[en] We process an exhaustive set of 147 portfolio performance measures and their variations, and identify 18 relevant dimensions using a Principal Component Analysis on a sample of 1,625 international equity mutual funds. We isolate three of the seven most informative factors that uncover potential strong performance persistence. These factors reflect various forms of incremental return and preference-adjusted performance. Our paper is the first one that shows statistical and economic evidence that conditioning portfolio formation on past realizations of these factors may produce significant outperformance, from the point of view of naïve portfolio allocation as well as more classical selection criteria like the Sharpe ratio.
Disciplines :
Finance
Author, co-author :
Cogneau, Philippe ; Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Gestion financière
Hübner, Georges ; Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Gestion financière
Language :
English
Title :
International Mutual Funds Performance and Persistence across the Universe of Performance Measures
Publication date :
2020
Journal title :
Finance
ISSN :
0752-6180
eISSN :
2101-0145
Publisher :
Presses Universitaires de Grenoble, Grenoble, France
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