Persistence Performance Among Baltic Equity Funds

9 Pages Posted: 24 Jun 2019

Date Written: June 23, 2019

Abstract

This study examines persistence performance among Baltic equity funds. It uses daily returns figures of ten open ended mutual funds listed on the NASDAQ Baltic stock exchange. To quantify persistence, a well-established winner-loser contingency tables are employed. Results are then audited for significance using Malkiel’s z-statistic, Cross-Product Ratio (CPR) also known as Brown and Goetzmann’s Statistic (1995), as well as Chi-square, popularly referred as Kahn and Rudd’s Statistic. To aid interpretation, funds’ performance endurance is further examined. Some of the methodological limitations notwithstanding, overall findings suggest that selected group of funds show little persistence in their performance. Funds deviate from being winners to losers and positions in between almost daily. Although, on a positive note, a winning streak lasts longer than loosing period, ceteris paribus.

Keywords: Baltic, Equity, Funds, Performance, Persistence

Suggested Citation

Jadevicius, Arvydas, Persistence Performance Among Baltic Equity Funds (June 23, 2019). Available at SSRN: https://ssrn.com/abstract=3408722 or http://dx.doi.org/10.2139/ssrn.3408722

Arvydas Jadevicius (Contact Author)

Independent ( email )

No Address Available

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