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| Author: | Elton, E. J. Gruber, M. J. Blake, C. R. |
| Title: | The persistence of risk-adjusted mutual fund performance |
| Journal: | Journal of Business
1996 : APR, VOL. 69:2, p. 133-157 |
| Index terms: | PORTFOLIO INVESTMENT STOCK MARKETS UNIT TRUSTS |
| Language: | eng |
| Abstract: | We examine predictability for stock mutual funds using risk- adjusted returns. We find that past performance is predictive of future risk-adjusted performance. Applying modern portfolio theory techniques to past data improves selection and allows us to construct a portfolio of funds that significantly outperforms a rule based on past rank alone. In addition, we can form a combination of actively managed portfolios with the same risk as a portfolio of index funds but with higher mean return. The portfolios selected have small but statistically significant positive risk-adjusted returns during a period where mutual funds in general had negative risk-adjusted returns. |
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