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Expert Illusion - Evaluating Persistence in Mutual Fund Performance

Magnusson, Jacob LU (2018) NEKH02 20181
Department of Economics
Abstract (Swedish)
This study evaluates mutual fund performance persistence using contingency tables and Spearman's rank correlation. Performance is measured with alpha. The results from evaluating 1248 US mutual funds in the period 2005-2017 indicate that one-year performance persistence does not exist. Fund managers are not able to consistently produce positive alphas nor consistently outperform their competitors. The results thus suggest that that past performance is not indicative of future performance.
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author
Magnusson, Jacob LU
supervisor
organization
course
NEKH02 20181
year
type
M2 - Bachelor Degree
subject
keywords
Spearman's coefficient, contingency tables, performance persistence, Alpha
language
English
id
8943324
date added to LUP
2018-07-05 11:25:46
date last changed
2018-07-05 11:25:46
@misc{8943324,
  abstract     = {This study evaluates mutual fund performance persistence using contingency tables and Spearman's rank correlation. Performance is measured with alpha. The results from evaluating 1248 US mutual funds in the period 2005-2017 indicate that one-year performance persistence does not exist. Fund managers are not able to consistently produce positive alphas nor consistently outperform their competitors. The results thus suggest that that past performance is not indicative of future performance.},
  author       = {Magnusson, Jacob},
  keyword      = {Spearman's coefficient,contingency tables,performance persistence,Alpha},
  language     = {eng},
  note         = {Student Paper},
  title        = {Expert Illusion - Evaluating Persistence in Mutual Fund Performance},
  year         = {2018},
}