The Persistence of Mutual Funds Performance: Evidence From The UK Stock Market
This paper examines the past performances of mutual funds as a criterion for investors’ future choices. In particular, it examines if mutual funds (which invested in the U.K stock market) that have presented the highest return through one or two years continue the same high performances through the future years. We start our analysis by calculating the annually returns of all funds and the Jensen’s measure of performance (in the context of CAPM). Moreover, we test persistence by constructing two-way tables showing the successful performance over successive two-year and one year period. Afterwards, we simulate a strategy of investing in the top performing mutual funds during the preceding two years. We conclude that in 1990s persistence is weak. We do not find strong evidence that past returns provide information about future returns. As most of the results in relevant studies, our results may be subject to survivorship bias, because we do not include in our sample funds that have ceased to exist or merged or started their operation after 1990 (they do not have complete observations).
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 7 (2004)
Issue (Month): 2 (Winter)
|Contact details of provider:|| Web page: http://www.ekonomia.ucy.ac.cy/|
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ekn:ekonom:v:7:y:2004:i:2:p:121-138. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Managing Editor)
If references are entirely missing, you can add them using this form.