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International Mutual Funds Performance and Persistence across the Universe of Performance Measures

Philippe Cogneau and Georges Hübner

Finance, 2020, vol. 41, issue 1, 97-176

Abstract: We process an exhaustive set of 147 portfolio performance measures and their variations, and identify 18 relevant dimensions using a Principal Component Analysis on a sample of 1,625 international equity mutual funds. We isolate three of the seven most informative factors that uncover potential strong performance persistence. These factors reflect various forms of incremental return and preference-adjusted performance. Our paper is the first one that shows statistical and economic evidence that conditioning portfolio formation on past realizations of these factors may produce significant outperformance, from the point of view of naïve portfolio allocation as well as more classical selection criteria like the Sharpe ratio. 1

Keywords: performance measurement; persistence analysis; mutual fund; principal component analysis; portfolio optimization (search for similar items in EconPapers)
Date: 2020
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