Economics at your fingertips  

Mutual fund performance persistence: Factor models and portfolio size

Keith Cuthbertson, Dirk Nitzsche and Niall O'Sullivan

International Review of Financial Analysis, 2022, vol. 81, issue C

Abstract: We re-examine US mutual fund performance persistence. We investigate persistence (i) using both “academic” factor models and “practitioner” index models, (ii) using decile-size recursive portfolios and also portfolios formed from smaller numbers of funds, (iii) using nonparametric bootstrap p-values as well as conventional t-tests and (iv) using both net-of-fee fund returns (net alphas) and gross alphas. Our key result is that positive net alpha performance persistence can be found using small portfolios of funds together with a holding period of 6 months or less, for both practitioner index models and academic factor models.

Keywords: Mutual fund performance persistence; Factor models; Portfolio size (search for similar items in EconPapers)
JEL-codes: C15 G11 G12 G14 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
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:

DOI: 10.1016/j.irfa.2022.102133

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2022-07-09
Handle: RePEc:eee:finana:v:81:y:2022:i:c:s1057521922001016