Efficiency Persistence in Mutual Fund Performance

Posted: 10 Feb 2019

See all articles by Javier Vidal-García

Javier Vidal-García

Harvard University; Complutense University Madrid

Date Written: January 30, 2019

Abstract

This paper analyses the market efficiency persistence of the mutual fund industry around the world. With a large database of domestic equity funds across 35 countries, our study employs multifactor models and non-parametric methodology to examine fund efficiency across countries and its potential persistence. We employ the data envelopment analysis (DEA) technique to examine the relation between cost (input variables) and return (output measure). Using monthly returns, we find a strong evidence that equity mutual funds are approximately mean-variance efficient across countries. Mutual funds show strong evidence of significant efficiency persistence around the world on a monthly and annual basis. We conclude that efficiency persistence is indeed relevant and that the market values the ability of a fund manager to maintain an efficient portfolio.

Keywords: Mutual Funds, Portfolio Efficiency, Data Envelopment Analysis, Multiple Criteria Decision

JEL Classification: G11, G12

Suggested Citation

Vidal-García, Javier, Efficiency Persistence in Mutual Fund Performance (January 30, 2019). Available at SSRN: https://ssrn.com/abstract=3325609

Javier Vidal-García (Contact Author)

Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

Complutense University Madrid ( email )

School of Business Administration
Somosaguas Campus
Madrid, Madrid 28223
Spain

Register to save articles to
your library

Register

Paper statistics

Abstract Views
182
PlumX Metrics