Cross-Sectional Performance Persistence of Mutual Fund Managers

65 Pages Posted: 15 May 2017 Last revised: 19 Jul 2018

See all articles by Ilhan Demiralp

Ilhan Demiralp

University of Oklahoma - Division of Finance

Chitru S. Fernando

University of Oklahoma - Michael F. Price College of Business

Date Written: July 6, 2018

Abstract

We examine manager performance across multiple contemporaneously-managed mutual funds and document significant cross-sectional performance persistence. While 80% of managers in our sample have at least one underperforming fund in each quarter, a small but statistically significant number of managers persistently outperform for up to 8 quarters across all their funds. We also find that 16.1% (7.2%) of managers in our sample contemporaneously manage a top-40% (20%) fund and a bottom-40% (20%) fund more than 50% of the time. We provide new evidence on managerial busyness by showing that managers’ performance drops significantly when the number of funds they manage increases.

Keywords: Mutual Funds, Mutual Fund Performance, Portfolio Management, Fund Manager Performance, Cross-Sectional Performance, Performance Persistence, Skill versus Luck

JEL Classification: G11, G14, G23

Suggested Citation

Demiralp, Ilhan and Fernando, Chitru S., Cross-Sectional Performance Persistence of Mutual Fund Managers (July 6, 2018). Available at SSRN: https://ssrn.com/abstract=2967895 or http://dx.doi.org/10.2139/ssrn.2967895

Ilhan Demiralp

University of Oklahoma - Division of Finance ( email )

Norman, OK 73019
United States

Chitru S. Fernando (Contact Author)

University of Oklahoma - Michael F. Price College of Business ( email )

Adams Hall
307 West Brooks Street
Norman, OK 73019-4004
United States
405-325-2906 (Phone)
405-325-7688 (Fax)

HOME PAGE: http://faculty-staff.ou.edu/F/Chitru.Fernando-1/

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