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Do Winners Repeat with Style?

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Author Info
Amita K. Patel () (General)
Roger G. Ibbotson () (School of Management)
Abstract

Several studies have found that considerable persistence exists in mutual fund performance. We study this phenomenon in fund managers who achieve superior performance, after adjusting for the investment style of the fund. Our data of domestic equity mutual funds indicates that winning funds do repeat good performance. Style-adjusted alphas are evaluated on both an absolute and relative basis. The highest persistence is exhibited by funds whose alpha is greater than 10% and also by funds whose alpha ranks in the top 5% of the sample.

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Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm253.

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Date of creation: 09 Jan 2002
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Handle: RePEc:ysm:somwrk:ysm253

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Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G23 - Financial Economics - - Financial Institutions and Services - - - Pension Funds; Other Private Financial Institutions
G00 - Financial Economics - - General - - - General

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This page was last updated on 2009-12-28.

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