Cross-Sectional Performance Persistence of Mutual Fund Managers
65 Pages Posted: 15 May 2017 Last revised: 19 Jul 2018
Date Written: July 6, 2018
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: Suggested Citation