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Mutual fund performance persistence: Factor models and portfolio size

Cuthbertson, K., Nitzsche, D. ORCID: 0000-0003-2441-1288 & O'Sullivan, N. (2022). Mutual fund performance persistence: Factor models and portfolio size. International Review of Financial Analysis, 81, article number 102133. doi: 10.1016/j.irfa.2022.102133


We re-examine US mutual fund performance persistence. We investigate persistence (i) using both “academic” factor models and “practitioner” index models, (ii) using decile-size recursive portfolios and also portfolios formed from smaller numbers of funds, (iii) using nonparametric bootstrap p-values as well as conventional t-tests and (iv) using both net-of-fee fund returns (net alphas) and gross alphas. Our key result is that positive net alpha performance persistence can be found using small portfolios of funds together with a holding period of 6 months or less, for both practitioner index models and academic factor models.

Publication Type: Article
Additional Information: © 2022. This article has been published in International Review of Financial Analysis by Elsevier. This manuscript version is made available under the CC-BY-NC-ND 4.0 license
Publisher Keywords: Mutual fund performance persistence, Factor models, Portfolio size
Subjects: H Social Sciences > HF Commerce > HF5601 Accounting
H Social Sciences > HG Finance
Departments: Bayes Business School > Finance
SWORD Depositor:
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