Performance persistence in fixed interest funds: With an eye on the post-debt crisis period

Chris Grose, Apostolos Dasilas and Christos Alexakis

Journal of International Financial Markets, Institutions and Money, 2014, vol. 33, issue C, 155-182

Abstract: We examine performance persistence in a sample of Portugal, Italy, Greece, and Spain (PIGS) government debt mutual funds. Performance persistence is measured for short-, medium-, and long-term periods using the conditional CAPM, the Sharpe ratio, and a modified version of the Sharpe ratio. “Cold hands” are found for both short- and medium-term periods, with non-parametric testing reinforcing our findings. While “hot hands” are proven a close second place, in the long-run performance persistence is gradually weakened. Ex-post tests, based on performance persistence results, suggest the possibility to achieve superior performance relative to the market average by sticking to winner and avoiding loser funds.

Keywords: Performance persistence; Mutual funds; Debt crisis; Southern Europe bond markets; PIGS (search for similar items in EconPapers)
JEL-codes: G11 G15 G23 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:33:y:2014:i:c:p:155-182

DOI: 10.1016/j.intfin.2014.07.010

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