On the Return Persistence of Index and Nonindex Mutual Funds

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F04274644%3A_____%2F25%3A%230001271" target="_blank" >RIV/04274644:_____/25:#0001271 - isvavai.cz</a>
Result on the web
<a href="https://www.pm-research.com/content/iijindinv/early/2025/10/08/jbis20251100" target="_blank" >https://www.pm-research.com/content/iijindinv/early/2025/10/08/jbis20251100</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3905/jbis.2025.1.100" target="_blank" >10.3905/jbis.2025.1.100</a>

Result language
angličtina
Original language name
On the Return Persistence of Index and Nonindex Mutual Funds
Original language description
This article deals with investment decision-making in the environment of the semi-persistent returns of active and passive funds. The author constructs a theoretical model of portfolio allocation between these two groups based on short- and long-term past returns and confirms its validity with a simulation based on a sample of US large-cap equity funds from 1990–2021. The analysis shows that short-term persistence in fund returns is limited and long-term performance is a significantly better predictor of future returns. It also points to a higher prevalence of passive instruments in long-term portfolios. This phenomenon is consistent across all types of time periods. Finally, the author proposes a return continuity indicator (RCI) as a simple tool to assess the persistence of (excess) return among actively managed funds.
Czech name
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Czech description
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Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50206 - Finance

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2025
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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