Persistence in performance of actively managed equity mutual funds: New Indian evidence

Abstract

This paper examines the persistence in performance of actively managed equity mutual funds after controlling for market risk, size, value, momentum, and expenses, and whether such performance persistence depends on investor holding period, fund size, age, style or expense ratio. The paper finds overall evidence of persistence over shorter time horizons. It also finds that larger, older, and high expense ratio funds are more persistent. However, some of that persistence is due to the relatively poor performers in the group. The robustness of the results is affirmed by using a number of robustness tests.