Open-End Fund Performance Persistence: A Study on KC Libra Fund

Marco Mele

International Journal of Empirical Finance, 2014, vol. 3, issue 1, 1-8

Abstract: In this paper, we investigate the performance persistence of KC Libra Fund over time horizons between 6 and 12 months based on a merged sample from the Lipper/TASS and CISDM databases for the time period from 2009 to 2013 with year dataset and 2013-2014 with daily dataset. After literature review, we use a econometric model to identify fund characteristics that are significantly related to performance persistence. In particular, this work after observing the high values of KC Libra Fund, we wants to compare this Fund with other similar in order to estimate its determinants. We will identify several fund characteristics that are strongly correlated with the probability of observing performance persistence and we will find only one fund characteristic with a strategy distinctiveness index that attempts to measure manager skills and the uniqueness of the hedge fund’s trading strategies. Finally, we conclude pointing out that the correlation between performance and low volatility of the KC Libra Fund makes it suitable for institutional investors even of the pension and social security institutions.

Keywords: Open- End Funds; Performance; Performance Persistence (search for similar items in EconPapers)
Date: 2014
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