Choice for smart investment in mutual funds: Single- or multi-period performance ranks

Yeonjeong Ha and Haejune Oh

Finance Research Letters, 2024, vol. 59, issue C

Abstract: This study presents strong evidence of fund performance persistence using a newly proposed multi-period performance rank (MR). The MR is the average of the performance ranks, calculated using multiple performance evaluation periods. With regard to 60-month returns to the performance rank, the performance persists over the next three years. This study explains performance persistence as a combination of fund investors’ behavior and fund managers’ abilities. The MR-based portfolios have low outflows and high turnover rates. MR-based investments are a smart choice for obtaining higher future returns.

Keywords: Multi-period performance ranks; Fund performance persistence; Momentum profit; Fund flows; Fund turnover (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323010838

DOI: 10.1016/j.frl.2023.104711

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