What Determines Fund Performance Persistence? International Evidence

30 Pages Posted: 20 May 2020

See all articles by Miguel A. Ferreira

Miguel A. Ferreira

New University of Lisbon - Nova School of Business and Economics

Aneel Keswani

affiliation not provided to SSRN

António F. Miguel

affiliation not provided to SSRN

Sofia Ramos

ESSEC Business School

Date Written: November 2019

Abstract

We study performance persistence across a global sample of equity mutual funds from 27 countries. In contrast to the existing U.S.‐based evidence, we find that net performance persistence is present in the majority of fund industries, suggesting that fund manager skill is commonplace rather than a rarity. Consistent with the intuition that more competition in the mutual fund industry makes remaining a winner fund less likely but keeping a loser fund at the bottom of the performance ranks more probable, we show that competitiveness explains the cross‐sectional variation in performance persistence.

Keywords: fund industry competition, manager skill, mutual fund persistence

JEL Classification: G15, G23

Suggested Citation

Ferreira, Miguel A. and Keswani, Aneel and Miguel, António F. and Ramos, Sofia, What Determines Fund Performance Persistence? International Evidence (November 2019). Financial Review, Vol. 54, Issue 4, pp. 679-708, 2019, Available at SSRN: https://ssrn.com/abstract=3601153 or http://dx.doi.org/10.1111/fire.12202

Miguel A. Ferreira (Contact Author)

New University of Lisbon - Nova School of Business and Economics ( email )

Aneel Keswani

affiliation not provided to SSRN

António F. Miguel

affiliation not provided to SSRN

No Address Available

Sofia Ramos

ESSEC Business School

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