Performance Persistence Research Articles

Performance Persistence. Evidence from the US Open - End Funds Industry

Performance Persistence. Evidence from the US Open - End Funds Industry

Dynamics of Mutual Fund Flows and Returns: Investor Preferences and Performance Persistence

Dynamics of Mutual Fund Flows and Returns: Investor Preferences and Performance Persistence

Performance Persistence. Evidence from the Cryptocurrencies Industry

Performance Persistence. Evidence from the Cryptocurrencies Industry

Performance Persistence. Research Analysis of US Closed-End Funds.

Performance Persistence. Research Analysis of US Closed-End Funds.

Managerial Performance Persistence. A Comparative Study of US Open-End Funds

Managerial Performance Persistence. A Comparative Study of US Open-End Funds

Luck or Skill: What Drives Hedge Fund Performance Persistence?

Luck or Skill: What Drives Hedge Fund Performance Persistence?

Gender Differences in Hedge Fund Performance Persistence

Gender Differences in Hedge Fund Performance Persistence

Managerial Performance Persistence. a Comparative Study of US Closed-End Funds

Managerial Performance Persistence. a Comparative Study of US Closed-End Funds

Performance Persistence of US Closed-End Funds.

Performance Persistence of US Closed-End Funds.

Contrarian profits and representativeness heuristic in the MENA stock markets

This paper aims to test two competing explanations for the contrarian profits in ten MENA stock markets: the risk-based rational explanation and the representativeness-based behavioral explanation. We found that the CAPM, the three-factor model of Fama and French (1996) and the five-factor model of Fama and French (2015) fail to capture the contrarian profits in most MENA stock markets, which indicates that these profits cannot be explained by the risk. Moreover, the hypothesis that the representativeness heuristic leads to investors’ overreaction does not hold for all the stock markets. In fact, only Egypt, Jordan, Saudi Arabia, and Kuwait tend to overreact to a series of similar earnings surprises and the magnitude of the market overreaction increases with the length of such series. To explicitly examine whether representativeness explains the contrarian profits, we extended the five-factor model to include a factor based on similar past earnings surprises. Inconsistent with the representativeness heuristic, we found that the contrarian profits in most MENA markets are not captured by a zero-investment portfolio that is short on the portfolio with a series of positive earnings surprises and long on the portfolio with a series of negative earnings surprises. However, with a long series of earnings surprises the contrarian strategy in Kuwait and Oman seems to lose its profitability. These findings indicate that the effect of the representativeness heuristic may depend on the persistence of past performance.

Targeting the motor cortex to restore walking after incomplete spinal cord injury.

Targeting the motor cortex to restore walking after incomplete spinal cord injury.

Does performance persistence exist in mutual and pension funds? Evidence from Turkey

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.

The multi-dimensionality of competitive balance: evidence from European football

PurposeThe purpose of this paper is to address the problem of designing league regulatory mechanisms given the multi-dimensionality of competitive balance and the proliferation of empirical measures.Design/methodology/approachA three-stage approach is adopted. Firstly, a taxonomy of empirical measures of competitive balance is proposed, identifying two fundamental dimensions – win dispersion and performance persistence. Secondly, a simple two-team model of league competitive balance is used to explore the dispersion–persistence relationship. Third, correlation and regression analysis of seven empirical measures of competitive balance for the 18 best-attended top-tier domestic football leagues in Europe over the 10 seasons, 2008–2017, are used to (1) validate the proposed categorisation of empirical measures into two dimensions; and (2) investigate the nature of the dispersion–persistence relationship across leagues.FindingsThe simple model of league competitive balance implies a strong positive dispersion–persistence relationship when persistence effects increase for big-market teams relative to those for the small-market teams. However, the empirical evidence indicates that while leagues such as the Spanish La Liga exhibit a strong positive dispersion–persistence relationship, other leagues show little or no relationship, and some leagues, particularly, the English Premier League and top-tier divisions in Belgium and Netherlands, have a strong negative dispersion–persistence relationship. The key policy implication for leagues is the importance of understanding the direction and impact of dispersion and persistence effects on the demand for league products.Originality/valueThe variability in the strength and direction of the dispersion–persistence relationship across leagues is an important result that undermines the “one-size-fits-all” approach to designing league regulatory mechanisms.

Mutual fund performance components: an application to asset allocation mutual funds

ABSTRACT While most of the mutual fund performance literature focuses on returns only, a recent strand examines the activity level of portfolio managers and how this activity affects portfolio performance. We add to this literature in two ways. First, we examine asset allocation mutual funds, noting there are few studies examining this type of fund. We note our method of examination can be modified for any type of fund. Second, we use a weight-based method that separates fund performance into components, one of which provides a new measure of manager activity. Because this new measure is a component of fund performance, the effect of manager activity on performance is explicit. While we find the average fund does not beat a lagged-weight benchmark, we do find the components explain performance differences among funds. We also find evidence that manager activity persists, meaning funds exhibiting greater activity in the past tend to do so in the future. This is important because it predicts which funds are likely to have more extreme performance in the future. Finally, we find evidence of persistence in predictive skill, but find that skill is not strong enough to produce persistence in fund performance.

Mutual fund performance and changes in factor exposure

AbstractIn this article, we examine whether active mutual funds that markedly change their exposure to systematic risk factors subsequently outperform. We propose a new returns‐based approach to assess the degree to which mutual funds adjust their risk exposure, with the benefit of not requiring periodically updated information related to funds' portfolio holdings. Applying this measure to active US mutual funds from 1990 to 2016, we provide evidence that mutual fund managers exhibiting substantial changes in their risk exposure generate alphas that are significantly higher than those with limited exposure variation. Other characteristics such as fund tracking errors, fund size, and investment style, or holdings‐based measures cannot explain these findings. Analyzing the long‐term persistence of active management, we provide evidence that the outperformance is due to managers' skill rather than to luck. Our findings contribute to the empirical evidence suggesting that active management may in some cases, produce short‐term performance persistence.

Mutual Fund Performance Persistence and Competition: Pakistan’s Open Ended Mutual Fund Performance Analysis

Mutual Funds through its professional managers enable small investors to enjoy benefits of capital market with small amount. This study with special focus on Pakistani Mutual Fund industry, tests the suitability of traditional measures and multifactor, asset pricing models on the Mutual Fund performance. Owing to rareness of the applicability of the multifactor models in comparison to traditional measures, in evaluating Mutual Fund performance in modern day Pakistani research, the study uses CAPM, Fama French, Carhart models in the performance evaluation of Pakistan Mutual Fund. The data of 100 open-end Mutual Funds, for the period 2005 to 2017 was collected from Mutual Fund Association of Pakistan; while the risk free rates data was collected from State Bank of Pakistan and Stock data from Pakistan Stock Exchange for predicting the results, Ratio analysis, CAPM, Fama French-3 Factor and Carhart-4 factor model were used to understand its suitability. The results demonstrated that application of CAPM, affect market factors of majority of the portfolios.Where as in other two models (Fama French, Carhart) the majority of the portfolios are insignificantly affected by the size factor, value factor and Momentum factor. The Gibbon Rose Shanken unveils the suitability of the best model and justify CAPM as the better model among the three competing models in evaluate on theMutual Fund performance in Pakistan. The study has certain implications for the managers of assets management companies as well as useful for the investors in knowing which funds perform better and which kind of funds are ideal for investment.

Regime-Switching Determinants of Mutual Fund Performance in South Africa

This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds from 2006 to 2019. From the results, fund flow and fund size exert more predictive influences on performance in the bearish state of the market than in the bullish state. Fund age, fund risk, and market risk were found to be the most significant factors driving the performance of active portfolios under time-varying conditions of the market. These variables exert more influence on fund performance under bearish conditions than under bullish conditions, emphasizing the flight-to-liquidity assets phenomenon and risk-aversion behavior of fund contributors during unstable conditions of the market. Consequently, fund managers need to maintain adequate asset bases while implementing policies that minimize dispersions in fund returns to engender persistence in performance. This study provides novel perspectives on how the determinants of fund performance change with market conditions as portrayed by the adaptive market hypothesis (AMH).

On the recent developments of mutual funds with fixed‐income holdings: a systematic review

AbstractBond funds and money market funds hold a sizable portion of fixed‐income securities and have experienced considerable growth over the recent decades. Moreover, the global financial crisis (GFC) was a turning point in identifying the hidden risks associated with these mutual funds. Nevertheless, and despite their significance, these funds are dwarfed by numerous studies on equity mutual funds. This paper conducts a systematic review and explores the primary research streams and emerging themes during the GFC and post‐GFC. Four main genealogies are identified: performance persistency and active management, green funds, ’funds’ flow and flow‐performance, and money market funds and financial crisis.

Do machines beat humans? Evidence from mutual fund performance persistence

We study the performance persistence of quantitative actively managed US equity funds. We show that the persistence of quantitative funds originates from poor performers and that there are reversals at the top of the performance scale, which is no different from the widely accepted evidence in the mutual fund literature. When testing for differences in performance persistence between quantitative and non–quantitative funds, we find no differences for poorly performing funds, but we observe significantly more reversals for quantitative funds at the top of the performance distribution. We also find that the differences in performance persistence are not explained by differences in flow–induced incentives to generate alpha, as there is no heterogeneity in investors preferences when allocating capital to these funds. Overall our results are consistent with machines having less skill than their human counterparts.

Improvements in Middle-Schoolers’ Performance and Motivation to Practice: An Experimental Investigation of Accurate Feedback in a Motor Task

The present field experiment investigated the effects of accurate and non-accurate performance feedback on causal attributions, success expectancy, performance, and persistence on a motor task. Forty-six male middle-schoolers were randomly assigned to a Contingent (accurate) feedback, Non-contingent (non-accurate) feedback, or Control (no feedback) group and completed a challenging motor task. An initial treatment phase provided either accurate contingent feedback or yoked non-contingent feedback during the task, and measured task performance, attributions about performance, and success expectancy about future performance. A subsequent testing phase (same task) used the same measures and added a measure of motivation (persistence). Compared to the Contingent and Control groups, Noncontingent outcome feedback during the initial treatment phase led to more personally uncontrollable attributions, lower success expectancy, poorer performance, and lower persistence in the subsequent test phase. Despite a high rate of failure in the motor task for both feedback groups in the treatment phase, the Contingent group—getting accurate feedback about performance—had a higher sense of personal control and expectancy of success than the Non-contingent feedback group initially, and maintained these perceptions in the subsequent test phase where they also had better performance and higher levels of persistence than the Non-contingent group. Non-contingent feedback in an initial motor task appears to induce helplessness deficits in subsequent task performance and persistence. In contrast, providing accurate (contingent) feedback about achieved performance appears to protect against performance and motivational losses.