Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Hot Hands in Mutual Funds: Short‐Run Persistence of Relative Performance, 1974–1988

Hot Hands in Mutual Funds: Short‐Run Persistence of Relative Performance, 1974–1988 ABSTRACT The relative performance of no‐load, growth‐oriented mutual funds persists in the near term, with the strongest evidence for a one‐year evaluation horizon. Portfolios of recent poor performers do significantly worse than standard benchmarks; those of recent top performers do better, though not significantly so. The difference in risk‐adjusted performance between the top and bottom octile portfolios is six to eight percent per year. These results are not attributable to known anomalies or survivorship bias. Investigations with a different (previously used) data set and with some post‐1988 data confirm the finding of persistence. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

Hot Hands in Mutual Funds: Short‐Run Persistence of Relative Performance, 1974–1988

Loading next page...
 
/lp/wiley/hot-hands-in-mutual-funds-short-run-persistence-of-relative-n4nuIfS4wY

References (35)

Publisher
Wiley
Copyright
1993 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
DOI
10.1111/j.1540-6261.1993.tb04703.x
Publisher site
See Article on Publisher Site

Abstract

ABSTRACT The relative performance of no‐load, growth‐oriented mutual funds persists in the near term, with the strongest evidence for a one‐year evaluation horizon. Portfolios of recent poor performers do significantly worse than standard benchmarks; those of recent top performers do better, though not significantly so. The difference in risk‐adjusted performance between the top and bottom octile portfolios is six to eight percent per year. These results are not attributable to known anomalies or survivorship bias. Investigations with a different (previously used) data set and with some post‐1988 data confirm the finding of persistence.

Journal

The Journal of FinanceWiley

Published: Mar 1, 1993

There are no references for this article.