Short Term Persistence In Mutual Fund Performance PDF Download
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| Author | : Evangelos Benos |
| Publisher | : |
| Total Pages | : 31 |
| Release | : 2009 |
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| ISBN | : |
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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| Total Pages | : |
| 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 |
| Publisher | : |
| Total Pages | : 37 |
| Release | : 2017 |
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| ISBN | : |
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 | : Daniel Giamouridis |
| Publisher | : |
| Total Pages | : 26 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
Download Short-Term Persistence in Greek Mutual Fund Performance Book in PDF, ePub and Kindle
This paper investigates the short-term performance of Greek mutual funds. We hypothesise that the returns earned by mutual fund managers are either due to their capacity in selecting successful investments ex-ante, i.e. 'selectivity', or due to their ability to increase (decrease) their exposure to market risk prior to a bullish (bearish) market, i.e. 'market timing'. Contrary to prior studies in the Greek mutual fund industry we set up our screening processes so that both stock picking and market timing ability could be identified. We carry out a battery of tests - non-parametric and parametric - to test our hypotheses. Our analysis shows that mutual fund performance does not persist over short term horizons of any kind, i.e. monthly, bi-monthly, and quarterly. These findings are robust when we use alternative settings in our empirical experiments.
| Author | : |
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| Total Pages | : |
| Release | : 2015 |
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| ISBN | : |
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 | : Javier Vidal-García |
| Publisher | : |
| Total Pages | : 39 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
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 | : Marno Verbeek |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
Download Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance Book in PDF, ePub and Kindle
Using monthly return data of more than 6,400 US equity mutual funds we investigate short-run performance persistence over the period 1984-2003. We sort funds into rank portfolios based on past performance, and evaluate the portfolios' out-of-sample performance. To cope with short ranking periods, we employ an empirical Bayes approach to measure past performance more efficiently. Our main finding is that when funds are sorted into decile portfolios based on 12-month ranking periods, the top decile of funds earns a statistically significant, abnormal return of 0.26 percent per month. This effect persists beyond load fees, and is mainly concentrated in relatively young, small cap/growth funds.
| Author | : Jinlin Li |
| Publisher | : |
| Total Pages | : 62 |
| Release | : 2015 |
| Genre | : Investment analysis |
| ISBN | : |
Download Short-term Persistence in U.S. Equity Mutual Fund Performance Book in PDF, ePub and Kindle
| Author | : Jenke ter Horst |
| Publisher | : |
| Total Pages | : |
| Release | : 2006 |
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| ISBN | : |
Download Estimating Short-Run Persistence in Mutual Fund Performance Book in PDF, ePub and Kindle
This paper analyzes the properties of a number of estimators that can be used to estimate short-run persistence in mutual fund returns. When data for different funds are pooled, it is advisable to correct for cross-sectional differences in expected returns. However, these adjustments may induce biases in the estimated persistence coefficients and thus lead to spurious persistence. Theoretical derivations, combined with a Monte Carlo study, show that these biases cannot be neglected for the samples that are typically used in applied work. The short-run persistence is estiamted in two samples of US open-end mutual funds using quarterly returns for 1987-1994. An important conclusion is that the results are quite sensitive to the estimation method that is employed.
| 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.
