Performance Persistence Investigation in Equity Mutual Funds

Document Type : Original Article

Authors

1 Ph.D. in Finance, Department of Finance, Tehran North Branch, Islamic Azad University, Tehran, Iran

2 Assistant Professor, Faculty Member, Department of Accounting, Tehran North Branch, Islamic Azad University, Tehran, Iran

3 Associate Professor, Faculty Member, Department of Accounting, Tehran North Branch, Islamic Azad University, Tehran, Iran

Abstract

The aim of this research is to investigate performance persistence in equity mutual funds at 1 and 12-month horizons. To this end, the Manipulation-Proof Performance Measure (MPPM) derived by Goetzmann et al. (2007) along with a number of current performance measures such as Treynor, Sharpe, Jensen’s Alpha and Sortino was used to measure the performance of equity mutual funds. The results show that in the time period of the research from March 2013 to March 2017, in each of the 1 and 12-month horizons, the performance of upper tertile portfolios based on all research measures is significantly higher than the performance of bottom tertile portfolios which it indicates performance persistence in equity mutual funds. In addition to, the similarity of the results of using Manipulation-Proof Performance Measure with current performance measures also indicates that the performance persistence is not due to manipulation.

Keywords

References

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