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Persistence versus mobility of sociallyresponsible funds: intra-distribution dynamics and mobility trends

Author

Listed:
  • Diego Víctor de Mingo-López

    (Department of Finance and Accounting, Universitat Jaume I, Castellón, Spain)

  • Juan Carlos Matallín-Sáez

    (Department of Finance and Accounting, Universitat Jaume I, Castellón, Spain)

  • Amparo Soler-Domínguez

    (Department of Finance and Accounting, Universitat Jaume I, Castellón, Spain)

  • Huseyin Ozturk

    (Central Bank of Turkey, Turkey)

  • Emili Tortosa-Ausina

    (IVIE, Valencia and IIDL and Department of Economics, Universitat Jaume I, Castellón, Spain)

Abstract

This study contributes to the ongoing discussion in the mutual fund literature regarding the analysis of fund performance and its dynamics. While many studies have focused on measuring fund performance, others have been more concerned about the impact of various determinants. Furthermore, the analysis of performance dynamics has also gained significant attention, with a particular focus on fund performance persistence. We take a more comprehensive approach by investigating mobility trends in mutual fund performance. Specifically, we analyze a large sample of socially-responsible equity funds worldwide and observe a high degree of mobility in fund performance, indicating that funds do not remain in similar percentiles of future performance distributions. However, results also show a lower degree of mobility among the top percentiles, indicating that performance persistence exists among the best-performing sociallyresponsible funds. Our study contributes to the ongoing discussion by presenting new evidence on the mobility and persistence of fund performance, particularly in socially-responsible funds, and has implications for investment decision-making.

Suggested Citation

  • Diego Víctor de Mingo-López & Juan Carlos Matallín-Sáez & Amparo Soler-Domínguez & Huseyin Ozturk & Emili Tortosa-Ausina, 2023. "Persistence versus mobility of sociallyresponsible funds: intra-distribution dynamics and mobility trends," Working Papers 2023/09, Economics Department, Universitat Jaume I, Castellón (Spain).
    • Handle: RePEc:jau:wpaper:2023/09
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    convergence; mobility; mutual fund; performance; SRI;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G2 - Financial Economics - - Financial Institutions and Services
    • N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative
    • Q56 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environment and Development; Environment and Trade; Sustainability; Environmental Accounts and Accounting; Environmental Equity; Population Growth

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