Persistence versus mobility of sociallyresponsible funds: intra-distribution dynamics and mobility trends

Diego Víctor de Mingo-López (demingo@uji.es), Juan Carlos Matallín-Sáez (matallin@uji.es), Amparo Soler-Domínguez (amparo.soler@cofin.uji.es), Huseyin Ozturk and Emili Tortosa-Ausina
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Diego Víctor de Mingo-López: Department of Finance and Accounting, Universitat Jaume I, Castellón, Spain
Juan Carlos Matallín-Sáez: Department of Finance and Accounting, Universitat Jaume I, Castellón, Spain
Amparo Soler-Domínguez: Department of Finance and Accounting, Universitat Jaume I, Castellón, Spain

No 2023/09, Working Papers from Economics Department, Universitat Jaume I, Castellón (Spain)

Abstract: This study contributes to the ongoing discussion in the mutual fund literature regarding the analysis of fund performance and its dynamics. While many studies have focused on measuring fund performance, others have been more concerned about the impact of various determinants. Furthermore, the analysis of performance dynamics has also gained significant attention, with a particular focus on fund performance persistence. We take a more comprehensive approach by investigating mobility trends in mutual fund performance. Specifically, we analyze a large sample of socially-responsible equity funds worldwide and observe a high degree of mobility in fund performance, indicating that funds do not remain in similar percentiles of future performance distributions. However, results also show a lower degree of mobility among the top percentiles, indicating that performance persistence exists among the best-performing sociallyresponsible funds. Our study contributes to the ongoing discussion by presenting new evidence on the mobility and persistence of fund performance, particularly in socially-responsible funds, and has implications for investment decision-making.

Keywords: convergence; mobility; mutual fund; performance; SRI (search for similar items in EconPapers)
JEL-codes: G11 G17 G2 G23 N20 Q56 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2023
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