On Persistence in Mutual Fund Performance

@article{Carhart1997OnPI,
  title={On Persistence in Mutual Fund Performance},
  author={Mark M. Carhart},
  journal={Journal of Finance},
  year={1997},
  volume={52},
  pages={57-82}
}
Using a sample free of survivor bias, the author demonstrates that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual funds' mean and risk-adjusted returns. Darryll Hendricks, Jayendu Patel, and Richard Zeckhauser's (1993) 'hot hands' result is mostly driven by the one-year momentum effect of Narasimham Jegadeesh and Sheridan Titman (1993), but individual funds do not earn higher returns from following the momentum strategy in stocks… Expand
On Economies of Scale and Persistent Performance in Corporate-Bond Mutual Funds
Studies of stock mutual funds find little evidence of persistence in performance. The most common interpretation for such limited persistence is that dispersion in performance is driven largely byExpand
Explaining Persistence in Mutual Fund Performance
This study investigates the determinants of persistence in mutual fund performance. Previous research that uses factor-mimicking portfolios and characteristic benchmarks to model fund performanceExpand
Persistence in performance of actively managed equity mutual funds: New Indian evidence
Abstract This paper examines the persistence in performance of actively managed equity mutual funds after controlling for market risk, size, value, momentum, and expenses, and whether suchExpand
Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance
Using monthly return data of more than 6400 US equity mutual funds we investigate short-run performance persistence over the period 1984–2003. We sort funds into rank portfolios based on pastExpand
Value Effect in Indonesian Stock Returns: The Implications for the Equity Mutual Fund Industry
We extend the persistence and pervasiveness of the presence of value effect to Indonesian stock returns in the last two decades by utilizing data set that is relatively free of survivor bias andExpand
Performance and Persistence in Norwegian Mutual Funds
Using a dataset free of survivorship bias, we investigate the performance and performance persistence of Norwegian mutual funds in the period 2000-2010. To evaluate mutual fund performance we apply aExpand
Mutual Fund Outperformance: Is It Skill, Risk, or Luck?
This paper examines managerial skill of U.S. equity mutual funds in the context of both abnormal return and risk. We recognize the role of fund life cycle and use different evaluation horizons toExpand
\Hot Hands" in Bond Funds or Persistence in Bond Fund Performance
In this study we investigate persistence in relative performance among 3,549 bond mutual funds over the period 1990{2003. We show that bond funds that displayed strong (weak) performance over theExpand
On the robustness of persistence in mutual fund performance
This paper analyzes persistence in US equity mutual fund performance over the period 1990–2015. We apply commonly used measures of persistence, which we test using a set of simulated passive funds.Expand
On the concentration of mutual fund portfolio holdings: Evidence from Taiwan
This paper tests the alternative hypotheses of investment selection skills versus overconfidence of equity mutual funds managers in Taiwan. We find that fund holdings’ concentration levels are highExpand
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 23 REFERENCES
Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios
We investigate the informational efficiency of mutual fund performance for the period 1965-84. Results are shown to be sensitive to the measurement of performance chosen. We find that returns on S&PExpand
The Persistence of Risk-Adjusted Mutual Fund Performance
The authors examine predictability for stock mutual funds using risk-adjusted returns. They find that past performance is predictive of future risk-adjusted performance. Applying modern portfolioExpand
Returns from Investing in Equity Mutual Funds 1971 to 1991
Several recent studies suggest that equity mutual fund managers achieve superior returns and that considerable persistence in performance exists. This study utilizes a unique data set includingExpand
Hot Hands in Mutual Funds: Short‐Run Persistence of Relative Performance, 1974–1988
The relative performance of no-load, growth-oriented mutual funds persists in the near term, with the strongest evidence for a one-year evaluation horizon. Portfolios of recent poor performers doExpand
Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings
This article employs the 1975-84 quarterly holdings of a sample of mutual funds to construct an estimate of their gross returns. This sample, which is not subject to survivorship bias, is used inExpand
Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior
This study analyzes the extent to which mutual funds purchase stocks based on their past returns as well as their tendency to exhibit 'herding' behavior (i.e., buying and selling the same stocks atExpand
Survivorship Bias and Mutual Fund Performance
Mutual fund attrition can create problems for a researcher because funds that disappear tend to do so due to poor performance. In this article we estimate the size of the bias by tracking all fundsExpand
Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
Firm size and book-to-market ratios are both highly correlated with the returns of common stocks. Fama and French (1993) have argued that the association between these firm characteristics and theirExpand
Multifactor Explanations of Asset Pricing Anomalies
Previous work shows that average returns on common stocks are related to firm characteristics like size, earnings/price, cash flow/price, book-to-market equity, past sales growth, long-term pastExpand
Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance
This paper evaluates persistence in the performance of institutional equity managers. We build on recent work on conditional performance evaluation, using time-varying conditional expected returnsExpand
...
1
2
3
...