Abstract
Using a dynamic state-space framework, we examine the persistence of US equity mutual fund performance. Performance is estimated from standard factor models via a Kalman filter following that of Mamaysky et al. (2008), which has not been used in the persistence literature until now. Persistence is tested across monthly, quarterly, biannual and annual horizons from 1995 to 2015. In opposition with current literature, we present strong evidence that funds exhibit persistence in risk-adjusted performance across all measurement horizons, and is not driven by fund fees. However, persistence in risk-adjusted performance is unable to translate into immediately higher net returns for investors. These findings lend support to the notion that some fund managers do possess skill in their ability to select stocks.
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 callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
