Cross-sectional learning and short-run persistence in mutual fund performance

Using monthly return data of more than 6,400 US equity mutual funds we investigate short-run performance persistence over the period 1984{2003. We sort funds into rank portfolios based on past performance, and evaluate the portfolios’ out-of-sample performance. To cope with short ranking periods, we employ an empirical Bayes approach tomeasure past performance more e±ciently. Our main finding is that when funds are sorted into decile portfolios based on 12-month ranking periods, the top decile of funds earns astatistically significant, abnormal return of 0.26 percent per month. This effect persists beyond load fees, and is mainly concentrated in relatively young, small cap/growth funds.

Netspar, Network for Studies on Pensions, Aging and Retirement, is een denktank en kennisnetwerk. Netspar is gericht op een goed geïnformeerd pensioendebat.


Missie en strategie           •           Netwerk           •           Organisatie           •          Podcasts
Board Brief            •            Werkprogramma 2023-2027           •           Onderzoeksagenda


Onze partners

B20160708_university of groningen
B20220518_BNP Paribas logo_voettekst
B20211201_Cardano_Logo 2021_website
AFM logo 2023 zwart wit
Bekijk al onze partners