Anderson Graduate School of Management, UCLA. Titman is also from The Hong Kong University of Science and Technology. We wish to thank James Brandon and Erik Sirri for research assistance on earlier versions of this research and the editors and referees, as well as Russ Wermers, for their comments.
The Persistence of Mutual Fund Performance
Article first published online: 30 APR 2012
1992 The American Finance Association
The Journal of Finance
Volume 47, Issue 5, pages 1977–1984, December 1992
How to Cite
GRINBLATT, M. and TITMAN, S. (1992), The Persistence of Mutual Fund Performance. The Journal of Finance, 47: 1977–1984. doi: 10.1111/j.1540-6261.1992.tb04692.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
This paper analyzes how mutual fund performance relates to past performance. These tests are based on a multiple portfolio benchmark that was formed on the basis of securities characteristics. We find evidence that differences in performance between funds persist over time and that this persistence is consistent with the ability of fund managers to earn abnormal returns.