On the robustness of persistence in mutual fund performance

Juan Carlos Matallín-Sáez (matallin@uji.es), Amparo Soler-Domínguez (amparo.soler@uji.es) and Emili Tortosa-Ausina
Additional contact information
Juan Carlos Matallín-Sáez: Department of Finance and Accounting, Universitat Jaume I, Castellón, Spain
Amparo Soler-Domínguez: Department of Finance and Accounting, Universitat Jaume I, Castellón, Spain

No 2014/01, Working Papers from Economics Department, Universitat Jaume I, Castellón (Spain)

Abstract: This paper analyzes persistence in US equity mutual fund performance over the period 2001-2011 for both net and gross returns. We apply commonly-used measures of persistence, which we test using a set of simulated passive funds. In the first stage we apply contingency tables and transition matrices in accordance with previous literature. Results show how these methodologies are biased towards finding evidence of persistence too easily. In the second stage, we take a recursive portfolio approach, which assesses the performance of investing by following recommendations based on past performance. Results show the importance of both estimating persistence by distinguishing among fund style groups, and considering the cross-sectional significance of recursive portfolios. In general, our results do not support evidence of persistence in mutual fund performance. Only very scarce evidence is found in some particular cases, but this is partly conditioned by whether net or gross returns are considered. We also find evidence supporting the relatively worse performance of non-survivor funds compared with that of survivor funds.

Keywords: mutual fund; performance; persistence; robustness (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2014
New Economics Papers: this item is included in nep-eff
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.doctreballeco.uji.es/wpficheros/Matallin_Soler_Tortosa_01_2014.pdf (application/pdf)

Related works:
Journal Article: On the robustness of persistence in mutual fund performance (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jau:wpaper:2014/01

Access Statistics for this paper

More papers in Working Papers from Economics Department, Universitat Jaume I, Castellón (Spain) Contact information at EDIRC.
Bibliographic data for series maintained by María Aurora Garcia Gallego (mgarcia@eco.uji.es).