Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988
- 1 March 1993
- journal article
- research article
- Published by JSTOR in The Journal of Finance
- Vol. 48 (1), 93-130
- https://doi.org/10.2307/2328883
Abstract
The relative performance of no‐load, growth‐oriented mutual funds persists in the near term, with the strongest evidence for a one‐year evaluation horizon. Portfolios of recent poor performers do significantly worse than standard benchmarks; those of recent top performers do better, though not significantly so. The difference in risk‐adjusted performance between the top and bottom octile portfolios is six to eight percent per year. These results are not attributable to known anomalies or survivorship bias. Investigations with a different (previously used) data set and with some post‐1988 data confirm the finding of persistence.This publication has 5 references indexed in Scilit:
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