Abnormal profits and relative strength in mutual fund returns

David A. Volkman and Mark Wohar

Review of Financial Economics, 1996, vol. 5, issue 2, 101-116

Abstract: This study investigates the relative strength in mutual fund performance by employing three different empirical methods to analyze the profitability of twenty trading strategies, based on varying evaluation horizons and investment periods. Specifically, we test for positive persistence in fund performance by focusing on the optimal weighting of past performance information. Counter to an earlier study on relative strength of fund performance, this study's results do not support the decay of performance persistence after one year. Rather, we find persistent abnormal fund returns over a one to three year investment period based on a three to four year evaluation horizon. In addition, results show that relative strength in fund performance is directly related to persistence in superior performing funds rather than a function of persistence in inferior performing funds.

Date: 1996
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1016/S1058-3300(96)90009-9

Related works:
Journal Article: Abnormal profits and relative strength in mutual fund returns (1996)
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: https://EconPapers.repec.org/RePEc:wly:revfec:v:5:y:1996:i:2:p:101-116

Access Statistics for this article

More articles in Review of Financial Economics from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().