Performance Persistence

William Goetzmann and Stephen Brown ()

Yale School of Management Working Papers from Yale School of Management

Abstract: We explore performance persistence in mutual funds using absolute and relative benchmarks. Our sample, largely free of survivorship bias, indicates that relative risk-adjusted performance of mutual funds persists, however persistence is mostly due to funds that lag the S&P 500. A profit analysis indicates that poor performance increases the probability of disappearance. A year-by-year decomposition of the persistence effect demonstrates that the relative performance pattern depends upon the time period observed, and it is correlated across managers. Consequently, it is due to a common strategy that is not captured by standard stylistic categories, or risk adjustment procedures.

JEL-codes: G14 (search for similar items in EconPapers)
Date: 2005-04-14
New Economics Papers: this item is included in nep-bec, nep-fin and nep-rmg
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Citations: View citations in EconPapers (12)

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Related works:
Journal Article: Performance Persistence (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:ysm451

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