Performance Persistence

Stephen J Brown, William N Goetzmann

Research output: Contribution to journalArticleResearchpeer-review

438 Citations (Scopus)

Abstract

We explore performance persistence in mutual funds using absolute and relative benchmarks. Our sample, largely free of survivorship bias, indicates that relative risk‐adjusted performance of mutual funds persists; however, persistence is mostly due to funds that lag the S&P 500. A probit analysis indicates that poor performance increases the probability of disappearance. A year‐by‐year decomposition of the persistence effect demonstrates that the relative performance pattern depends upon the time period observed, and it is correlated across managers. Consequently, it is due to a common strategy that is not captured by standard stylistic categories or risk adjustment procedures. 1995 The American Finance Association

Original languageEnglish
Pages (from-to)679-698
Number of pages20
JournalJournal of Finance
Volume50
Issue number2
DOIs
Publication statusPublished - 1 Jan 1995
Externally publishedYes

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