISBN | : 9781109969399 |
Download Persistence in Mutual Fund Performance Book in PDF, ePub and Kindle
Keywords. Persistence, Calendar-Related Distortions, Robot Funds, Performance Attribution Models, Momentum Factors
| Author | : Peter Lückoff |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 604 |
| Release | : 2011-01-13 |
| Genre | : Business & Economics |
| ISBN | : 3834927805 |
Download Mutual Fund Performance and Performance Persistence Book in PDF, ePub and Kindle
Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.
| Author | : Javier Vidal-García |
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| Total Pages | : 39 |
| Release | : 2015 |
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Download The Short-Term Persistence of International Mutual Fund Performance Book in PDF, ePub and Kindle
This paper examines the short term persistence in performance of equity mutual funds around the world between 1990 and 2013. Using a large survivorship bias-free sample for 35 countries, we document strong evidence of persistence in daily mutual fund returns over quarterly measurement periods. We rank countries by abnormal return and estimate the performance of each country the following quarter. We find statistically and economically significant performance persistence, although persistence is much more pronounced for the top and bottom countries. The post-ranking abnormal return disappears when performance is examined over longer time periods. Thus, our results confirm that superior performance is a short-lived phenomenon.
| Author | : F. Detzel |
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| Release | : 2001 |
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Download Explaining Persistence in Mutual Fund Performance Book in PDF, ePub and Kindle
This study investigates the determinants of persistence in mutual fund performance. Previous research that uses factor-mimicking portfolios and characteristic benchmarks to model fund performance fails to explain all the persistence in fund returns. This study employs a model that directly relates mutual fund returns to the characteristics of the stocks held by funds. Adjusting fund returns for the size of the stocks in which funds invest and financial ratios intended to capture fund manager investment styles explains all the persistence in mutual fund returns from 1976-1985, the period in which persistence is most prevalent.
| Author | : Dunhong Jin |
| Publisher | : International Monetary Fund |
| Total Pages | : 46 |
| Release | : 2019-11-01 |
| Genre | : Business & Economics |
| ISBN | : 1513519492 |
Download Swing Pricing and Fragility in Open-end Mutual Funds Book in PDF, ePub and Kindle
How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
