Persistence in style-adjusted mutual fund returns

• Main Authors: TEO, Melvyn, WOO, Sung-Jun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2001
• Subjects: mutual funds; style; persistence; ability; managerial ability; fund; style-adjusted; performance; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5165; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6164/viewcontent/SSRN_id291372__1_.pdf
• Institution: Singapore Management University

The literature on mutual fund persistence took a hit with the finding that one-year stock momentum and expense ratios account for most of the persistence in mutual fund performance (Carhart, 1992; Carhart, 1997). However, since equity mutual funds are grouped into styles (e.g., large value, small gr...