Abstract
The objective of this study is to investigate the performance persistence of Turkish mutual and pension funds. 310 mutual and 259 pension funds were analyzed between the period of 2010–2019 in order to determine if there is an evidence of performance persistence. In this study, a persistence rate is developed, and the skill ratio is used to crosscheck the results of the persistence rate. Furthermore, six different risk-adjusted return measures, such as Sharpe, Treynor, Information, Jensen’s alpha, Sortino, and Omega ratios are calculated to analyze whether funds also exhibit superior risk-adjusted returns. The results indicate that only 2% of funds demonstrate persistence above 50%, and 15 out of 20 fund categories do not have any funds that show persistence in 10 years. Most of the persistent funds have positive skill ratios, and it is observed that the persistence rate is effective. However, it cannot be stated that there is performance persistence in the Turkish fund management industry, since performance persistence is not evident for various fund types, so investors do not need to invest in the best funds of the previous year. Additionally, the empirical results associated with risk-adjusted performance analysis indicate that persistent funds also do not generally yield higher risk-adjusted returns. The lack of persistence in funds’ performance is a significant result for investors in their investment decisions, for fund managers in their human resource policies and bonus schemes, and for regulators in their policy decisions.
Highlights
Performance persistence is a research topic in the fund performance literature where researchers examine whether funds can record continued positive performance
The objective of this study is to investigate the performance persistence of Turkish mutual and pension funds. 310 mutual and 259 pension funds were analyzed between the period of 2010–2019 in order to determine if there is an evidence of performance persistence
The aim of this study is to identify whether performance persistence exists in Turkish mutual and pension funds in the period of 2010– 2019
Summary
Performance persistence is a research topic in the fund performance literature where researchers examine whether funds can record continued positive performance (i.e., whether successful funds continue to be successful in the following period). If some fund managers have hot hands, they covers 279 mutual funds from 1974 to 1984 They have an ability to produce persistent risk-adjusted investigate whether past performance of mutual excess returns. Abdel-Kader and Qing (2007) investigate risk-ad- exists over a 12-month horizon, this justed performance of 30 Hong Kong mutual performance persistence for the short term disfunds by employing Jensen’s alpha, Treynor ra- appears for longer periods of 24 months and 36 tio and three-factor models.
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
