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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
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:81:y:2022:i:c:s1057521922001016

DOI: 10.1016/j.irfa.2022.102133

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