Persistent performance in the mutual fund market: Tests with funds and investment advisers

Ravi Shukla, Charles Trzcinka

Research output: Contribution to journalArticle

23 Scopus citations

Abstract

Recent studies of mutual funds have concluded that there is some evidence of superior performance. We test for the existence of superior performance and its persistence with mutual funds and mutual fund investment advisers on a data set of monthly returns from 1979 to 1989 for 1,387 mutual funds grouped by 243 advisers. We find no evidence of superior performance or its persistence but we do find significant evidence of persistence of inferior performance. Consistent with previous studies our findings depend on the benchmark chosen, with multiple benchmarks producing a larger degree of inferior performance.

Original languageEnglish (US)
Pages (from-to)115-135
Number of pages21
JournalReview of Quantitative Finance and Accounting
Volume4
Issue number2
DOIs
StatePublished - Jun 1 1994

Keywords

  • adviser
  • mutual fund
  • performance

ASJC Scopus subject areas

  • Accounting
  • Business, Management and Accounting(all)
  • Finance

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