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Persistence In Mutual Fund Returns Revisited
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Book Synopsis Persistence in Mutual Fund Returns Revisited by : Amitabh S. Dutta
Download or read book Persistence in Mutual Fund Returns Revisited written by Amitabh S. Dutta and published by . This book was released on 2002 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: There has been much debate about mutual fund performance - especially about the persistence of excess returns. Prior research on persistence in performance has examined samples of mutual funds in various ways. This study examines the returns on a sample of growth equity mutual funds over the period 1988-1996. The determination of winning/losing is based on a fund outperforming/underperforming the Samp;P 500 as the market benchmark. The sample of mutual funds examined over the study period shows both significant positive performance as well as persistence in performance. Persistence in positive performance outweighs persistence in negative performance.
Book Synopsis Did Mutual Fund Return Persistence Persist? by : James J. Choi
Download or read book Did Mutual Fund Return Persistence Persist? written by James J. Choi and published by . This book was released on 2020 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: A seminal study of persistence in mutual fund performance is Carhart (1997), who found that U.S. equity mutual funds' past-year returns positively predict their raw excess return and one-factor alpha over the next year. Based on these results, an investor may believe that she can earn higher returns by buying mutual funds with high past-year returns. We are able to replicate Carhart's results in his 1963-1993 sample period, but we find that significant performance persistence does not exist in the 1994-2018 period. Even during the 1963-1993 period, performance persistence weakened in later years. The disappearance of significant performance persistence is due to lower returns to favorable styles, as well as less favorable style tilts and increased style-adjusted underperformance by past winning funds
Book Synopsis On Persistence in Mutual Fund Performance by : Mark M. Carhart
Download or read book On Persistence in Mutual Fund Performance written by Mark M. Carhart and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a sample free of survivor bias, I demonstrate that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual funds' mean and risk-adjusted returns. Hendricks, Patel and Zeckhauser's (1993) quot;hot handsquot; result is mostly driven by the one-year momentum effect of Jegadeesh and Titman (1993), but individual funds do not earn higher returns from following the momentum strategy in stocks. The only significant persistence not explained is concentrated in strong underperformance by the worst-return mutual funds. The results do not support the existence of skilled or informed mutual fund portfolio managers.
Book Synopsis Explaining Persistence in Mutual Fund Performance by : F. Detzel
Download or read book Explaining Persistence in Mutual Fund Performance written by F. Detzel and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Persistence in Style-Adjusted Mutual Fund Returns by : Melvyn Teo
Download or read book Persistence in Style-Adjusted Mutual Fund Returns written by Melvyn Teo and published by . This book was released on 2013 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: The literature on mutual fund persistence took a hit with the finding that one-year stock momentum and expense ratios account for most of the persistence in mutual fund performance (Carhart, 1992; Carhart, 1997). However, since equity mutual funds are grouped into styles (e.g., large value, small growth, mid-cap growth, etc.) and are often confined to trading stocks within their style, one should measure fund performance relative to style when investigating managerial ability. Using CRSP mutual fund data and a methodology similar to Carhart (1997), we find that differences in style-adjusted fund returns persist for up to six years. Neither one-year momentum nor expense ratios explain our results. Our results are also robust to controlling for size, book-to-market equity, load, and total net assets. Since manager tenure is about four years, our results suggest that managerial ability may not be as dead as it seems.
Book Synopsis Persistence & Survivorship Bias in Mutual Funds: An Indian Experience by : Manju Punia Chopra
Download or read book Persistence & Survivorship Bias in Mutual Funds: An Indian Experience written by Manju Punia Chopra and published by LAP Lambert Academic Publishing. This book was released on 2012-03-01 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study utilizes few selected performance evaluation techniques on a sample of 36 Indian mutual fund schemes, over the period of January 2001 to September 2009. The broad based S&P CNX NIFTY is used in the study as a benchmark. The results concluded that these 36 mutual fund managers were on average not able to predict security prices well enough to outperform a buy-the-market-and-hold policy. There was very little evidence of any individual fund being able to do significantly better than which was expected from random chance. On the other hand, no evidence of curvature of the characteristic lines, indicating superior timing skill, is found for any of the funds. In addition, the study offers little evidence of persistence in either the stock selection ability or the timing ability of the fund managers. Mutual fund attrition can create problems for a researcher because funds disappear due to presumably poor performance resulting into bias in research outcome. In this study we also revisit the mutual fund performance, including the disappeared mutual fund schemes during sample period. By tracking disappeared funds, the study does not find any evidence of survivorship bias.
Book Synopsis Heterogeneity and Persistence in Returns to Wealth by : Andreas Fagereng
Download or read book Heterogeneity and Persistence in Returns to Wealth written by Andreas Fagereng and published by International Monetary Fund. This book was released on 2018-07-27 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Persistence in Mutual Fund Performance by : Zekeriya Eser
Download or read book Persistence in Mutual Fund Performance written by Zekeriya Eser and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On persistence in mutual fund performance by : M M Carhart
Download or read book On persistence in mutual fund performance written by M M Carhart and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Persistence of Mutual Fund Performance by : Mark Grinblatt
Download or read book The Persistence of Mutual Fund Performance written by Mark Grinblatt and published by . This book was released on 1991 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Persistence in Mutual Fund Performance by : Zekeriya Eser
Download or read book Persistence in Mutual Fund Performance written by Zekeriya Eser and published by . This book was released on 2007 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keywords. Persistence, Calendar-Related Distortions, Robot Funds, Performance Attribution Models, Momentum Factors
Book Synopsis The Persistence of Mutual Funds Performance by : Dimitris Kenourgios
Download or read book The Persistence of Mutual Funds Performance written by Dimitris Kenourgios and published by . This book was released on 2005 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the past performances of mutual funds as a criterion for investors' future choices. In particular, it examines if mutual funds (which invested in the U.K. stock market) that have presented the highest return through one or two years continue the same high performances through the future years. We start our analysis by calculating the annually returns of all funds and the Jensen's measure of performance (in the context of CAPM). Moreover, we test persistence by constructing two-way tables showing the successful performance over successive two-year and one year period. Afterwards, we simulate a strategy of investing in the top performing mutual funds during the preceding two years. We conclude that in 1990s persistence is weak. We do not find strong evidence that past returns provide information about future returns. As most of the results in relevant studies, our results may be subject to survivorship bias, because we do not include in our sample funds that have ceased to exist or merged or started their operation after 1990 (they do not have complete observations).
Book Synopsis Short-Term Persistence in Mutual Fund Performance by : s P. B. Bollen
Download or read book Short-Term Persistence in Mutual Fund Performance written by s P. B. Bollen and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Return Persistence, Risk Dynamics and Momentum Exposures of Equity and Bond Mutual Funds by : Martin Martens
Download or read book Return Persistence, Risk Dynamics and Momentum Exposures of Equity and Bond Mutual Funds written by Martin Martens and published by . This book was released on 2008 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: To analyze persistence in mutual fund performance, it is common practice to construct portfolios of funds based on past fund returns. Using a large sample of equity and bond funds, we show that this approach introduces dynamic exposures to common stock and bond risk factors. Correcting for risk dynamics substantially reduces the level of persistence in risk-adjusted performance and drives out the explanatory power of stock and bond momentum factors.
Book Synopsis Survivor Bias and Persistence in Mutual Fund Performance by : Mark Monroe Carhart
Download or read book Survivor Bias and Persistence in Mutual Fund Performance written by Mark Monroe Carhart and published by . This book was released on 1995 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Short Term Persistence in Mutual Fund Market Timing and Stock Selection Abilities by : Evangelos Benos
Download or read book Short Term Persistence in Mutual Fund Market Timing and Stock Selection Abilities written by Evangelos Benos and published by . This book was released on 2009 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Is There Long-Term Persistence in Mutual Fund Performance? by :
Download or read book Is There Long-Term Persistence in Mutual Fund Performance? written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
