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Choice for smart investment in mutual funds: Single- or multi-period performance ranks

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  • Ha, Yeonjeong
  • Oh, Haejune

Abstract

This study presents strong evidence of fund performance persistence using a newly proposed multi-period performance rank (MR). The MR is the average of the performance ranks, calculated using multiple performance evaluation periods. With regard to 60-month returns to the performance rank, the performance persists over the next three years. This study explains performance persistence as a combination of fund investors’ behavior and fund managers’ abilities. The MR-based portfolios have low outflows and high turnover rates. MR-based investments are a smart choice for obtaining higher future returns.

Suggested Citation

  • Ha, Yeonjeong & Oh, Haejune, 2024. "Choice for smart investment in mutual funds: Single- or multi-period performance ranks," Finance Research Letters, Elsevier, vol. 59(C).
    • Handle: RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323010838
    DOI: 10.1016/j.frl.2023.104711
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    References listed on IDEAS

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    More about this item

    Keywords

    Multi-period performance ranks; Fund performance persistence; Momentum profit; Fund flows; Fund turnover;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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