On the Return Persistence of Index and Nonindex Mutual Funds

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

On the Return Persistence of Index and Nonindex Mutual Funds

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

On the Return Persistence of Index and Nonindex Mutual Funds

Popis výsledku anglicky

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2025

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Beta Investment Strategies

ISSN

2771-6511

e-ISSN

2771-6511

Svazek periodika

16

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

25

Strana od-do

48-72

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-105025679623