Performance Persistence of Professionally Managed Portfolios

Performance Persistence of Professionally Managed Portfolios (english)

  1. MSc thesis
  2. Αναστασοπούλου, Κωνσταντινα
  3. Διοίκηση Επιχειρήσεων (MBA)
  4. 09 September 2018 [2018-09-09]
  5. Αγγλικά
  6. 53
  7. Αρτίκης, Παναγιώτης
  8. Αρτίκης, Παναγιώτης | Μπεκιάρης, Μιχαήλ
  9. Επαναληπτικότητα αποδόσεων και Performance Persistence | Μετοχικά Αμοιβαία και Equity Mutual Funds | Νότια Ευρώπη και PIGS
  10. 43
  11. Περιέχει: πίνακες και διαγράμματα
    • We investigate performance persistence in a sample of equity mutual funds in four countries of Southern Europe, specifically Portugal, Italy, Greece and Spain (PIGS). We examine performance persistence for short-term time horizons. We are using three different ratios for the ranking of the equity mutual funds. In particular, we are using the unconditional CAPM (Jensen’s alpha), the traditional original Sharpe ratio and a modified version or Sharpe ratio. The alternative Sharpe ratio was found by Agudo and Marzal, by taking the first partial derivative of the original Sharpe ratio with respect to total risk. First of all, we are surpassing the main issue of survivorship bias by performing the calculations only for the equity mutual funds that managed to survive. The condition that the funds should meet in order to be characterized as “survivors” is to contain data for the net asset value (NAV) for at least one month for every one of the two successive six-monthly time periods. Therefore, for PIGS the Bloomberg database provided 325 Spanish, 234 Italian, 42 Greek and 35 Portuguese equity mutual funds. From those, only 105 Spanish equity mutual funds survived during the 16 years examination period. This implies a percentage of 1 out of 3 for Spain after the beginning of the sample period. Respectively, 79, 24 and 19 funds survived for Italy, Greece and Portugal. Using those three aforementioned ratios we rank our sample equity mutual funds into winners and losers in six monthly periods. We are categorizing as winners the equity funds that perform better than the median and as losers those that perform worse. In this way, we conduct three different two - way contingency tables, one per each ratio. We are using non-parametric tests in order to find out whether the assumption of performance persistence holds. In particular, regarding the non-parametric tests we are using the Cross Product ratio (CPR) and the Z-test of Brown and Goetzmann (1995) and the chi-squared test of Kahn and Rudd (1995). Evidence for performance persistence in the short-term time horizons is found for a significant portion of our data sample. Historical performance of equity mutual funds is considered to provide useful information regarding the future performance. Winners and losers have a strong tendency to remain winners and losers correspondingly from one year to another. On the other hand, performance persistence may be found to be sensitive to the time horizons of the examination. Therefore, inferences of performance persistence should be interpreted very carefully and moreover persistence must not be the only or even the most significant criterion for the selection of an equity mutual fund.
    • We investigate performance persistence in a sample of equity mutual funds in four countries of Southern Europe, specifically Portugal, Italy, Greece and Spain (PIGS). We examine performance persistence for short-term time horizons. We are using three different ratios for the ranking of the equity mutual funds. In particular, we are using the unconditional CAPM (Jensen’s alpha), the traditional original Sharpe ratio and a modified version or Sharpe ratio. The alternative Sharpe ratio was found by Agudo and Marzal, by taking the first partial derivative of the original Sharpe ratio with respect to total risk. First of all, we are surpassing the main issue of survivorship bias by performing the calculations only for the equity mutual funds that managed to survive. The condition that the funds should meet in order to be characterized as “survivors” is to contain data for the net asset value (NAV) for at least one month for every one of the two successive six-monthly time periods. Therefore, for PIGS the Bloomberg database provided 325 Spanish, 234 Italian, 42 Greek and 35 Portuguese equity mutual funds. From those, only 105 Spanish equity mutual funds survived during the 16 years examination period. This implies a percentage of 1 out of 3 for Spain after the beginning of the sample period. Respectively, 79, 24 and 19 funds survived for Italy, Greece and Portugal. Using those three aforementioned ratios we rank our sample equity mutual funds into winners and losers in six monthly periods. We are categorizing as winners the equity funds that perform better than the median and as losers those that perform worse. In this way, we conduct three different two - way contingency tables, one per each ratio. We are using non-parametric tests in order to find out whether the assumption of performance persistence holds. In particular, regarding the non-parametric tests we are using the Cross Product ratio (CPR) and the Z-test of Brown and Goetzmann (1995) and the chi-squared test of Kahn and Rudd (1995). Evidence for performance persistence in the short-term time horizons is found for a significant portion of our data sample. Historical performance of equity mutual funds is considered to provide useful information regarding the future performance. Winners and losers have a strong tendency to remain winners and losers correspondingly from one year to another. On the other hand, performance persistence may be found to be sensitive to the time horizons of the examination. Therefore, inferences of performance persistence should be interpreted very carefully and moreover persistence must not be the only or even the most significant criterion for the selection of an equity mutual fund.
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