Expert Illusion - Evaluating Persistence in Mutual Fund Performance
University essay from Lunds universitet/Nationalekonomiska institutionen
Abstract: This study evaluates mutual fund performance persistence using contingency tables and Spearman's rank correlation. Performance is measured with alpha. The results from evaluating 1248 US mutual funds in the period 2005-2017 indicate that one-year performance persistence does not exist. Fund managers are not able to consistently produce positive alphas nor consistently outperform their competitors. The results thus suggest that that past performance is not indicative of future performance.
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