Explaining Persistence in Mutual Fund Performance PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Explaining Persistence in Mutual Fund Performance PDF full book. Access full book title Explaining Persistence in Mutual Fund Performance by F. Detzel. Download full books in PDF and EPUB format.
Author: F. Detzel
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
This study investigates the determinants of persistence in mutual fund performance. Previous research that uses factor-mimicking portfolios and characteristic benchmarks to model fund performance fails to explain all the persistence in fund returns. This study employs a model that directly relates mutual fund returns to the characteristics of the stocks held by funds. Adjusting fund returns for the size of the stocks in which funds invest and financial ratios intended to capture fund manager investment styles explains all the persistence in mutual fund returns from 1976-1985, the period in which persistence is most prevalent.
Author: F. Detzel
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
This study investigates the determinants of persistence in mutual fund performance. Previous research that uses factor-mimicking portfolios and characteristic benchmarks to model fund performance fails to explain all the persistence in fund returns. This study employs a model that directly relates mutual fund returns to the characteristics of the stocks held by funds. Adjusting fund returns for the size of the stocks in which funds invest and financial ratios intended to capture fund manager investment styles explains all the persistence in mutual fund returns from 1976-1985, the period in which persistence is most prevalent.
Author: Mark M. Carhart
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Using a sample free of survivor bias, I demonstrate that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual funds' mean and risk-adjusted returns. Hendricks, Patel and Zeckhauser's (1993) quot;hot handsquot; result is mostly driven by the one-year momentum effect of Jegadeesh and Titman (1993), but individual funds do not earn higher returns from following the momentum strategy in stocks. The only significant persistence not explained is concentrated in strong underperformance by the worst-return mutual funds. The results do not support the existence of skilled or informed mutual fund portfolio managers.
Author: Peter Lückoff
Publisher: Springer Science & Business Media
ISBN: 3834927805
Category : Business & Economics
Languages : en
Pages : 604
Get Book Here
Book Description
Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.
Author: Zekeriya Eser
Publisher:
ISBN: 9781109969399
Category :
Languages : en
Pages : 209
Get Book Here
Book Description
Keywords. Persistence, Calendar-Related Distortions, Robot Funds, Performance Attribution Models, Momentum Factors
Author: Zekeriya Eser
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Author: Melvyn Teo
Publisher:
ISBN:
Category :
Languages : en
Pages : 39
Get Book Here
Book Description
The literature on mutual fund persistence took a hit with the finding that one-year stock momentum and expense ratios account for most of the persistence in mutual fund performance (Carhart, 1992; Carhart, 1997). However, since equity mutual funds are grouped into styles (e.g., large value, small growth, mid-cap growth, etc.) and are often confined to trading stocks within their style, one should measure fund performance relative to style when investigating managerial ability. Using CRSP mutual fund data and a methodology similar to Carhart (1997), we find that differences in style-adjusted fund returns persist for up to six years. Neither one-year momentum nor expense ratios explain our results. Our results are also robust to controlling for size, book-to-market equity, load, and total net assets. Since manager tenure is about four years, our results suggest that managerial ability may not be as dead as it seems.
Author: Mark Monroe Carhart
Publisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 322
Get Book Here
Book Description
Author: Mark Grinblatt
Publisher:
ISBN:
Category : Mutual funds
Languages : en
Pages : 10
Get Book Here
Book Description
Author: M M Carhart
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: James J. Choi
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
A seminal study of persistence in mutual fund performance is Carhart (1997), who found that U.S. equity mutual funds' past-year returns positively predict their raw excess return and one-factor alpha over the next year. Based on these results, an investor may believe that she can earn higher returns by buying mutual funds with high past-year returns. We are able to replicate Carhart's results in his 1963-1993 sample period, but we find that significant performance persistence does not exist in the 1994-2018 period. Even during the 1963-1993 period, performance persistence weakened in later years. The disappearance of significant performance persistence is due to lower returns to favorable styles, as well as less favorable style tilts and increased style-adjusted underperformance by past winning funds.
