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Title: Performance persistence in fixed interest funds: With an eye on the post-debt crisis period
Authors: Grose, Chris
Dasilas, Apostolos
Alexakis, Christos
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business::Finance
Issue Date: 2014
Source: Journal of International Financial Markets, Institutions and Money
Volume: 33
First Page: 155
Last Page: 182
Abstract: We examine performance persistence in a sample of Portugal, Italy, Greece, and Spain (PIGS) government debt mutual funds. Performance persistence is measured for short-, medium-, and long-term periods using the conditional CAPM, the Sharpe ratio, and a modified version of the Sharpe ratio. “Cold hands” are found for both short- and medium-term periods, with non-parametric testing reinforcing our findings. While “hot hands” are proven a close second place, in the long-run performance persistence is gradually weakened. Ex-post tests, based on performance persistence results, suggest the possibility to achieve superior performance relative to the market average by sticking to winner and avoiding loser funds.
ISSN: 1042-4431
Other Identifiers: 10.1016/j.intfin.2014.07.010
Appears in Collections:Department of Applied Informatics

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