Mutual Fund Performance Persistence, Market Efficiency, and Breadth

38 Pages Posted: 26 Oct 2012

See all articles by Joop Huij

Joop Huij

Erasmus University - Rotterdam School of Management; Robeco; Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

Simon Lansdorp

Robeco Sustainable Index Solutions; Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); Tinbergen Institute

Date Written: October 25, 2012

Abstract

In this study we use a comprehensive database of mutual funds and study performance persistence across different styles, regions, and asset classes. While we find strong evidence of performance persistence for some markets, there is weak or no evidence for other markets. Contrary to popular belief, we find no relation between performance persistence and market efficiency. Performance persistence appears to be positively related to market breadth. Our results are inconsistent with anecdotal evidence that the added value of active management is concentrated in less efficient markets. Instead, our results indicate that managerial skill is more pronounced in markets that offer more investment opportunities.

Keywords: mutual funds, performance persistence, breadth, market efficiency, return dispersion, active management

JEL Classification: G11, G14, G15, G24

Suggested Citation

Huij, Joop and Lansdorp, Simon, Mutual Fund Performance Persistence, Market Efficiency, and Breadth (October 25, 2012). Available at SSRN: https://ssrn.com/abstract=2166824 or http://dx.doi.org/10.2139/ssrn.2166824

Joop Huij

Erasmus University - Rotterdam School of Management ( email )

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

HOME PAGE: http://www.rsm.nl/jhuij

Robeco

Rotterdam, 3014DA
Netherlands

HOME PAGE: http://www.robeco.com/

Erasmus University Rotterdam (EUR) - Erasmus Research Institute of Management (ERIM)

P.O. Box 1738
Rotterdam, 3000 DR
Netherlands

Simon Lansdorp (Contact Author)

Robeco Sustainable Index Solutions ( email )

Rotterdam, 3011 AG
Netherlands

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

Tinbergen Institute ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

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