Mutual Fund Performance and Manager Style

Posted: 23 May 2001

See all articles by James L. Davis

James L. Davis

affiliation not provided to SSRN

Abstract

In this analysis of the relationship between equity mutual fund performance and manager style, two questions are addressed. First, does any investment style generate abnormal returns on average? Second, when funds are grouped by equity style, does any style exhibit performance persistence? The answers from this study are as follows: None of the styles earned positive abnormal returns during the 1965-98 sample period, and value funds realized negative abnormal returns of about 2.75 percentage points a year. Some evidence was found of short-run performance persistence among the best-performing growth funds and among the worst-performing small-cap funds.

Suggested Citation

Davis, James L., Mutual Fund Performance and Manager Style. Available at SSRN: https://ssrn.com/abstract=265221

James L. Davis (Contact Author)

affiliation not provided to SSRN

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