1992•The Journal of FinanceRequires access

The Persistence of Mutual Fund Performance

Mark Grinblatt, Sheridan Titman

Abstract

ABSTRACT This paper analyzes how mutual fund performance relates to past performance. These tests are based on a multiple portfolio benchmark that was formed on the basis of securities characteristics. We find evidence that differences in performance between funds persist over time and that this persistence is consistent with the ability of fund managers to earn abnormal returns.

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Key concepts: Mutual fund, Persistence (discontinuity), Portfolio, Target date fund, Fund administration, Open-end fund, Manager of managers fund, Benchmark (surveying)