Can investors profit from mutual funds performance persistence?

Detalhes bibliográficos
Autor(a) principal: Vital, Pedro Ribeiro Moreira Fezas
Data de Publicação: 2015
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.14/19989
Resumo: We use almost 21,000 equity mutual funds worldwide returns to provide evidence that investors can make significant profits if they invest in persistence strategies. Our regressions results are mixed and show some funds managers are better in picking stocks. We show that investors would have been delivered Annualized Sharpe Ratios up to 0.81. We also test our strategies under different economic environments and conclude that in expansion periods, our strategies outperform both S&P500 and MSCI. We also find our results still hold after deducting funds’ redemption fees, especially for holding periods longer than 3 months.
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spelling Can investors profit from mutual funds performance persistence?Domínio/Área Científica::Ciências Sociais::Economia e GestãoWe use almost 21,000 equity mutual funds worldwide returns to provide evidence that investors can make significant profits if they invest in persistence strategies. Our regressions results are mixed and show some funds managers are better in picking stocks. We show that investors would have been delivered Annualized Sharpe Ratios up to 0.81. We also test our strategies under different economic environments and conclude that in expansion periods, our strategies outperform both S&P500 and MSCI. We also find our results still hold after deducting funds’ redemption fees, especially for holding periods longer than 3 months.Faias, JoséVeritati - Repositório Institucional da Universidade Católica PortuguesaVital, Pedro Ribeiro Moreira Fezas2016-04-27T13:21:22Z2016-02-1320152016-02-13T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/19989TID:201171864enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:25:43Zoai:repositorio.ucp.pt:10400.14/19989Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:16:30.832012Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Can investors profit from mutual funds performance persistence?
title Can investors profit from mutual funds performance persistence?
spellingShingle Can investors profit from mutual funds performance persistence?
Vital, Pedro Ribeiro Moreira Fezas
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Can investors profit from mutual funds performance persistence?
title_full Can investors profit from mutual funds performance persistence?
title_fullStr Can investors profit from mutual funds performance persistence?
title_full_unstemmed Can investors profit from mutual funds performance persistence?
title_sort Can investors profit from mutual funds performance persistence?
author Vital, Pedro Ribeiro Moreira Fezas
author_facet Vital, Pedro Ribeiro Moreira Fezas
author_role author
dc.contributor.none.fl_str_mv Faias, José
Veritati - Repositório Institucional da Universidade Católica Portuguesa
dc.contributor.author.fl_str_mv Vital, Pedro Ribeiro Moreira Fezas
dc.subject.por.fl_str_mv Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description We use almost 21,000 equity mutual funds worldwide returns to provide evidence that investors can make significant profits if they invest in persistence strategies. Our regressions results are mixed and show some funds managers are better in picking stocks. We show that investors would have been delivered Annualized Sharpe Ratios up to 0.81. We also test our strategies under different economic environments and conclude that in expansion periods, our strategies outperform both S&P500 and MSCI. We also find our results still hold after deducting funds’ redemption fees, especially for holding periods longer than 3 months.
publishDate 2015
dc.date.none.fl_str_mv 2015
2016-04-27T13:21:22Z
2016-02-13
2016-02-13T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.14/19989
TID:201171864
url http://hdl.handle.net/10400.14/19989
identifier_str_mv TID:201171864
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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