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DETERMINANTS OF PERSISTENCE IN RELATIVE PERFORMANCE OF MUTUAL FUNDS
Author(s) -
Volkman David A.,
Wohar Mark E.
Publication year - 1995
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1995.tb00575.x
Subject(s) - open end fund , fund of funds , closed end fund , income fund , performance fee , fund administration , business , manager of managers fund , passive management , feeder fund , finance , management fee , monetary economics , economics , institutional investor , corporate governance , market liquidity
Similar to previous studies, we investigate the relation between past and future fund performance. However, we deviate from previous studies by investigating the relation between persistent fund performance and four systematic factors: size, goal, load, and management fee. Results indicate no consistent relation between fund size and persistent fund performance. The existence of a sales charge does not affect persistent fund performance. The goal of a fund does affect persistent fund performance, with high‐risk maximum capital gain funds' demonstrating a strong positive persistence in abnormal returns. In addition, funds with low management fees demonstrate significantly positive persistent fund performance, while funds with high management fees demonstrate significantly negative persistent fund performance. Further research into the relation between persistent fund performance and maximum capital gain funds indicates persistent fund performance in both inferior‐ and superior‐performing funds. However, persistence in funds with low management fees occurs only in funds with superior past performance.