International Mutual Funds Performance and Persistence across the Universe of Performance Measures

Cogneau, Philippe; Hübner, Georges

doi:10.3917/fina.411.0097

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International Mutual Funds Performance and Persistence across the Universe of Performance Measures

Cogneau, Philippe; Hübner, Georges

2020 • In Finance, 41 (1), p. 97-176

Peer reviewed

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https://hdl.handle.net/2268/240445

DOI
10.3917/fina.411.0097

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Keywords :

performance measurement; persistence analysis; mutual fund; principal component analysis; portfolio optimization

Abstract :

[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

Volume :

Issue :

Pages :

97-176

Peer reviewed :

Peer reviewed

Available on ORBi :

since 21 October 2019

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