Hot Hands in Mutual Funds: Short‐Run Persistence of Relative Performance, 1974–1988

  • Author(s): DARRYLL HENDRICKS, JAYENDU PATEL, RICHARD ZECKHAUSER
  • Published: Apr 30, 2012
  • Pages: 93-130
  • DOI: 10.1111/j.1540-6261.1993.tb04703.x

ABSTRACT

The relative performance of no‐load, growth‐oriented mutual funds persists in the near term, with the strongest evidence for a one‐year evaluation horizon. Portfolios of recent poor performers do significantly worse than standard benchmarks; those of recent top performers do better, though not significantly so. The difference in risk‐adjusted performance between the top and bottom octile portfolios is six to eight percent per year. These results are not attributable to known anomalies or survivorship bias. Investigations with a different (previously used) data set and with some post‐1988 data confirm the finding of persistence.

Jump to menu

Main Navigation

Search the Site / Journal

Search Keywords

Search Tips

Members' Login

Credentials

Members' Options

Site Footer

View Mobile Version