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Performance persistence in fixed interest funds: With an eye on the post-debt crisis period

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  • Grose, Chris
  • Dasilas, Apostolos
  • Alexakis, Christos

Abstract

We examine performance persistence in a sample of Portugal, Italy, Greece, and Spain (PIGS) government debt mutual funds. Performance persistence is measured for short-, medium-, and long-term periods using the conditional CAPM, the Sharpe ratio, and a modified version of the Sharpe ratio. “Cold hands” are found for both short- and medium-term periods, with non-parametric testing reinforcing our findings. While “hot hands” are proven a close second place, in the long-run performance persistence is gradually weakened. Ex-post tests, based on performance persistence results, suggest the possibility to achieve superior performance relative to the market average by sticking to winner and avoiding loser funds.

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  • Grose, Chris & Dasilas, Apostolos & Alexakis, Christos, 2014. "Performance persistence in fixed interest funds: With an eye on the post-debt crisis period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 155-182.
    • Handle: RePEc:eee:intfin:v:33:y:2014:i:c:p:155-182
    DOI: 10.1016/j.intfin.2014.07.010
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    More about this item

    Keywords

    Performance persistence; Mutual funds; Debt crisis; Southern Europe bond markets; PIGS;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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