The Persistence of Risk-Adjusted Mutual Fund Performance

Edwin J Elton, Martin J Gruber and Christopher R Blake

The Journal of Business, 1996, vol. 69, issue 2, 133-57

Abstract: The authors examine predictability for stock mutual funds using risk-adjusted returns. They find that past performance is predictive of future risk-adjusted performance. Applying modern portfolio theory techniques to past data improves selection and allows the authors to construct a portfolio of funds that significantly outperforms a rule based on past rank alone. In addition, they can form a combination of actively managed portfolios with the same risk as a portfolio of index funds but with higher mean return. The portfolios selected have small but statistically significant positive risk-adjusted returns during a period where mutual funds in general had negative risk-adjusted returns. Copyright 1996 by University of Chicago Press.

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:69:y:1996:i:2:p:133-57

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