Differences in Short-Term Performance Persistence by Mutual Fund Equity Class

Posted: 19 Apr 2014 Last revised: 5 Jun 2018

See all articles by Andrew L. Detzel

Andrew L. Detzel

University of Denver - Daniels College of Business

F. Detzel

California State University San Marcos

Date Written: July 9, 2015

Abstract

To consistently earn positive alpha, active fund managers must have access to mispriced stocks. We show that mispricing varies by equity class in such a way that greater mispricing occurs in smaller-cap and more value-oriented stocks, providing opportunity for managers in these classes. Accordingly, we find the greatest evidence that top-performing mutual fund managers continue to earn positive alpha in smaller-cap and more value-oriented classes when investigating quarterly performance persistence by equity class. Conversely, large cap funds show no evidence of persistence in superior performance. In contrast to the patterns of persistence in superior performance, relative performance persists in all equity classes.

Keywords: Mutual Funds, Market Efficiency, Performance Persistence

JEL Classification: G23

Suggested Citation

Detzel, Andrew L. and Detzel, F., Differences in Short-Term Performance Persistence by Mutual Fund Equity Class (July 9, 2015). Available at SSRN: https://ssrn.com/abstract=2426354 or http://dx.doi.org/10.2139/ssrn.2426354

Andrew L. Detzel (Contact Author)

University of Denver - Daniels College of Business ( email )

2101 S. University Blvd
Denver, CO 80208
United States

HOME PAGE: http://portfolio.du.edu/adetzel

F. Detzel

California State University San Marcos ( email )

333 South Twin Oaks Valley Road
San Marcos, CA 92096-0001
United States
(760) 750-4262 (Phone)

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