UK Mutual Fund Performance Persistence with Active Peer Benchmarks

35 Pages Posted: 3 Aug 2017

See all articles by Irina B. Mateus

Irina B. Mateus

Aalborg University

Cesario Mateus

Aalborg University Business School

Natasa Todorovic

City University London - The Business School

Date Written: August 1, 2017

Abstract

We assess UK mutual fund performance from a perspective of a peer-group, applying a novel approach suggested in Hunter et al. (2014). Our sample comprises of 817 UK long-only active equity mutual funds allocated to nine Morningstar style category peer-groups in the period 1992-2016. Overall, we find that those funds with most significant positive peer-group adjusted alphas continue to perform well one-year-ahead, using both parametric and non-parametric measures of persistence in performance. Further, a small increase in significance of peer-group adjusted alphas significantly improves the probability that a fund will be placed in the top quartile in the following period. Finally, we document that persistence in performance is driven by both winner and loser funds. The results within each peer group by and large conform to these findings.

Keywords: UK Equity Mutual Funds, Active Peer Benchmark, Performance ranking, Performance persistence

JEL Classification: G11, G12, G23

Suggested Citation

B. Mateus, Irina and Mateus, Cesario and Todorovic, Natasa, UK Mutual Fund Performance Persistence with Active Peer Benchmarks (August 1, 2017). Available at SSRN: https://ssrn.com/abstract=3011829 or http://dx.doi.org/10.2139/ssrn.3011829

Irina B. Mateus

Aalborg University ( email )

Fredrik Bajers Vej 7E
Aalborg, DK-9220
Denmark

Cesario Mateus

Aalborg University Business School ( email )

Aalborg
Denmark

Natasa Todorovic (Contact Author)

City University London - The Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

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